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| Version 2013-2014 |
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| ECON0213-1 | Econometric methods
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| Duration : | 30h Th, 15h Pr |
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| Number of credits : |
| Master degree in Economics, research focus, 1st year | | 5 |
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| Master degree in Economics, teaching focus, 1st year | | 5 |
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| Master degree in Economical Sciences, Professional Focus in Economic Policies and Analysis, 1st year | | 5 |
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| Master degree in Economics, professional focus in Economics and Finance, 1st year | | 5 |
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| Master degree in Economics, professional focus in Economic Analysis and Public Governance, 1st year | | 5 |
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| Master degree in Economics | | 5 |
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| Lecturer : | Eric Bonsang |
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Language(s) of instruction :
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| French language |
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Course contents :
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| The topics that will be covered are:
1. Recap of linear regression, basic asymptotic theory
(self-study),
2. Maximum likelihood (estimation and inference),
3. Generalized Least Squares,
4. Instrumental Variables,
5. Heteroskedasticity (estimation in the presence of, testing for),
6. Autocorrelation (cure, testing for),
7. Univariate Time Series Analysis,
8. Dynamic Modelling,
9. Unit roots,
10. Co-integration,
11. Generalized Methods of Moments,
12. Introduction to panel data. |
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Learning outcomes of the course :
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| Emphasis: Studying modern methods and techniques for the analysis of economic data.
Objectives:
- to provide students with a serious understanding of the concepts of modern methods used in econometrics;
- to learn how to approach new methodological issues and
concepts;
- how to approach an empirical issues in economics (or finance) using the appropriate tools, the appropriate concepts;
- to enable students to critically interpret econometric analysis,
-to understand the advantage and limitations of particular type
of approaches/tools that are used in econometrics;
- to gain experience in presenting new theoretical material;
- to gain experience in the application and interpretation of modern econometric tools to real life data. |
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Prerequisites and co-requisites/ Recommended optional programme components :
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| Students should good basic knowledge in probability theory, in statistics and have had a previous introduction to econometrics of the level of ECON0212-3 Econométrie |
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Planned learning activities and teaching methods :
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| see below. |
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Mode of delivery (face-to-face ; distance-learning) :
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| - Seminar like presentations by groups of two students where students present pre-assigned theoretical material
- possibly some lectures
- exercise meetings |
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Recommended or required readings :
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| Book(s), reference material: we will use several books + possible papers depending on the topic/material covered.
Johnson, J. and J. Dinardo (1997), Econometric Methods, 4th Edition, McGraw-Hill.
Stock, James and Watson, Mark (2007), Introduction to Econometrics, Addison-Wesley Higher Education Group. |
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Assessment methods and criteria :
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| The final grade will be based on:
- Two/three empirical projects/papers + presentation (groups of two to three students) + active participation during the meetings (50%),
- Written or oral exam (50%). |
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Work placement(s) :
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Organizational remarks :
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| Presence and active participation are required. |
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Contacts :
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| Professor: Jean-Pierre URBAIN e-mail: j.urbain@maastrichtuniversity.nl |
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