Advanced Econometrics

Duration

30h Th, 15h Pr

Number of credits

Lecturer

Lionel Artige, Bernard Lejeune

Language(s) of instruction

English language

Organisation and examination

Teaching in the second semester

Schedule

Schedule online

Units courses prerequisite and corequisite

Prerequisite or corequisite units are presented within each program

Learning unit contents

Following Wooldridge (2016), Introductory Econometrics: A Modern Approach, the course covers the following topics:

• Recap of multiple linear regression with cross-sectional data: specification, estimation and inference
• Multiple regression analysis: further issues (data scaling, functional form, ...)
• Regression analysis with quantitative information (binary variables)
• Heterosckedasticity
• More on specification and data issues (proxy variables, measurement errors,...)
• Basic regression analysis with time series data
• Further issues using OLS with time series data
• Pooling cross sections across time: simple panel data methods
• Advanced panel data methods
• Instrumental variables estimation and two stage least squares
• Limited dependent variable models

Learning outcomes of the learning unit

To provide students with an in-depth understanding of the major tools of modern econometric analysis, so that they can appropriately use them to address empirical questions

Prerequisite knowledge and skills

Students must have followed an introductory course in econometrics of the level of ECON0212-3

Planned learning activities and teaching methods

See below

Mode of delivery (face to face, distance learning, hybrid learning)

• Theoretical course: 2h30 per week, consisting of theory presentation and exercises
• Practical exercises: 1h30 per week, consisting of computer based exercises

Organisational adjustments related to the current health context

For all color codes (orange and red): online teaching

Recommended or required readings

• Wooldridge J.M. (2016), Introductory Econometrics: A Modern Approach, 6th Edition, Cengage Learning
• Lejeune B., Supplemental lecture notes (available on LOL@)

Assessment methods and criteria

Below you will find information on the evaluation methods planned for in-person and remote exams as well as those planned for hybrid sessions. Depending on how the health crisis evolves, the chosen method will be communicated to you no later than one month before the start of the exam session.

Any session :

- In-person

written exam ( open-ended questions )

- Remote

oral exam

- If evaluation in "hybrid"

preferred remote


Additional information:

Oral exam (50%) + Computer based exam (25%) + Course participation/homework (25%)
For all color codes (orange and red): no written exam but only one oral exam on questions that the student will have answered in writing and sent to the professor before the oral exam.
In all cases, the purpose of the oral exam is to verify the student's understanding of the course content.

Work placement(s)

Organizational remarks

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Contacts

• Professors: L. Artige, building B31, office 1.53, email: lionel.artige@uliege.be B. Lejeune, building B31, office R.41, email: b.lejeune@uliege.be
  
• Teaching assistant: I. Salem, building B31, office 1.30, email: iman.salem@uliege.be