UCL - Econometrics Workshop

[ECON2603]

[30h] 5 credits

Teacher(s): Daniel Weiserbs

Language: English

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The course aims to develop the students' competence in the conduct of an empirical research.

Main themes

The course emphasizes methodological issues: construction of a theoretically plausible model and its dynamic formulation, outlier diagnostics, simultaneous systems, misspecification tests, testing economic meaningful restrictions (including across equations in a simultaneous system).

The first part of the course treats problems often encountered when dealing with time-series data. The second part is de-voted to the estimation of panel. The content of the third part will depend on the interests and the background of the stu-dents.

Personal work will receive an important weight. At regular intervals during the term, students will submit the progress of an empirical study (for which the data will be provided). There will be also a set of exercises and the oral presentation of a se-lected paper.

Content and teaching methods

Starting with the case of a complete demand system, we shall analyze the properties of the main models used in consump-tion and production theories. We shall also discuss the empirical implications of recent advances in aggregation theory.
Next, we shall focus on the specification and the estimation of panel (and pseudo-panel) data.
Last, we shall discuss some recent contributions in applied econometrics that, in principle, are not treated in the other courses.

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Econometrics of time-series (or a similar course).

There will be an exam at the end of the term. Personal work accounts for at least 50% of the course grade.