5 credits
30.0 h + 15.0 h
Q2
Teacher(s)
Bennala Nezar (compensates Gao Zhengyuan); Van Bellegem Sébastien;
Language
French
Main themes
The course starts by showing students how to use the basic tools of Econometrics with practical examples of the most up-to-date economic models. Students will then see, through the application of the various approaches to time series modelling, the problems involved in recognising apparently significant results which actually have no real content. A number of more advanced but essential tools will also be introduced. Learning to use econo-metric software is also an integral part of this course.
Aims
At the end of this learning unit, the student is able to : | |
| 1 | This course is a natural extension of the "Econometrics" course. The principal objective is to study in greater detail and extend training in fields of econometric modelling. Particular stress is put on problems specific to time series modelling, on the basis of methods taught in the "Econometrics" course. |
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
Content: Dynamic models and their properties and problems. The problem of non-stationarity of the series. Stationarity tests. The notion of cointegration models and error correction. Cointegration tests. Introduction to the method of maximum likelihood with application to the estimation of models with variable quality.
Method: The course is organized to guide the learning of students (including software). Students prepare each course by reading preconditions, guided by questions about economic problems. Each lesson is to discuss the matter, including responding to questions that have served as a guide, but also any other issue, and synthesize the material. The sessions will be presented by groups of students.
Other information
Prerequisite: BAC ECGE Econometrics course
Bibliography
Support : Ouvrage de référence (à titre d'exemple) R.L. Thomas (1996), Modern Econometrics: an introduction. Addison-Wesley.
Faculty or entity
ESPO
