Advanced Econometrics - UCL

Enseignants

Van Bellegem Sébastien;

Langue
d'enseignement

Anglais

Préalables

Mathematics and Statistics for Economists

Thèmes abordés

The course must cover the basic most important topics of econometric theory at an advanced level.
These themes concern econometric model formulation, estimation and testing.
Teaching is at an advanced level. Proofs of important results are covered, though not systematically. Applications are also used so that students learn how to carry applications in their own research.
Contents

• Linear regression : exact finite sample theory of ordinary and generalized least squares
• Large-sample theory: convergence  concepts, stochastic processes (stationarity and ergodicitys, IID and white noise, martingales, martingale difference sequences) and limit theorems for IID and MDS). Application to large sample theory of least-squares estimation.
• GMM and the method of instrumental variables
• The method of maximum likelihood: (estimation and testing) and its application to linear regression and non-linear regression models.
• Empirical applications. Use of an econometric and simulation/computational software.

Acquis
d'apprentissage

A la fin de cette unité d’enseignement, l’étudiant est capable de :
1	The purpose is that students acquire the basic tools of econometric research which are of general use in more specialized fields of research and which are covered in subsequent courses (Microeconometrics and  Econometrics of Time-Series). An example of such a tool is the method of estimation by maximum likelihood.

Contenu

Contents

• Linear regression : exact finite sample theory of ordinary and generalized least squares
• Large-sample theory: convergence  concepts, stochastic processes (stationarity and ergodicitys, IID and white noise, martingales, martingale difference sequences) and limit theorems for IID and MDS). Application to large sample theory of least-squares estimation.
• GMM and the method of instrumental variables
• The method of maximum likelihood: (estimation and testing) and its application to linear regression and non-linear regression models.
• Empirical applications. Use of an econometric and simulation/computational software.

Méthodes d'enseignement

En raison de la crise du COVID-19, les informations de cette rubrique sont particulièrement susceptibles d’être modifiées.

Lectures, take-home exercises (theory-based, and empirical using econometric software)

Modes d'évaluation
des acquis des étudiants

En raison de la crise du COVID-19, les informations de cette rubrique sont particulièrement susceptibles d’être modifiées.

Oral or written exam. A part of the final result is reserved for the evaluation of the exercises assignned during the term.

Autres infos

Support: A textbook like Hayashi Econometrics

Bibliographie

Faculté ou entité
en charge

ECON