Due to the COVID-19 crisis, the information below is subject to change,
in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h + 15.0 h
Q2
Teacher(s)
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. |
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
Faculty or entity
ESPO
