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## Statistique et économétrie II

• Teacher(s):
• English title: Statistics and Econometrics II
• Course given in: French
• ECTS Credits: 6 credits
• Schedule: Spring Semester 2020-2021, 2.0h. course + 2.0h exercices (weekly average)
•  sessions
•  course website
• Related programmes:
Bachelor of Science (BSc) in Economics

Bachelor (BSc) in Economic Sciences

### Objectives

This course aims at providing students with an in-depth understanding of theoretical and practical aspects of the most commonly-used regression models. After a careful review of the linear regression model, the course will cover the analysis of panel data and the maximum likelihood estimation. Time series analysis and forecasting will also be introduced. Theoretical and applied exercises will be assigned during the course; solutions will be discussed in TA sessions.

### Contents

The outline of the course is the following:

1. General Introduction
2. Linear Regression
3. Maximum Likelihood Estimation
4. Discrete Choice Models
5. Introduction to Time Series and Forecasting

### References

The topics covered in the course are standard and can be found in most econometrics books. Particularly relevant books are:

• Greene W. (2011) Econometric Analysis, 7th ed., Pearson.
• Stock J. and Watson M. (2003) Introduction to Econometrics. Addison-Wesley Series in Economics.
• Verbeek M. (2012) A Guide to Modern Econometrics, 4th ed., John Wiley & Sons Ltd.

### Pre-requisites

Notions of statistics and mathematics (basic notions in linear algebra).

### Evaluation

#### First attempt

Exam:
Written 1h15 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:
• Written mid-term exam (1h00): worth 40% of the total grade if higher than the grade obtained at the final exam (0% otherwise). This exam covers material from the first half of the course.
• The final exam covers all the different topics studied in the course (1h and 15min).

#### Retake

Exam:
Written 1h15 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

In case of a retake exam, the retake exam grade replaces the grade obtained during the previous exam session. If the mid-term grade is larger than the retake exam grade, then the mid-term exam is still worth 40% of the total grade (0% otherwise).

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