Advanced Econometrics - UCL

Teacher(s)

Van Bellegem Sébastien;

Language

English

Prerequisites

Mathematics and Statistics for Economists

Main themes

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.

Aims

At the end of this learning unit, the student is able to :
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.

Evaluation methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

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

Other information

Support: A textbook like Hayashi Econometrics

Bibliography

Faculty or entity

ECON