Econometrics


FSEG – Master second year – MPE

The databases that will be used during the seminar of Applied Econometrics with EViews and STATA are available here. The slides for the lectures are available on Moodle. Besides, the final evaluation consists in hand in a report on a comparison of two research articles and to give an oral presentation.


Tentative syllabus

  • Chapter 1. Basic concepts of econometric models
    • Features of: economic models, data, variables, parameters and elasticities
    • Nature of economic variables
    • Econometric models
  • Chapter 2. Empirical work
    • Data sets
    • Data preparation
    • Data analysis
    • Modelling
  • Chapter 3. Introduction to EViews and Stata
    • A brief survey of a number of basic procedures
  • Chapter 4. Discussion of properties of the following models and estimator
    • The Classical regression model
    • The Reduced-form model
    • The OLS estimator for the parameters
  • Chapter 5. Deterministic Assumptions
    • Effects of omitting the constant term.
    • The determination coefficient R2.
    • Testing of restrictions on parameters:
      • Student test.
      • Fisher test.

Main references

  • Vogelvang, B. (2005). Econometrics: theory and applications with Eviews. Pearson Education.
  • Kohler, U., & Kreuter, F. (2012). Data analysis using Stata. Stata press.