Econometrics I

Ects : 6
Compétence à acquérir :
Practical skills will be acquired through the modelling of economic time series with econometric software (gretl, matlab). After having attended the classes, the students will master the main tools of the modeling of time series and be able to run an empirical work by themselves.

Description du contenu de l'enseignement :
This course will provide the fundamental tools in macroeconometrics. It starts providing the basic knowledge on the modelling of univariate time series. We will present several statistical tests used to uncover their features and the main models used to represent their behaviours. The course will also introduce to forecasting. We will then present the modelling of multivariate time series with VAR models. We will then give an introduction of the structural analysis which can be run through VAR models.
The objective of the course is to provide the student with the solid theoretical and practical knowledge of the methods used to analyse and model times series data.