LATEST ANNOUNCEMENTS
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Course and content
Contact details and office hours: It is best to contact me by email with questions - since I receive lots of mail, please mark messages with "IENAC22" somewhere in the subject line, otherwise they may get lost.
In case of problems, you can also contact me on Teams, or by (internal) phone on 719532, or on the Google Chat thread.
Please contact me in advance by email to arrange individual meetings, including the following information: (a) a precise (one-line) description of the problem, (b) any supporting data, files or illustrations (e.g. screenshots), (c) your availability and expected time required. Due to very heavy time constraints on my side, I will have to refuse all meetings unless you follow this procedure.
Language: The lectures, classes, all course material, and the assessments, will be in English.
Content: This course develops the material covered in IENA22 Econometrics 1. The main part of the course refreshes multivariate regression, and focuses on least squares (ordinary, restricted, generalized: given heteroscedasticity or autocorrelation, nonlinear), maximum likelihood, and finite-sample and asymptotic inference. The theory is illustrated with detailed empirical examples, using the commercial econometric software package EViews. This course is a pre-requisite for the Forecasting module.
Cold calling: I will be "cold calling" you during this course, starting from Class 1. The aim of this is not to embarrass you, but simply to figure out whether you are understanding and following the course.
Textbook: I will use my own lecture notes on the subject, and further course material as appropriate. A printed version of all material will be given to you towards the end of the course, before the exam.
Please wait until I contact you before going to the Printshop to collect the polycopy! Thank you.
Examinations (in the Econometrics 2 module):
(a) The final grade is based on an open-book written examination, in week 12 (100% of grade): this will cover both applied and theoretical topics. You will not have computer access during the written exam.
(b) I will also give each of you a maximum +25% "bonus" for a 20 minute presentation, in week 18, of one (per group) of the papers provided under "Resources\Papers". All members of each group will receive the same grade.
I will award a small prize for the final exam performance.
Administration:
Various I.E.s & Séverine C. (BdP)
Teaching
~16 hours of lectures and classes (these are interchangeable) and ~4 hours of presentation sessions.
Lectures and classes will be held in weeks 2024 // 9 - 11 (Feb / Mar), and presentations in week 18 (May).
Class schedules are sometimes subject to change at short notice.
2024 // ✔
Schedule for week 9
✔ Wed 28 Feb 2024 - Class 1/8 - 15:30-17:30 -- room D206 #51 #52
✔ Fri 1 Mar 2024 - Class 2/8 - 13:15-15:15 -- room D206 #53 #29
Schedule for week 10
✔ Mon 4 Mar 2024 - Class 3/8 - 13:15-15:15 -- room D204 [E1.Applied Problem Set 2] (we worked on E1.APS2)
✔ Wed 6 Mar 2024 - Class 4/8 - 15:30-17:30 -- room D204 [Form #3] #54 #56 #57
✔ Fri 8 Mar 2024 - Class 5/8 - 13:15-15:15 -- room D206 [E1.Applied Problem Set 2 solutions] [E1.Applied Problem Set 2 EViews code] #58 #59 #60
To do this week //
1> Submit research paper rankings (1 = most preferred, to 12 = least preferred); please rank all papers (deadline Mon 11 Mar, 18:30)
2> Watch video #50 (Interactions and dummy (or indicator) variables)
3> Complete Form #3 (PDFtk) (deadline Wed 13 Mar, 18:30)
Schedule for week 11
✔ Mon 11 Mar 2024 - Class 6/8 & Class 7/8 - 13:15-15:15 & 15:30-17:30 (4h) -- room D202 (we worked on E2.APS1 and E2.APS2)
✔ Wed 13 Mar 2024 - Class 8/8 - 15:30-17:30 -- room D206 (we went through the solution of E2.APS1)
✔ I will allocate one research paper (for bonus presentation) to each group, this week
Schedule for week 12
✔ Mon 18 Mar 2024 - FINAL WRITTEN EXAMINATION - 13:15-15:15 -- room Bréguet
Schedule for week 13
✔ no classes this week
Schedule for week 14
✔ (Forecasting module starts - see Forecasting webpage)
Schedule for week 15
✔ (Forecasting module continues - see Forecasting webpage)
Schedule for week 16
✔ (Forecasting module continues - see Forecasting webpage)
Schedule for week 17
✔ (Forecasting module continues - see Forecasting webpage)
✔ (Econometrics 1 project presentations - see Econometrics 1 webpage)
Schedule for week 18 
Thu 2 May 2024 - 13:15-17:30 -- room Amphi Bréguet -- ** BONUS PAPER PRESENTATIONS **
13:15-13:20 opening
13:20-13:40 Group 1 / Pierre-Alix + Thibault + Paul + Louis
13:40-13:55 Group 1 Questions
13:55-14:05 break
14:05-14:25 Group 3 / Clément + Pauline + Romain
14:25-14:40 Group 3 Questions
14:40-14:50 break
14:50-15:10 Group 2 / Sarah CD + Sarah V + Sariaka
15:10-15:25 Group 2 Questions
15:25-15:35 break
15:35-15:55 Group 5 / Théo R + Théo PTC + Ismael
Fageda, X., 2014, What hurts the dominant airlines at hub airports? Transportation Research Part E.
15:55-16:10 Group 4 Questions
16:10-16:20 break
16:20-16:40 Group 4 / Théodore + Violette + Esther
Zuidberg, J., 2014, Identifying airline cost economies: An econometric analysis of the factors affecting aircraft operating costs, Journal of Air Transport Management.
16:40-16:55 Group 5 Questions
16:55-17:00 close
To do this week //
1> Submit bonus paper slides to Drive "Bonus paper slides" folder (deadline Fri 3 May, 20:00)
Schedule for week 19
no classes this week
Schedule for week 20
no classes this week
Schedule for week 21
(Forecasting exam - see Forecasting webpage)
Resources
Applied Problem Sets
✔ Applied Problem Set 1 (heteroscedasticity)
✔ Applied Problem Set 2 (nonlinear restrictions, structural breaks, nonlinear least squares)
Applied Problem Set 3 (autocorrelation)
Data
✔ (2) Metals data [E1.Applied Problem Set 2]
✔ (2) U.S. credit card data [E2.Applied Problem Set 1 (heteroscedasticity)]
✔ (3) U.S. income and consumption data [E2.Applied Problem Set 2 (nonlinear restrictions, structural breaks, nonlinear least squares)]
(4) U.S. investment data [E2.Applied Problem Set 3 (autocorrelation)]
Papers for bonus presentations
Additional reading
Jarque-Bera paper [for Applied Problem Set 3 (autocorrelation)]
Other
Past exams
IENAC15 Econometrics 2 resit exam [solutions]
Reading list (optional)
Of particular use is Greene, W. H. (2000), Econometric Analysis, 4th edition, New Jersey: Prentice-Hall / Chapters 1-4 matrix algebra, statistical theory, Chapter 6 multivariate regression, Chapter 7 inference, Chapters 8 and 10 nonlinearity and nonlinear regression, Chapter 9 asymptotic theory, Chapter 11 generalized least squares, Chapter 12 heteroscedasticity, Chapter 13 autocorrelation, Chapter 17 distributed lag models. [A revised 6th edition is now available, and is recommended for both Econometrics 2 and Forecasting]
Also helpful is Hayashi, F. (2000), Econometrics, Princeton: Princeton University Press / Chapter 1 finite-sample properties of OLS, inference, and a discussion of the Nerlove cost function empirical example, Chapter 2 large-sample theory, including asymptotic results on White's robust standard errors, testing nonlinear hypotheses, White's test for heteroscedasticity, time regressions, Chapter 6 autocorrelation, Newey-West robust standard errors.
Assessment
- Exam (100% of grade, notes / polycopy allowed, no textbooks) - week 12 - Mon 18 Mar - 13:15-15:15 - room Bréguet
- Research paper presentation (max +25% bonus) - week 18 - Thu 2 May - 13:15-17:15 - room Amphi Bréguet
