Advanced mathematics and foundations of econometrics

Teacher(s)

Lefèvre Françoise;

Language

French

Content

Contents :

• Modelisation in management
• Simple linear regression by ordinary least squares (OLS) : estimation and inference
• Multiple linear regression (MLR) by OLS : estimation and inference
• MLR with qualitative information
• Specification, selection, stability and prevision in MLR
• The normality assumption of the MLR model
• Heteroscedasticity
• Multicolinearity.

Teaching methods

• Lectures
• Case study
• Exercices by groups

Teaching is organized on-site, but could be remotely in the event of changes in health conditions.

Evaluation methods

Session 1 : Control in two parts

• Part I : continuous assessment (/14 points)
  • average of 3 notes (i.e. 3 tests during certain class sections)
• Part II :  case study, group work (/6 points), work taken into account only if the average test score is ≥ 7/20.

Session 2 : Individual written exam (with non-annotated form and statistical tables and a simple pocket calculator -non graphical and without full alphanumeric keyboard).
In the event of a change in health conditions towards a code orange or red, the evaluation can be organized remotely via a computer software provided to teachers and students by the university institution. The technical conditions of this evaluation related to the software will be specified to you at the moment the state authorities will have decided the sanitary conditions for the university institutions in case of evolution.

Online resources

Available on Moodle

Bibliography

• Supports de prise de notes (transparents) et forums sur la plateforme Moodle (slides and forums on the platform (Moodle).

Ouvrages de références (à titre d'exemple) :

• WOOLDRIDGE, J. (2013). Introductory Econometrics: A Modern Approach, 3th ed. South Western College Publishing., traduction française (2018) Introduction à l'économétrie : une approche moderne. De Boeck Supérieur.  
• GREENE W.H. (2002). Econometric Analysis, Prentice Hall.
• JOHNSTON J. & DINARDO J. (1999). Méthodes Econométriques, Economica, traduction de JOHNSTON J. & DINARDO J. (1997). Econometric Methods, 2th ed. Mc GrawHill.

Teaching materials

• Syllabus "Mathématiques avancées et fondements d'économétrie", F. Lefèvre.

Faculty or entity

ESPO