Teacher(s)
Language
French
Content
The course introduces the main tools of econometrics, starting from an introductory level and including the mathematical foundations necessary for their understanding. The methods are illustrated with applications to problems in economics and management in order to connect theory with concrete cases.
An essential aspect of the course is learning econometric modeling: the aim is to understand how to move from a theoretical and general relationship between economic variables to the formulation and estimation of a specific form of this relationship in a given empirical context. The course also includes training in the use of econometric software to put the studied methods into practice.
Overview of course content (not all topics will necessarily be covered)
An essential aspect of the course is learning econometric modeling: the aim is to understand how to move from a theoretical and general relationship between economic variables to the formulation and estimation of a specific form of this relationship in a given empirical context. The course also includes training in the use of econometric software to put the studied methods into practice.
Overview of course content (not all topics will necessarily be covered)
- Concepts of vector and matrix calculus
- Covariance and regression: introduction to linear regression
- Inference: introduction to inference in linear regression
- Multicollinearity: Frisch-Waugh-Lovell theorem and variance inflation factor
- Regression model assumptions: Gauss-Markov theorem, functional form, and specification
- Endogeneity: instrumental variables and two-stage least squares (2SLS)
- Heteroscedasticity: inference correction and weighted least squares (WLS)
- Serial correlation: inference correction and Cochrane-Orcutt method
- Maximum likelihood: LM, LR, and Wald tests
- Binary dependent variable: Logit and Probit models
- Censoring and selection: Tobit and Heckman models
- Time series: stationarity and cointegration
- Panel data: fixed effects and random effects
Teaching methods
This course will cover the theory of the main econometric methods as well as practical applications in economics and management. No prior knowledge of programming is required. The teaching includes:
- Theoretical lectures: presentation of the theory underlying the methods and illustration of their empirical application
- Exercise sessions: practical implementation of the methods and reproduction of results using real datasets
Evaluation methods
The assessment consists of two parts:
- A written exam (closed book) accounting for 60% of the final grade. This exam will cover all the material studied in the course, both theoretical and applied.
- A group project on specific economics and management questions, accounting for 40% of the final grade. For this component, the grade obtained at the end of the semester is final up to and including the second session of the same academic year. There will be no opportunity to redo the work in the second session.
Other information
This course aims to develop students’ ability to understand and apply the main econometric methods to analyze data in economics and management. It fosters clear and structured analytical reasoning in order to connect theoretical models with concrete empirical situations.
By the end of the course, students will be able to use the fundamental tools of econometrics to estimate and test models, to formulate relevant questions based on available data, to choose an appropriate methodological approach, and to interpret results rigorously, both from a statistical and a managerial perspective.
By the end of the course, students will be able to use the fundamental tools of econometrics to estimate and test models, to formulate relevant questions based on available data, to choose an appropriate methodological approach, and to interpret results rigorously, both from a statistical and a managerial perspective.
Online resources
Available on Moodle
Bibliography
Supports de prise de notes (transparents) et forums sur la plateforme Moodle.
Ouvrages de références (d'autres références seront fournies au cours et dans les transparents) :
Ouvrages de références (d'autres références seront fournies au cours et dans les transparents) :
- Dougherty, C. (2007). Introduction to Econometrics, Oxford University Press. (Main reference book). Les diapositives utilisées pendant le cours théorique sont en français et constituent en grande partie une traduction et une adaptation des diapositives qui accompagnent ce livre.
- Greene, W. (2000), Econometric Analysis, Prentice Hall, London.
- Verbeek, M. (2000), A Guide to Modern Econometrics, Wiley-Interscience, New York.
Faculty or entity