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Establishment
Language of instruction
French, English
This course occurs in the following program(s)
Bachelor in Economics and Finance
- Crédits ECTS:
Licence Eco-Finance ou Gestion + Prepa Commerce
- Crédits ECTS:
Training officer(s)
Guillaume BOURGEOIS
Présentation
Prerequisite
This course requires an understanding of statistics: random variables, elements of multivariable statistics, classical distributions (normal, chi square, student, Fisher), asymptotic analysis, statistical inference (probability model and sample estimators, estimator qualities, hypothis tests), linear algebra (matrices, matrix operations)
Goal
This course is an introduction to econometrics. Its main objective to help students discover the econometric approach through the linear model. It seeks, first of all, good fundamental understanding of econometric modeling: the formulation of a population model and assumptions underlying the model estimation by different methods (OLS, maximum likelihood) based on a sample of observations, analysis of properties of estimators (algebra and statistics) and statistical inference to assess the quality of the estimate. The course then covers some developments of the linear model (linear constraints on the parameters, structural changes, auxiliary variables, multicollinearity, misspecification). Finally, tutorials that are intended to apply the concepts and tools studied in class are emphasized. Empirical applications and Monte Carlo simulations are developed on Excel to assist in the understanding and interpretation of econometric modeling
Presentation
Introduction
1) The nature of econometrics
2) The econometric modeling
Chapter 1. The estimated linear model with two variables by the least squared method (LSM)
1) The linear model
2) The assumptions on the model
3) The distribution of the dependent variable
4) Estimation by LSM
5) Interpretation of coefficients of the estimated regression line
6) The algebraic properties of the LSM estimator
7) The statistical properties of the LSM estimator
8) Induction statistics in the LSM model
9) Analysis of variance in the LSM model
10) forecasting model LSM
Chapter 2. The general linear model estimate
1) The general linear model
2) The assumptions of general linear model
3) Distribution of the dependent variable
4) Estimation by LSM
5) Interpretation of the estimated parameters in the general linear model
6) The algebraic properties of the LSM estimator
7) The statistical properties of the LSM estimator
8) Statistical inference in the LSM model
9) Variance analysis in the general linear model
10) The forecast in the general linear model
Chapter 3. The estimate of the general linear model by using maximum-likelihood
1) The maximum likelihood estimators and their properties
2) The estimate of the general linear model by maximum likelihood
3) The statistical properties of maximum likelihood estimators of the general linear model
Chapter 4. Developments around the general linear model
1) Tests of linear restrictions with parameters
2) Tests on structural changes
3) The auxiliary variables
1) The nature of econometrics
2) The econometric modeling
Chapter 1. The estimated linear model with two variables by the least squared method (LSM)
1) The linear model
2) The assumptions on the model
3) The distribution of the dependent variable
4) Estimation by LSM
5) Interpretation of coefficients of the estimated regression line
6) The algebraic properties of the LSM estimator
7) The statistical properties of the LSM estimator
8) Induction statistics in the LSM model
9) Analysis of variance in the LSM model
10) forecasting model LSM
Chapter 2. The general linear model estimate
1) The general linear model
2) The assumptions of general linear model
3) Distribution of the dependent variable
4) Estimation by LSM
5) Interpretation of the estimated parameters in the general linear model
6) The algebraic properties of the LSM estimator
7) The statistical properties of the LSM estimator
8) Statistical inference in the LSM model
9) Variance analysis in the general linear model
10) The forecast in the general linear model
Chapter 3. The estimate of the general linear model by using maximum-likelihood
1) The maximum likelihood estimators and their properties
2) The estimate of the general linear model by maximum likelihood
3) The statistical properties of maximum likelihood estimators of the general linear model
Chapter 4. Developments around the general linear model
1) Tests of linear restrictions with parameters
2) Tests on structural changes
3) The auxiliary variables
Modalités
Forms of instruction
Importance donnée à la fois aux aspects théoriques et pratiques. Certains résultats seront démontrés et les démonstrations devront être connues. Des applications sur Excel et R permettront d’illustrer les éléments théoriques.
Evaluation
Ressources
Bibliography
|| - <b>Bourbonnais, R. (2021). <i>Econométrie</i>. Dunod.</b><b> </b>|| <b> </b>|| - <b>J.M. Wooldridge,</b><b> </b>|| <b>“Introductory Econometrics. A Modern Approach”, Ed. Thomson, South Western, 2003.</b>|||| - W.H. Greene,|| “Econometric Analysis”, fourth edition, Ed. Prentice Hall International, Inc, 2000.||