Econometrics

Objective: This course is an introduction to econometrics. It combines a theoretical and applied dimension. It starts by a discussion of the notion of random model and the principles of modeling. Then it presents the linear models of simple and multiple regression and their estimation methods. The rest of the course focuses on the non-verification of certain fundamental assumptions (autocorrelation and / or heteroscedasticity disturbances). The consequences and the appropriate estimation methods are studied. The empirical aspect is reflected in the presentation of numerous examples applied on microcomputers.

Outline:

Introduction (genesis of econometrics)

I - Modeling

II - The simple regression model

III - The multiple regression model

IV - Autocorrelation of disturbances

V - Heteroskedasticity of disturbances

VI - Estimation under linear constraints and hypothesis tests

Conclusion (Summary - Possible extensions)

Teaching method: Theoretical and applied lectures. Many examples are presented. They concern in particular the demand for money, the demand for labor, wage equations and the returns to education, etc.The applications are realized under the software Eviews .

Grading: 2 continuous assessments during the semester and a final exam at the end of the semester.

Bibliography:

• Cadoret, I., C. Benjamin, F. Martin, N. Herrard et S. Tanguy, 2004, Économétrie Appliquée, Méthodes, Applications, Corrigés, Ouvertures Économiques, De Boeck.
• Crépon, B. et N. Jacquemet, 2010, Économétrie : Méthode et Applications, Ouvertures Économiques, De Boeck.
• Dormont, B., 2007, Introduction à l’Économétrie, Seconde Edition, Montchrestien, Paris.
• Greene, W.H., 2008, Econometric Analysis, Sixth Edition, Pearson International Edition, New Jersey.
• Heij, C., P. de Boer, P.H. Franses, T. Kloek et H.K. van Dijk, 2004, Econometric Methods with Applications in Business and Economics, Oxford University Press.
• Pirotte, A., 2004, L’Économétrie, Des Origines aux Développements Récents, CNRS Économie, CNRS Éditions, Paris.
• Wooldridge, J.M., 2006, Introductory Econometrics : A Modern Approach, International Edition, Thomson.