TrainingsDE 2ème/3ème cycleDESU Magistère Ingénieur EconomisteCoursesEconometrics

DESU Magistère Ingénieur EconomisteUE Econometrics

Content

1) Goals : Provide students with the knowledge of the foundations of the econometrics of linear models. Make them capable of choosing and implementing the relevant estimation methods and statistical tests given the model and data characteristics.

2) Course overview :

1.- Introduction : what is econometrics (questions, methods, data) ?

2.- The linear model with several explanatory variables (endogenous variable, exogenous variables, assumptions on the residual terms, OLS, variance analysis, maximum likelihood estimator)

3.-Tests and confidence intervals (errors of first and second kinds, unilateral and bilateral tests)

4.-The linear models with serially correlated and/or heteroscedastic errors (properties of the OLS estimator, tests, GLS and Feasible-GLS estimators).

5. Examples : applications to microeconomic and macroeconomic issues

Professional skills

- Ability to associate the properties of estimation methods with the model assumptions

- Ability to properly interpret econometric results in order to determine the relevant estimation method or test to be used in the specific context under consideration

- Capability to answer a question by a proper use of econometric methods when relevant

Language used

Main language used by this course: Français.

Bibliography

- Econometric Methods with Applications in Business and Economics, C.Heij, P. de Boer, P.H. Franses, T. Kloek, H.K. van Dijk, Oxford University Press, 2004.

- Introductory Econometrics : A Modern Approach, J. Wooldridge, South Western College Publishing, 2003.

- Econometric Analysis, W.H. Greene, 7th edition, 2011, Pearson. (Translated in French)

Recommended prerequisites

Basic knowledge of probability theory and statistics (usual probability distributions, estimation and testing methods) as well as basic knowledge in microeconomics and macroeconomics.

Structure and organisation

24h course + 12h (tutorial)

This course is located in Marseille (Canebière) and Aix (Ferry)

The final evaluation will consist of two parts :

- written exam (exercises on the concepts and methods)

- an econometric project (written essay and oral presentation).

NB. The written essay and its presentation are common with those required for the evaluation of the Applied Statistics and Econometrics (Project) with SAS.

Volume of teachings

  • Lectures: 24 hours
  • Tutorials: 12 hours

Teachers

  • Gilles DUFRENOT
  • Patrick SEVESTRE

THE TRAININGS WHICH USE THIS COURSE