TrainingsMasterEconomicsCoursesEconometrics I: linear model

Master EconomicsUE Econometrics I: linear model

Content

Provide students with :

  • the basics of panel data econometrics (fixed effects models, error components model)
  • the identification of endogeneity problems in econometric models and their treatment (instrumental variables, GMM, tests)

Course outline :

1. Introduction to panel data and panel data models

2. The fixed effects model

  • Specification of the model
  • Estimation of the model : the Within / LSDV estimator.
  • Testing the absence of unobserved heterogeneity.

3. The error components model

  • Specification of the model
  • Estimation of the model : the GLS / FGLS estimators.
  • Testing the absence of unobserved heterogeneity.
  • Testing the absence of correlation of the effects : the Hausman test

4. Endogeneity issues

  • Causes of endogeneity in econometric models : measurement errors, dynamic models, unobserved heterogeneity, etc.
  • The instrumental variables estimator
  • The GMM estimator
  • Looking for instruments (the time-series case, the cross-section case, the panel data case).
  • Testing the validity of instruments
  • Testing the exogeneity of regressors

Professional skills

  • Ability to choose the relevant estimation method for a given model.
  • Ability to determine the right specification of a model using the relevant testing procedures.

Languages used

Main languages used by this course:

  • Français
  • Anglais

Bibliography

  • Microeconometrics, A.C. Cameron and P.K. Trivedi, Cambridge University Press, 2005
  • Econometric Analysis of Cross Section and Panel Data, J. Wooldridge, the MIT Press, 2002.
  • R. Carter-Hill, W.E. Griffiths, G.C. Lim, Principles of Econometrics, Wiley, 2011.

Fundamental prerequisites

  • Basics of linear econometrics : OLS, GLS, FGLS and associated tests for serial correlation and heteroscedasticity.

Structure and organisation

  • 12 sessions of 2 hours each including small exercises.
  • The evaluation for this course is partly based on an econometric essay on a topic chosen by the student, in association with the Software for Economists1 course.

Volume of teachings

  • Lectures: 24 hours