TrainingsMasterEconomicsCoursesAdvanced econometrics

Master EconomicsUE Advanced econometrics

Content

The goal of this course is to present advanced methods in econometrics for distributional analysis, regression and classification models. The course will present theoretical foundations and underlying intuition of each method, as well as several empirical examples.

Course outline :

1. Resampling Methods

  • Pseudo-random generator
  • Monte Carlo experiments
  • Bootstrap and permutation tests

2. Nonparametric Econometrics

  • Density estimation
  • Regression splines
  • Finite mixture models

3. Econometrics and Machine Learning

  • Philosophy and general principle
  • Resampling-based methods and algorithms
  • Misspecification detection

Language used

Main language used by this course: Français.

Bibliography

  • Ahamada et Flachaire (2011) Non-Parametric Econometrics, Oxford University Press
  • Efron et Hastie (2016) Computer Age Statistical Inference, Cambridge University Press

Volume of teachings

  • Lectures: 24 hours

The trainings which use this course