# Fiches de cours 2017-2018

## Econometrics

#### Enseignant(s) :

Tseng Chih-Hsiao Michael

English

For sem. MA1

#### Summary

The course covers basic econometric models and methods that are routinely applied to obtain inference results in economic and financial applications.

#### Content

- Linear models;
- Least squares regression;
- Instrumental variables;
- Nonlinear models;
- Nonspherical errors;
- Large sample asymptotics: consistency, efficiency and limit distribution of estimators;
- Hypothesis testing.

#### Keywords

Linear models - least squares regression

#### Learning Prerequisites

##### Recommended courses

• Linear algebra
• Basic notions of statistics and economics

##### Important concepts to start the course

• Probability and distributions
• Laws of large numbers
• Central limit theorems

#### Learning Outcomes

By the end of the course, the student must be able to:
• Describe the basic assumptions of the linear regression model.
• Test whether the basic assumptions of the linear regression model are met in the data using formal statistical procedures.
• Derive statistical estimators like least squares and instrumental variables estimators.
• Recall basic goodness-of-fit measures like R-squared.
• Construct linear regression models from actual data using statistical variable-selection techniques like t-statistics and F-tests.
• Describe the main advantages and disadvantages of likelihood-based and IV-based inference procedures.
• Carry out linear and nonlinear hypothesis testing procedures.
• Discuss asymptotic properties of linear and nonlinear estimators such as consistency and efficiency..
• Conduct team-work and write an econometric report about linear and nonlinear regression models.

#### Transversal skills

• Write a scientific or technical report.

Lectures

#### Expected student activities

Group homework, exercises

#### Assessment methods

• 30% Homework
• 30% Midterm exam (close book)
• 40% Final exam (close book)

#### Supervision

 Assistants Yes

#### Resources

##### Bibliography

Econometric analysis / William H. Greene. ISBN:978-0-13-513740-6

Econometrics / Fumio Hayashi.  ISBN: 978-0691010182

Introduction to the Mathematical and Statistical Foundations of Econometrics/ Herman J. Bierens. ISBN: 978-0521542241

Lecture notes

#### Prerequisite for

• Advanced topics in financial econometrics
• Credit risk
• Derivatives
• Financial econometrics
• Fixed income analysis
• Investments

### Semaine de référence

LuMaMeJeVe
8-9
9-10 BS260
10-11
11-12
12-13
13-14BS270
14-15
15-16
16-17
17-18
18-19
19-20
20-21
21-22

Cours
Exercice, TP
Projet, autre

### légende

• Semestre d'automne
• Session d'hiver
• Semestre de printemps
• Session d'été
• Cours en français
• Cours en anglais
• Cours en allemand