Fiches de cours

Econometrics

FIN-403

Enseignant(s) :

Semadeni Claudio Andri

Langue:

English

Remarque

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 regression models; least squares estimation; maximum likelihood inference.

Learning Prerequisites

Recommended courses

Important concepts to start the course

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Ex cathedra lectures and exercise sessions.

Expected student activities

Attending lectures, reading written material, completing exercises and group homework.

Assessment methods

Supervision

Office hours No
Assistants Yes
Forum No

Resources

Bibliography

Bierens, H. J. (2004). Introduction to the mathematical and statistical foundations of econometrics. New York: Cambridge University Press.
Greene, W. H. (2012) Econometric analysis. Seventh edition. Edinburgh: Pearson Education Limited.
Hayashi, F. (2000) Econometrics. Princeton: Princeton University Press.
Stock, J. H. and Watson, M. W. (2015) Introduction to Econometrics. Third edition. Edinburgh: Pearson Education Limited.

Ressources en bibliothèque
Notes/Handbook

Lecture notes.

Prerequisite for

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
8-9     
9-10     
10-11     
11-12     
12-13     
13-14 EXTRANEF_126   
14-15    
15-16     
16-17   BS270 
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