This course sets out to introduce students to the main econometrical methods used for that purpose (linear regression, instrumental variables, simultaneous equations, panel data, dichotomous variables and audits and evaluation methods). Concrete examples (estimates of production functions, wage equations, money demand and assessment of employment policies) feature prominently on the course.

Economics is a discipline that, without being an experimental science, has been built up on observation of the facts and tests the accuracy of its theoretical concepts against empirical facts. Indeed, the ability to process large data sets into meaningful statistics is a much sought-after skill in the professions with a significant economic, para-economic or financial component.

Syllabus:
1. The linear regression model (Ordinary least squares)
2. Hypothesis testing in the linear regression model; generalized least squares
3. Endogeneity: definition and examples
4. Instrumental variables
5. The panel linear model with fixed effects
6. Qualitative models: logit and probit models
7. Other qualitative models: ordered probit , multinomial logit, etc.
8. Tobit model: the selection bias
9. Evaluation methods

References:
- Angrist J. et Pischke J.-S., 2008, Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press.
- Cameron A. C. et Trivedi P., 2005, Microeconometrics: Methods And Applications. Cambridge University Press
- Greene W. H., 2008, Econometric Analysis. Pearson Education, 6th International Edition.
- Wooldridge J. M., 2008, Introductory Econometrics. South-Western, Div of Thomson Learning.

Course taught in English

Dernière mise à jour : lundi 19 novembre 2012