Descriptif

Advanced Linear Econometrics

In this course we introduce the linear regression model and its theoretical foundations. We present and discuss the methods to estimate such models, i-e to define the parameters of interest, estimate them and test their statistical significance, under different sets of assumptions (homoskedasticity or heteroscedasticity, exogeneity or endogeneity), specifications (simple or multiple regression) or types of data (cross-sectional, panel data, time series).

Outline:

1. Introduction to econometrics
2. The Simple Regression Model
3. Multiple Regression Analysis:
   1. Estimation
   2. Inference
   3. Asymptotics
4. Qualitative Information in Linear Regression
5. Heteroskedasticity
6. Repeated Cross Section and Panel Data
7. Instrumental Variables

Literature:

Angrist and Pischke: (2009): Mostly Harmless Econometrics, Princeton University Press.

Wooldridge (2013): Introductory Econometrics: A Modern Approach, 5^th Edition, South-Western College Publishing