Objectifs (en terme de compétences)

The purpose of the course is to cover several important topics in econometric theory, at an intermediate or advanced level without assuming necessarily a previous knowledge in econometrics (although knowledge of introductory econometrics is recommended) ; the principle is to move quickly from a basic level to an advanced one.

Objet de l'activité (principaux thèmes à aborder)

It is impossible to cover all the important topics of econometrics in this way in 30 hours. However, some topics should be covered every year, such as :- generalized least squares theory, thereby encompassing classical least squares and enabling to cover the treatment of serial correlation, heteroskedasticity, systems of equations, error component models, random coefficients models ...);- standard large sample theory (with application to maximum likelihood estimation, nonlinear least squares, robust estimation ...). Apart from this, topics could be selected in the following menu :- simultaneous equation models (linear or not)- qualitative response models (discrete choice analysis)- Tobit models (limited dependent variables)- models for count data (discrete dependent variables)- non-standard large sample theory (with application to time series models with unit roots ...)- Markov chain and duration models- semi-parametric and non-parametric techniques.

Autres crédits de l'activité dans les programmes