Marc-Arthur Diaye
Université Paris I Panthéon Sorbonne
office: MSE, 514
François Gardes
Université Paris I Panthéon Sorbonne, PSE
office: MSE, 508; phone: 01 44 07 82 87
Christophe Starzec
CNRS-CES
office: MSE, 416.
Applied Econometrics (A and B)
QEM, January-May 2017
MSE, Room 117
Approach: In this course, we will present the basic methods of econometrics and various important problems encountered in the estimation or test of econometric models. Abundant examples will be analyzed in order to show how the various technics of econometrics are applied in practice. These examples will be discussed both from the economic and from the econometric point of view.
Econometrics A: François Gardes and Christophe Starzec
Mondays January 16, 23, 30; February 6, 13, 20, 27.
Wednesdays January 18, 25; February 1, 8, 22; March 1, 8 Exam).
Econometrics B: Marc-Arthur Diaye (MAD), François Gardes andChristophe Starzec
Mondays March 6, 13, 20, 27; April 3, 24(MAD).
Wednesdays March 15, 22, 29; April 5, 19 (MAD),26 (MAD); May 3 (MAD), 10 (Picking up session), 15 (Picking up session), 22 (Exam).
Monday January 16, 2017, 16.30-19.30:C. Starzec
Introduction: Presentation of the course; different types of data and econometric methods.
Chapter I: Simple and multiple regression: theory of linear models.
Reference: Cameron-Trivedi, Chapter 4.
Wednesday January 18, 2017, 15-18:C. Starzec
Chapter I: Simple and multiple regression: applications.
Reference: Cameron-Trivedi, Chapter 4.
Monday January 23, 2017, 16.30-19.30:C. Starzec
Chapter II: Statistical distributions; Hypothesis tests: theory.
Reference: Cameron-Trivedi, Chapter 7.
Wednesday January 25, 2017, 15-18:C. Starzec
Chapter II: Chapter II: Hypothesis tests: applications.
Reference: Cameron-Trivedi, Chapter 7.
Monday February 6, 2017, 16.30-19.30: F. Gardes
Chapter III: Problem in OLS estimation: endogeneity, measurement errors, instrumentation
Application: Minimum income and the Easterlin paradox
Reference: Cameron-Trivedi, Chapter 4, 95-112; Chapter 26 .
Chapter IV: System of equations
Reference: Cameron-Trivedi, Chapter 6, 206-210 .
Application: Complete Demand System: Almost ideal Demand System, Linear Expenditures System.
References
The principal reference is the text book by Cameron and Trivedi.
B. H. Baltagi, 1995, Econometric Analysis of Panel Data, Wiley.
Cameron-Trivedi, 2005, Microeconometrics: Methods and Applications, Cambridge University press.
Cameron-Trivedi, 2009, Microeconometrics using Stata, Cambridge University Press.
William H. Greene, 2000, Econometric Analysis, Prentice Hall International edition, 4th edition.
William E. Griffith, R. Carter Hill, Georges G. Judge, 1993, Learning and Praticizing Econometrics, John Wiley.
Jeffrey M. Woolridge, 2002, Econometric Analysis of Cross Section and Panel Data, The MIT Press.
Various articles will be furnished or placed on miesz.free.fror on the EPI of the course.
François Gardes, MSE, room 508
Monday January 30-Monday February 6, 2017, 16.30-19.30
Addendum: Structural models and reduced form equations
Application: Quantitative Analysis of Needs: an application of OLS using subjective data on minimum income and utility
Reference: Gardes, F., Merrigan, P., 2007, Individual Needs and Social Pressure: Evidence on the Easterlin Hypothesis on Canadian Repeated Cross-Sections, Journal of Economic and Business Organisation, vol. 66, June.
Chapter III: Problem in OLS estimation: measurement errors, instrumentation
Application: Income in Family Budgets surveys
References: Cameron-Trivedi, Chapter 4, 95-112; Chapter 26 .
Chapter IV: System of equations
Reference: Cameron-Trivedi, Chapter 6, 206-210 .
Application: Complete Demand System: Almost ideal Demand System, Linear Expenditures System.
References: Gardes: Specification of Demand Systems
Chapter V: Econometrics of panel data: the linear model
Reference: Cameron-Trivedi, Chapter 21.
Applications: a. Expectations methods
b. Consumption functions
Reference: F. Gardes, G.J. Duncan, P. Gaubert, C. Starzec, 2005, A Comparison of Consumption Laws Estimated on American and Polish Panel and Pseudo-Panel Data, Journal of Business and Economic Statistics, April.