Plan de cours - Sciences Po
Plan de cours - Sciences Po
Plan de cours - Sciences Po
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Course Syllabus<br />
Course Syllabus<br />
Econometrics for Decision Makers<br />
Christophe RAULT (Full Professor of Econometrics)<br />
Laboratoire d’Economie d’Orléans (UMR CNRS 7322, France), CESifo, IZA<br />
(Germany), and WDI (University of Michigan, USA),<br />
Email: chrault@hotmail.com, Site web : http://chrault3.free.fr<br />
Fall 2012 - Master PSIA - <strong>Sciences</strong>-<strong>Po</strong><br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Important<br />
Course Syllabus<br />
This syllabus is preliminary.<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
The Web page will be updated regularly.<br />
As a courtesy, lecture notes will be ma<strong>de</strong> available on the Web<br />
page.<br />
The online notes are not meant to replace your responsibility to<br />
attend class and take notes.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Course Purpose<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
The general objectives of this <strong>cours</strong>e are as follows:<br />
i) Introduce stu<strong>de</strong>nts to the basic elements of the general<br />
econometric procedure based on the study of the simple linear<br />
regression mo<strong>de</strong>l, in or<strong>de</strong>r to equip them with the basic knowledge<br />
required for performing quantitative analyses. Speci…cally, we will<br />
<strong>de</strong>al with applications of statistical methods to the testing and<br />
estimation of economic and …nancial relationships. The main topics<br />
covered inclu<strong>de</strong> the linear regression mo<strong>de</strong>l, extensions of the basic<br />
linear regression mo<strong>de</strong>l, and problems that arise when analyzing<br />
cross section and time series data by means of regression mo<strong>de</strong>ls.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Course Purpose<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
ii) Familiarise stu<strong>de</strong>nts with the use of general econometric<br />
software in empirical research using the EViews 5.0 software.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
O¢ ce Hours<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
The best place to …nd me is before class in the classroom. I can<br />
also be reached by email at christophe.rault@univ-orleans.fr<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Textbook<br />
Course Syllabus<br />
The main textbook for this class are:<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
- Chris Brooks (2008), Introductory Econometrics for Finance,<br />
Cambridge University Press, Fourth Edition.<br />
-Je¤rey M. Wooldridge (2009), Introductory Econometrics: A<br />
Mo<strong>de</strong>rn Approach, 4th ed., South-Western.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Textbook<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Please be aware that there are notation di¤erences between my<br />
lectures and the book. You are expected to i<strong>de</strong>ntify these and<br />
make the necessary translations. This is your responsibility.<br />
The following book by Kennedy is recommen<strong>de</strong>d as supplementary<br />
reading. It contains useful comments. Kennedy P., A Gui<strong>de</strong> to<br />
Econometrics. MIT Press, 5th ed., 2003.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Prerequisites<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Appendices A and B in the Wooldridge contain the requisite<br />
background material. I can not guarantee that you will be able to<br />
validate this <strong>cours</strong>e without this background.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Grading <strong>Po</strong>licy<br />
Remains to be <strong>de</strong>…ned.<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Software<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
During the lectures, I will use some concrete examples based on<br />
regressions done with the EViews 5.0 software There will be some<br />
lab component to the <strong>cours</strong>e. However, stu<strong>de</strong>nts are also expected<br />
to spend time outsi<strong>de</strong> of class sessions in or<strong>de</strong>r to replicate the<br />
estimations. The data for the replications will be posted on the<br />
<strong>cours</strong>e Web page. So, be prepared to <strong>de</strong>vote some time to<br />
programming, since that is essential to becoming pro…cient in the<br />
methods discussed in this <strong>cours</strong>e.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Calculators<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Since numerical calculations will be done often in class, you will<br />
need a calculator with the usual functions.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
Course Outline<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Based on my prior experience with <strong>cours</strong>es of this nature, I have<br />
not inclu<strong>de</strong>d dates to allow for maximum ‡exibility in covering the<br />
topics listed below. This <strong>cours</strong>e outline is preliminary and may be<br />
subject to revision.<br />
1 The methodology of econometrics<br />
2 A brief overview of the classical linear regression mo<strong>de</strong>l<br />
3 Further <strong>de</strong>velopment and analysis of the classical linear<br />
regression mo<strong>de</strong>l<br />
4 Classical linear regression mo<strong>de</strong>l assumptions and diagnostics<br />
5 Univariate time series mo<strong>de</strong>lling and forecasting<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
References<br />
Course Syllabus<br />
Important<br />
Course Purpose<br />
O¢ ce Hours<br />
Textbook<br />
Prerequisites<br />
Grading <strong>Po</strong>licy<br />
Software<br />
Calculators<br />
Course Outline<br />
References<br />
Chris Brooks (2008), Introductory Econometrics for Finance,<br />
Cambridge University Press, Fourth Edition.<br />
Je¤rey M. Wooldridge (2009), Introductory Econometrics: A<br />
Mo<strong>de</strong>rn Approach, 4th ed., South-Western.<br />
Christophe RAULT Econometrics for Decision Makers (Master PSIA - <strong>Sciences</strong>-<strong>Po</strong>)
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