Gaëlle Le Fol

Professor in Finance Head of the master 203, Université Paris - Dauphine Other Courses :

Marchés électroniques

Introduction à l'économétrie de la finance

Course objectives

This course is an introduction and/or refresher course in Econometrics that focuses on techniques for estimating regression models, on problems commonly encountered in estimating such models, and on interpreting the estimates. The goal is to provide participants with the basic skills and knowledge necessary to undertake empirical research and to prepare them to the advanced course in Econometrics of Financial Markets. Gretl will be the econometric software used in the course.

Course outline

The (simple and multiple) linear regression model
Inference, hypothesis testing and prediction
Specification and diagnostic testing (heteroskedasticity, autocorrelation, model specification)

References

Brooks C., Introductory Econometrics for Finance, Second Edition, Cambridge University Press, 2008 ;

Gujarati D. (2009), Basic Econometrics, McGraw Hill Higher Education; 5th Revised edition edition ;

Kennedy P. (2008), A Guide to Econometrics, Wiley-Blackwell; 6 edition.

Assessment