Gaëlle Le Fol

Professor in Finance, Head of the Master 203, Université Paris - Dauphine Autres cours :

Introduction à l'économétrie de la finance

Les objectifs du cours

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.

Plan du cours

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

Bibliographie

Adkins L. C., Using gretl for Principles of Econometrics, Version 1.041, October 2013, Free copy;

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

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

Hill C., W. Griffiths and G. Lim, Principles of Econometrics, Wiley, 4th Edition, 2011 ;

Examen

1 final exam