Applied Econometrics

Home , Microfit, OxMetrics, SHAZAM (software)

K Hervé Dakpo [email protected] January 25, 2021

DUT STID FI Paris Descartes Objectives and Course Content Course Objectives

® Understand basic concepts in econometrics ¢ Identify the appropriate model for a speciﬁc economic question

¢ Derive the proper estimators

¢ Test (statistical signiﬁcance) implied economic theories

¢ Understand the consequences of the violations of key (regression) assumptions and pinpoint possible remedies

® Implement the computations using R statistical software

® Interpret the results

1 Course Content

¾ Chapter 0 Introduction

¾ Chapter 1 The Linear econometric Model: Estimation and Assumptions

¾ Chapter 2 The Linear econometric Model: Diagnostic tests

2 Materials Course’s main materials

• Course’s slides: based on all my readings

To start Wooldridge (2016) To go further Wooldridge (2010)

3 Course’s main materials

Other useful textbooks

• Angrist and Pischke (2008): Mostly Harmless Econometrics: An Empiricist’s Companion

• Greene (2017): Econometric Analysis

• Gujarati and Porter (2009): Basic Econometrics

• Hamilton (1994): Time Series Analysis

• Araujo, Brun, and Combes (2008): Econométrie

• Bourbonnais (2018): Econométrie

• Dormont (2007): Introduction à l’économétrie 4 Other Materials

Other materials for this course can be found:

• Econometrics by Bruce E. Hansen https://www.ssc.wisc.edu/~bhansen/econometrics/

• Basic Econometrics by Riccardo Luccheti http://www2.econ.univpm.it/servizi/hpp/lucchetti/ didattica/

5 Prerequisites Requirements: Background

Mathematical Statistics

• Elements of probability and distribution theory

• Expectations and other characteristics of probability distributions

• Important families of density functions

• Statistical inference

• ···

See Mittelhammer (2013) and Newbold, Carlson, and Thorne (2013)

There is also Matrix Algebra: See Poole (2014)

6 Software Software

• R statistical software (Cran R) https://cran.r-project.org/

• Rstudio https://www.rstudio.com/products/rstudio/download/

7 Software

Some resources to learn R

• http://cran.r-project.org/doc/manuals/r-release/ R-intro.pdf

• http://cran.r-project.org/other-docs.html

• https://bookdown.org/

• https://privefl.github.io/advr38book/index.html

• https://r-pkgs.org/index.html

• Teetor (2011) and Zuur, Ieno, and Meesters (2009)

8 Software

Econometrics Using R

• Fox and Weisberg (2018), Kleiber and Zeileis (2008), Vinod (2008), Heiss (2016), Hanck et al. (2019), and Colonescu (2016)

9 Software

Other R resources

• https: //cran.r-project.org/web/views/Econometrics.html

• https://bookdown.org/ccolonescu/RPoE4/

• https://www.econometrics-with-r.org/

• http://www.urfie.net/

• https://scpoecon.github.io/ScPoEconometrics/

10 Software

Other R resources

• https://www.zeileis.org/teaching/AER/index.html

• https://hhsievertsen.github.io/applied_econ_with_ r/#9_Difference-in-Differences

11 Software

Other Softwares

• Eviews • PC-GIVE • Julia • Python • GAMS • RATS • GAUSS • SAS • gretl • SHAZAM • LIMDEP • SPSS • MATLAB • Stata • MICROFIT • TSP • OxMetrics • ··· 12 Grading Grading Policy

§ Homework 20%

§ Mid-term 20%

§ Group project 60%

13 References

Angrist, J.D. and J.S. Pischke (2008). Mostly Harmless Econo- metrics: An Empiricist’s Companion. Princeton University Press. isbn: 9781400829828. url: https : / / books . google . fr / books?id=ztXL21Xd8v8C. Araujo, C., J.F. Brun, and J.L. Combes (2008). Econométrie. Bréal. isbn: 9782749503011. url: https://books.google. fr/books?id=PjQXOwAACAAJ. Bourbonnais, R. (2018). Économétrie - 10e éd.: Cours et ex- ercices corrigés. Dunod. isbn: 9782100777211. url: https : //books.google.fr/books?id=IiZFDwAAQBAJ. Colonescu, Constantin (2016). Principles of Econometrics with R. url: https://bookdown.org/ccolonescu/RPoE4/.

14 Dormont, B. (2007). Introduction à l’économétrie. Montchrestien. isbn: 9782707613981. url: https : / / books . google . fr / books?id=ZTAQKgAACAAJ. Fox, J. and S. Weisberg (2018). An R Companion to Applied Re- gression. SAGE Publications. isbn: 9781544336466. url: https: //books.google.fr/books?id=k_NrDwAAQBAJ. Greene, W.H. (2017). Econometric Analysis. Pearson Education. isbn: 9780134811932. url: https : / / books . google . fr / books?id=iICcDgAAQBAJ. Gujarati, D.N. and D.C. Porter (2009). Basic Econometrics. McGraw-Hill Irwin. isbn: 9780071276252. url: https://books. google.fr/books?id=6l1CPgAACAAJ. Hamilton, J.D. (1994). Time Series Analysis. Princeton Uni- versity Press. isbn: 9780691042893. url: https : / / books . google.fr/books?id=B8_1UBmqVUoC.

15 Hanck, Christoph et al. (2019). Introduction to Econometrics with R. Essen: University of Duisburg-Essen. url: https:// www.econometrics-with-r.org/. Heiss, F. (2016). Using R for Introductory Econometrics. Cre- ateSpace Independent Publishing Platform. isbn: 9781523285136. url: http://www.urfie.net/. Kleiber, Christian and Achim Zeileis (2008). Applied econometrics with R. Springer Science & Business Media. isbn: 0387773185. Mittelhammer, R.C. (2013). Mathematical Statistics for Eco- nomics and Business. Springer New York. isbn: 9781461239888. url: https://books.google.fr/books?id=MpPhBwAAQBAJ. Newbold, P., W.L. Carlson, and B. Thorne (2013). Statistics for Business and Economics. Prentice Hall. isbn: 9780136085362. url: https://books.google.fr/books?id=l3BLPgAACAAJ.

16 Poole, D. (2014). Linear Algebra: A Modern Introduction. Cen- gage Learning. isbn: 9781285463247. url: https://books. google.fr/books?id=V-UbCgAAQBAJ. Teetor, P. (2011). R Cookbook: Proven Recipes for Data Analy- sis, Statistics, and Graphics. O’Reilly Media. isbn: 9781449307264. url: https://books.google.bj/books?id=KIHuSXyhawEC. Vinod, H.D. (2008). Hands-on Intermediate Econometrics Us- ing R: Templates for Extending Dozens of Practical Examples. World Scientiﬁc. isbn: 9789812818850. url: https://books. google.fr/books?id=VL6Gql5MemMC. Wooldridge, J.M. (2010). Econometric Analysis of Cross Section and Panel Data. MIT Press. isbn: 9780262232586. url: https: //books.google.fr/books?id=yov6AQAAQBAJ.

17 Wooldridge, J.M. (2016). Introductory Econometrics: A Mod- ern Approach. Cengage Learning. isbn: 9781305446380. url: https://books.google.fr/books?id=wUF4BwAAQBAJ. Zuur, A.F., E.N. Ieno, and E.H.W.G. Meesters (2009). A Begin- ner’s Guide to R. Springer-Verlag New York. isbn: 9780387938370. url: http://books.google.fr/books?id=bvwVXHhNQ-4C.