Description du contenu de l'enseignement :
This course of financial econometrics has three objectives: The first is to review theoretical aspects of the Ordinary Least Square (OLS) in order to better understand the implications of hypothesis departures and what needs to be done to correct the estimators and their precision. The second is to analyse, via simulation, the impact of hypotheses violation on estimators, on quality criteria and on regression tests. Finally, the third objective is to discuss the practice and practical implementation of these methods. The outline of the course is the following :
Introduction: "True" model - DGP;
Return on multiple regression Assumptions, statistical inference, quality criteria, dummy variables;
Return on the failure of OLS assumptions, tests and correction: Heteroskedasticity, Autocorrelation, Normality, Multicolinearity, Exogeneity, Specification error;
An alternative to the use of OLS: Generalized least squares, Double least squares, Maximum likelihood, Quantile regression (if time permits).