Financial econometrics 1

Compétence à acquérir :
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. If Gretl will be the econometric software used in the course, it is possible to use R.

Description du contenu de l'enseignement :
The objective is to know and understand econometrics as well as the operational implementation on the free software Gretl or R. If some theoretical aspects are studied, the focus is more on the acquisition of a scientific approach.

How to build an econometric model and how to use it?
The (simple and multiple) linear regression model
Inference, hypothesis testing and prediction
Specification and diagnostic testing (heteroskedasticity, autocorrelation, model specification)
Selection criteria