This course aims to study the properties of regression models and to relate them to economic models. We begin by studying the OLS estimator, at finite distance and asymptotically. We then look at a few extensions of the standard model via the heteroscedasticity and endogeneity problems.
- Reminders about OLS –The estimator and its properties, residual variance, the normal case: Student and Fisher tests.
- Asymptotic properties of the OLS estimator –Reminders of convergence types and limit theorems, convergence of the OLS estimator and asymptotic tests.
- Heteroscedasticity –Definition, consequences, generalised least squares. Properties of OLS, White’s matrix and test, quasi-generalised least squares, application to panel data, auto-correlation of residuals.
- Endogeneity of regressors and instrumental variables –Position of the problem, different sources of endogeneity, consequence for OLS, instrumental variables: indirect least squares, 2-stage least squares, specification tests. Simultaneous equations: structural form, reduced form, SUR models, 3-stage least squares.
Angrist, J. D., et Pischke, J. S. (2008). Mostly Harmless Econometrics: An Empiricist's Companion. Princeton university press.
Wooldridge, J. M. Introductory Econometrics. Thomson South-Western (2003).
Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data. MIT press.