 | Study programme 2019-2020 | Français | |
| Statistics and Econometrics for Business | |||
Learning Activity |
| Code | Lecturer(s) | Associate Lecturer(s) | Subsitute Lecturer(s) et other(s) | Establishment |
|---|---|---|---|---|
| W-AETR-005 |
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| Language of instruction | Language of assessment | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Term |
|---|---|---|---|---|---|---|---|
| Français | Français | 30 | 15 | 0 | 0 | 0 | Q2 |
| Organisational online arrangements for the end of Q3 2019-2020 assessments (Covid-19) |
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| Description of the modifications to the Q3 2019-2020 online assessment procedures (Covid-19) |
-The subject to know for the exam based on the course notes + slides available on moodle : - univariate time series analysis - VAR(p) models - Non-stationarity and unit root testing - Volatility modeling - Econometrics of binary variables Examination procedures : - Duration: between 2 to 3h (will be specified on the form, the day of the examen)entr - form available on Moodle on the day of the test - mix of multiple choice + small open-ended questions - questions on theory - small exercises directly related to theory * identification of ARMA models based on correlograms or partial correlograms * translate a specification into an equation Ex : Q : y_t follows an ARMA(1,2) ARCH(3) process : A : y_t= mu + phi_1*y_t-1 + u_t + theta_1*u_t-1 + theta_2 * u_t-2 with u_t ~ N(0,sigma²_t) sigma²_t=alpha_0 + alpha_1*u²_t-1 + alpha_2*u²_t-2 + alpha_3*u²_t-3 . |
Content of Learning Activity
Univariate and multivariate time series analysis : ARMA, unit root and stationarity tests, VAR, ARCH and GARCH models, ... Cross-sectional and panel data analysis (probit, logit).
Required Learning Resources/Tools
Not applicable
Recommended Learning Resources/Tools
Not applicable
Other Recommended Reading
Chris Brook « Introductory econometrics for finance », Cambridge University Press Michel Tenenhaus : "Statistique : méthodes pour décrire, expliquer et prévoir"
Mode of delivery
- Face to face
Type of Teaching Activity/Activities
- Cours magistraux
- Conférences
- Travaux pratiques
- Travaux de laboratoire
- Exercices de création et recherche en atelier
- Projet sur ordinateur
- Etudes de cas
Evaluations
The assessment methods of the Learning Activity (AA) are specified in the course description of the corresponding Educational Component (UE)
(*) HT : Hours of theory - HTPE : Hours of in-class exercices - HTPS : hours of practical work - HD : HMiscellaneous time - HR : Hours of remedial classes. - Per. (Period), Y=Year, Q1=1st term et Q2=2nd term