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Introduction à l'Econométrie
[Introduction to Econometrics]

Author

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  • Keita, Moussa

Abstract

This manuscript provides an introduction to the econometric analysis. It is articulated around two parts structured on six chapters. The first part, devoted to the study of the linear model, consists of four chapters. The first presents some useful statistical concepts in Econometrics while the second and the third chapter is devoted to the study of simple linear model and multiple linear model. Concerning the fourth chapter, it focuses on the study of the generalized linear model (used in case of violation of certain standard assumptions of the linear model). In this first part, a particular emphasis is put on estimation methods such as ordinary least squares and maximum likelihood method. A broad discussion is also conducted on inference techniques and approaches to hypothesis testing. The second part of the work is devoted to the study of qualitative dependent variable models. In this part, two classes of models are considered: those of dichotomous dependent variable models (standard probit and logit model) and the models of polytomous dependent variable (ordered and unordered multinomial probit and logit models).

Suggested Citation

  • Keita, Moussa, 2015. "Introduction à l'Econométrie [Introduction to Econometrics]," MPRA Paper 66840, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:66840
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    File URL: https://mpra.ub.uni-muenchen.de/66840/1/MPRA_paper_66840.pdf
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    References listed on IDEAS

    as
    1. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    3. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
    4. Ruud, Paul A., 2000. "An Introduction to Classical Econometric Theory," OUP Catalogue, Oxford University Press, number 9780195111644.
    5. Morimune, Kimio, 1979. "Comparisons of Normal and Logistic Models in the Bivariate Dichotomous Analysis," Econometrica, Econometric Society, vol. 47(4), pages 957-975, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Econometrics; Linear model; qualitative variable; logit; probit; OLS; Maximum Likelihood;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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