Econometrics

Objectives

A company’s customer data is not the result of random experiments, but is observed on the basis of human behavior (purchases, clicks on product pages, reactions to promotions, etc.). Judging the effect of promotional offers can therefore be difficult, as they can be confused with windfall effects or limited to a specific population (highly connected young people, for example). In a statistical model, this translates into a correlation between the explanatory variables and the error term (known as endogeneity). The aim of econometrics is to evaluate a causal effect, by correcting for this endogeneity. This course presents the econometric approach (specification, identification, interpretation, links with economic and marketing theory), as well as the basic models and inference techniques used by econometricians (instrumental variables in particular).

Course outline

– Mobilize the concepts of micro-economic theory and the appropriate statistical techniques to construct indicators or conduct an economic study;

– Interpret the results of an economic study, distinguishing between descriptive and causal approaches;

– Analyze the sources and effects of the endogeneity of explanatory variables, and implement an instrumental variable analysis;

– Identify the potential biases and gains associated with the use of particular variables: policy evaluation, survey data, panel data, time series data, etc;

– Read and discuss an econometric text with a critical eye on data quality, choice of methods and interpretation of results.

Prerequisites

Not indicated