Master in Economics

managing institutions

Ecole Polytechnique (year 1)

ENSAE (year 2)

Second Year (M2)

Outline of the Second Year: M2

Specialization fields:
Financial Economics
Economic Theory, Decision Theory and Games
Industrial Economics, Markets and Organizations
International Trade and Spatial Economics
Macroeconomics
Public Economics and Public Finance
Labour Economics and Public Policy Evaluations
Econometrics


Each field of specialization proposes core and specialization courses.
Students must choose at least 4 core courses.
Students choose at most 28 ECTS (or 7 courses) in the first semester.
At least 4 courses must belong to the same area of specialization...
The choice of courses over the entire year must total 40 ECTS.

Over the whole year

Dissertation 20 ECTS


Determination of a research topic, bibliographic research and data sources: 2 ECTS.
and
Completed Dissertation: 18 ECTS.

List of courses

Financial Economics

Core Field Courses

Corporate Finance Theory 4 ECTS
Denis Gromb

– Financing and Pay-out Policy
- Behavioural Corporate Finance
- Banking and Financial Intermediation
- Corporate Debt Structure
- Financial Restructurings and Bankruptcy
- Initial Public Offerings (IPOs)
- Mergers and Acquisitions (M&A) and Leveraged Buyouts (LBOs)
- Corporate Finance and Product Market Competition (IO)
- Entrepreneurial Finance and Venture Capital (VC)
- Corporate Governance
- CEO Pay and Implicit Incentives
- Family Firms
- Stock Prices and Corporate Policy
- Corporate Finance, Law and Politics.

Location: HEC, Jouy-en-Josas
Semester: 3
Hours: 24


Asset Pricing 4 ECTS
Thierry Foucault

- Equilibrium in security markets
- Mean variance analysis, CAPM
- Factor pricing
- Multi-period asset pricing
- Arbitrage pricing
- Asymmetric information and asset prices
- Illiquidity and asset prices
- Limits to arbitrage.

Location: HEC, Jouy-en-Josas
Semester: 3
Hours: 24


Financial Econometrics 3 ECTS
Jean-Michel Zakoian

- Empirical properties of financial returns: returns of financial assets; assumptions on the returns process.
- Efficient portfolios: efficient frontier; Sharpe performance; estimation of the efficient frontier; estimation and tests of the performance of portfolios.
- CAPM: regression of baseline returns on a portfolio's return; equilibrium model; regression on the market portfolio; security market line; testing the CAPM.
- Factor models: absence of arbitrage opportunity assumption; estimation in the case of observable factors; factors selection: principal component analysis and factor analysis; empirical application.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 18


Banking and Financial Intermediation 4 ECTS
Guillaume Vuillemey

Location: HEC, Jouy-en-Josas
Semester: 3
Hours: 24

Specialized Courses

Market Microstructure 3 ECTS
Stefano Lovo

The purpose of the course is to acquaint students with market microstructure.
This course present some auction theory tools used in financial markets microstructure. It then presents the main models of market microstructure analyzing the role of risk aversion and private information in the process of price formation. The last part of the courses is dedicated to specific topics such that herd behavior in the stock market and robust price formation.

Location: HEC, Jouy-en-Josas
Semester: 4
Hours: 18


Asset Pricing, Liquidity and Market Imperfections 3 ECTS
Johan Hombert

- Market anomalies (excess volatility, predictability, reversal, momentum, violation of the law of one price)
- Risky arbitrage (fundamental risk, noise trader risk, bubbles, market timing)
- Constrained arbitrageurs (leverage constraints, capital constraints)
- Incentives (risk shifting, tail risk, herding)
- Behavioral finance (loss aversion, heterogeneous beliefs, extrapolative expectations, limited attention).

Location: HEC, Jouy-en-Josas
Semester: 4
Hours: 18


Credit Risk Analysis 3 ECTS
Christian Gourieroux

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18


Econometrics of Commodity and Asset Pricing 3 ECTS
Alain Monfort

- Discrete time affine processes, Laplace transforms
- Discrete time asset and commodity pricing, risk neutral dynamics
- Econometrics of forwards, futures, convenience yields
- Interest rates models, switching regimes, zero lower bound, lift-off, default
- Statistical inference in affine and quadratic interest rate models
- Credit risk models, credit VaR, credit event pricing
- Option pricing, truncated Laplace transforms
- International modeling, Wishart processes.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18


Dynamic Corporate Finance 3 ECTS
Bruno Biais

Location: HEC, Jouy-en-Josas
Semester: 4
Hours: 18


Empirical Corporate Finance 4 ECTS
Adrien Matray, David Thesmar

Location: HEC, Jouy-en-Josas
Semester: 4
Hours: 24

Economic Theory, Decision Theory and Games

Core Field Courses

Game Theory 4 ECTS
Olivier Gossner, Nicolas Vieille

The course treats strategic aspects of information, both in static and dynamic setups. Applications to conflict analysis, industrial organization and finance among other topics will be discussed. Topics:
- Information and its value
- Modeling inattention
- Optimal bluffing
- Biases and communication
– Learning
- Building a reputation
- Partnership games
- Speculative attacks
- Bank runs
- Social learning
- Bandit problems
- Strategic experimentation
- Repeated games with incomplete information.

Location: ENSAE, Palaiseau (Olivier Gossner) et HEC, Jouy-en-Josas (Nicolas Vieille)
Semester: 3
Hours: 24


Decision Theory 4 ECTS
Brian Hill, Stefania Minardi

- Decision under certainty: utility maximization
- Choice Functions
- Semi-orders
- Choice under risk: von Neumann and Morgenstern's Expected Utility
- Choice under uncertainty: Subjective Expected Utility (de Finetti, Savage, and Anscombe-Aumann Theorems)
- Experimental violations of expected utility
- Generalizations: Ambiguity models (Choquet and Maxmin Expected Utility).

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Experiments in Economics and Social Sciences 4 ECTS
Guillaume Hollard

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24

Specialized Courses

Dynamics of Information and Communication in Games 4 ECTS
Tristan Tomala

- Models of strategic information transmission
- Sender-receiver games: cheap talk and Bayesian persuasion
- Mediated communication: communication and correlated equilibria
- Long-term interactions and Folk Theorems
- Long-term sender-receiver games: persistent private information, information renewal
- Information transmission over communication networks.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Advanced Decision Sciences 4 ECTS
Mohammed Abdellaoui

- Preference relations on Cartesian Products and Properties
- Substitution consistency (Wakker, 2010)
- Additive preferences
- Application to Expected Utility (Savage) and Intertemporal Choice (Koopmans)
- Original Prospect Theory (Kahneman and Tversky, 1979)
- Prospect theory for risk and elicitation techniques
- Prospect theory for Ambiguity and elicitation techniques
- Eliciting Ambiguity Attitudes under Prospect Theory.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Social Choice and Voting 4 ECTS
Yukio Koriyama, Rida Laraki

Social choice theory
- Arrow's model, Majority Judgment's model
- Strategy-proofness (Gibbard-Satterthwaite)
- Nash and Strong equilibrium
- Comparing voting rules (simple majority, Borda, Condorcet, Approval voting, Majority judgment)
Decision making in committee
- Information aggregation
- Condorcet Jury Theorem
- Poisson Games (and other refinement models)
Apportionment problems
- Shapley-Shubik index, Banzhaf-Penrose index
- Optimal apportionment
Bargaining
- Nash Bargaining Solution
- Bargaining Games.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

Industrial Economics, Markets and Organizations

Core Field Courses

Theory of Industrial Organization 4 ECTS
Marie-Laure Allain, Laurent Linnemer, Thibaud Vergé

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Theory of Contracts and Incentives 4 ECTS
Robert Gary-Bobo

- Principal-Agent Model under Pure Moral Hazard. Grossman and Hart's Model. Extensions and Applications.
- The Principal-Agent Model under Pure Adverse Selection. Revelation Principle. Incentive Constraints. Application to Optimal Regulation: Laffont and Tirole's Model.
- Multi-Agent Problems. Incentives in Teams. Yardstick Competition. Tournaments.
- Introduction to Dynamic Approaches. Self-enforcing or implicit contracts. McLeod and Malcomson's Model of Labor Contracts. Career Concerns. Relational Contracts.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Empirical Industrial Organization 4 ECTS
Roxana Fernandez

- Introduction to Structural Econometrics in IO (structural models, reduced forms, and descriptive models)
- Estimation of Production Functions
- Entry Models and Market Structure: Estimation of Fixed Costs
- Models of Market Power: Estimation of Demand and Marginal Costs.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24

Specialized Courses

Consumer Economics and Pricing Strategies 4 ECTS
Claire Chambolle, Philippe Choné, Laurent Linnemer

- Seller reputation and advertising behavior.
- Economics of retailing.
- Dynamic pricing and revenue management.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

s

Advanced Theory and Econometrics of Contracts 4 ECTS
Raicho Bojilov

This course has a strong methodological component and builds on the basic static models of adverse selection, moral hazard, and signalling. It introduces basic models of repeated interaction under asymmetric information and illustrates them through applications to renting and purchase of durable goods, risk-sharing and insurance with fixed and changing types, employment contracts with and without saving technology, ownership and property rights, financial structure and control, exclusive dealing, and performance contracts. Finally, it relates the material to recent empirical work, both reduced-form and structural, on testing contract theory.

The course starts with a review of the Principal-Agent paradigm applied to static models of asymmetric information. It continues with the analysis of multi-agent models of moral hazard and adverse selection. Then, the course presents some basic models of adverse selection including models with fixed types and with changing types and after that models of dynamic moral hazard with an emphasis on the effect of financial instruments and renegotiation. Next, it switches to the study of incomplete contracts, the design of institutions, the famous hold-up problem, implicit and explicit incentives in models of symmetric learning. The discussion of each topic is supplemented by a review of the related empirical work.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Competition Policy in Practice: Cases 4 ECTS
Thibaud Vergé

- Vertical contracting in online platforms
- Horizontal mergers
- Information exchanges
- Exclusionary practices (e.g., tying/bundling, rebates)
- Private damages.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Topics in Insurance Economics 4 ECTS
Pierre Picard

Insurance demand
- Wealth and price effects
- Background risks
- Umbrella policy (application to insurance captives for corporate risk management)
- Optimality of straight deductible contracts
- Insurance demand for low probability – high severity risks (the case of nuclear risk)
Adverse selection
- The Rothschild-Stiglitz equilibrium puzzle
- Solving the puzzle
- Advantageous selection
Ex-post moral hazard in health insurance
- The trade-off between incentives and risk-sharing
- Optimal health insurance (with illustration by the ObamaCare)
Insurance fraud
- Costly state verification
- Costly state falsification
- Audit with scoring (with application to fraud detection).

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Economics of Innovation and Intellectual Property 3 ECTS
Manasa Patnam (On leave 2017-2018)

- Innovation: Introduction and R&D
- Innovation: Intellectual Property and Patents
- Digitization: Internet Supply and Demand, Policy and Data Collection
- Digitization: Economic Frictions and New Markets.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18

International Trade and Spatial Economics

Core Field Courses

International Trade 4 ECTS
Grégory Corcos, Isabelle Méjean

Part 1: Neoclassical trade models
- Ricardian comparative advantage
- Factor endowments and comparative advantage: The HOS model
- Many goods and many factors
- Empirical performance of neoclassical trade models
Part 2: Modern trade models
- Trade under imperfect competition: From Krugman (1980) to Melitz (2003)
- Heterogeneous firms: theory and evidence
- Comparative advantage and barriers to trade: the Eaton Kortum (2002) model
Part 3: Gravity and the Gains from Trade
- Gravity equations: theory and estimation
- Quantifying gains from trade
Part 4: The international fragmentation of the production process

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Economic Geography and Urban Economics 4 ECTS
Miren Lafourcade

- Spatial disparities: An Overview
- The Core-Periphery Model of Economic Geography: Theory and Practice
- The Bell-Shaped Curve of Spatial Development: Theory and Practice
- An introduction to Urban Economics Theory
- Agglomeration Economies, Urban Costs and Urban Policy.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

Specialized Courses

Factor Mobility in a Global Economy 4 ECTS
Farid Toubal (On leave 2017-2018)

- Firms and multinational production: theory and evidence
- Horizontal models, heterogeneity in total factor productivity, fragmentation and global value chains
- Internalization versus integration in a globalized world
- Granularity and impact on aggregate outcomes.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Issues in Globalization 4 ECTS
Mathieu Crozet *, Isabelle Méjean

* José de Sousa replaces Mathieu Crozet during the academic year 2017-18

- The determinant of firm-level decision to export
- Granularity in international trade
- Networks in international good markets
- The role of vertical differentiation on export performances
- The special case of trade in services
- The impact of trade policies in various market structures
- The mechanisms of trade negotiations and the role of lobbies on the design of trade policies
- The impact of globalization on labor market and wage inequalities within countries
- The impact of real exchange rate movements and other trade impediments on international trade.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Trade and Development Policies 4 ECTS
Margherita Comola, Felipe Starosta de Waldemar

- Economic development: structural transformation as a determinant
- Product Space and Economic Complexity: approaches to study structural transformation
- Low income Countries
- Trade and development
- Capital flows to developing countries
- Macro/microeconomic determinants and impacts of aid and foreign direct investments
- Macro/microeconomic determinants and impacts of migration and remittances.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Transport, Location, and Urban Economics: new challenges 4 ECTS
André de Palma

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

Macroeconomics

Core Field Courses

Macro-Finance 4 ECTS
Edouard Challe

Part 1: Asset bubbles
- Basics: bubbles in partial and general equilibrium
- Intersectoral effects of bubbles
- Bubbles and borrowing constraints
- Alternative theories: risk shifting, heterogenous beliefs
Part 2: Financial crises
- Liquidity crises
- Self-fulfilling crises and equilibrium selection
- Excess borrowing and fire sales
- Macroprudential policies
Part 3: Incomplete markets and macroeconomic fluctuations
- Basic incomplete-market models
- Precautionary savings and aggregate volatility
- Public debt and fiscal policy
Part 4: Investment and firm dynamics with financial frictions
- Investment under financial frictions
- Uninsurable investment risk
- Firm distribution and dynamics.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Monetary Economics 4 ECTS
Olivier Loisel

Part 1: Conventional monetary policy in the basic New Keynesian model
- The basic New Keynesian model
- Optimal monetary policy
- Monetary-policy design
Part 2: Conventional monetary policy in extended New Keynesian models
- The sticky-wages extension
- The small-open-economy extension
- Other extensions and estimation issues
Part 3: Unconventional monetary policy in New Keynesian models
- Forward guidance
- Quantitative vs. credit easing
- Credit policy.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Recursive Methods and Applications to Macroeconomics 4 ECTS
Julien Prat

Part 1: Dynamic Programming under Certainty
- Application: Optimal Growth
Part 2: Dynamic Programming under Uncertainty
- Applications: Asset Pricing, Equilibrium Search Unemployment, Reputation
Part 3: Dynamic Programming "Squared"
- Applications: Optimal Capital Tax, Labor Contracts, New Dynamic Public Finance.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24

Specialized Courses

Intertemporal Choice: Theory and Applications 4 ECTS
Nicolas Drouhin

Part 1: General introduction
- Optimal control in economics and management
- A two period model of intertemporal Choice
- Mathematical prerequisites
Part 2: Optimal control
- Basic problem: necessary and sufficient condition for optimality
- Free endpoint end free ending time problems, scratch values
- Constraints on the state and control variables
- Infinite horizon
- Multidimensional problem
Part 3: Various topics in life cycle theory
- Consumption vs investment: a continuous time Fisherian separation theorem
- Education
- Health
- Uncertain lifetime
- Labor and Social security
Part 4: Various topics in behavioral intertemporal choice
- A brief introduction to the axiomatic of intertemporal preferences
- Time consistency
- Memory and Addiction.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Applied Macroeconometrics 4 ECTS
Pierre-Olivier Beffy, Julien Matheron, Hervé Le Bihan

Location: ENSAE, Palaiseau
Semester: 4
Hours: 20


International Macroeconomics 3 ECTS
Eric Mengus, Tomasz Michalski

- International business cycles in small open economy models and two country models
- Risk sharing
- International business cycles and heterogenous firms
- Exchange rates as asset prices
- Simple models of nominal exchange rates and the predictability of exchange rates
- The behavior of the real exchange rate
- Three generations of exchange rate crisis models
- Home bias: causes and consequences
- History of sovereign debt
- Reputation models of sovereign debt
- Internal consequences of default.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18

Public Economics and Public Finance

Core Field Courses

Public Economics 4 ECTS
Robert Gary-Bobo

- Some Social Choice and Collective Decision-making. Aggregation of preferences. Arrow's theorem. The majority rule. Some theory of economic justice. Foundations of utilitarianism
- Theory of Public Goods. Introduction to Implementation Theory. Revelation of preferences for public goods. Clarke-Groves and Bayesian Mechanisms
- Theory of Externalities. Difficulties of Pigovian and Coasian internalization. Mechanism Design approach
- Local Public Goods and Clubs. Equilibria with free mobility à la Tiebout. Theory of clubs. General equilibrium with clubs
- The Proper Scope of Government. Can we privatize (almost) everything? The Incomplete Contracts approach to Privatization
- Applications. Congestion and Road Pricing. Economics of Crime. Relational contracts approach to illegal modes of governance. Economics of Education: Reasons for public intervention. Education and distributive justice.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Public Finance 4 ECTS
Jean-Baptiste Michau, Pierre Boyer

- Tax incidence
- Distortions and welfare losses
- Interpersonal comparisons of utilities (social welfare function)
- Optimal labor income taxation (linear, non-linear)
- Commodity taxation
- Taxation of capital
- Insurance against wage fluctuations
- Intergenerational taxation.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Political Economy 4 ECTS
Alessandro Riboni, Pierre Boyer

- Tools of political economics (Electoral competition, Agency Models of Election, Partisan Politicians, Legislative Bargaining, Probabilistic Voting, Interest-groups)
- Redistributive politics and Public Good Provision (Median Voter Models, Divide the dollar game)
- Comparative Politics (Electoral Rules and Electoral Competition)
- Dynamic Political Economy (Fiscal and Monetary Policy, Government Debt, Legal and Fiscal Capacity, Welfare State Dynamics).

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24

Specialized Courses

Catastrophic Risks and Insurance Markets 4 ECTS
Pierre Picard

Part 1: Three examples of insurance schemes for natural disasters
- Natural disaster insurance in France
- National Flood Insurance Program in the US
- Caribbean catastrophe Risk Insurance Facility
Part 2: Risk pooling, correlated risks, reinsurance and Alternative Risk Transfer
- The limits to risk pooling under correlated risks
- Mechanisms of reinsurance for catastrophic risks
- Transferring catastrophic risks to financial markets
Part 3: Insurance coverage and risk prevention
- Interaction between insurance, self-protection and self-insurance
- Equity and efficiency in insurance coverage schemes for natural disaster risks
- Insurance and liability for industrial risks.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Development Economics 4 ECTS
Anett John, Jean-Noël Senne

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Economics of Sustainable Development 4 ECTS
Jean-Marc Bourgeon, Lisa Anouliès

- Environmental regulation design (information asymmetry and regulations; monitoring and the enforcement of regulations; limited liability and moral hazard)
- Environmental risk (environmental CBA and the discount factor, economic analysis of the precautionary principle, risk perception and regulations)
- Growth and the environment (limited resources and the Hartwick rule; pollution and steady growth; green growth & directed technical change)
- International trade and the environment (non-strategic and strategic trade; North-South trade & the environment; trade and natural resources)
- International environmental agreements.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Urban Labor and Housing Markets 4 ECTS
Benoît Schmutz

- Discrimination, Segregation and Spatial Mismatch
- Economic and Social Interactions between Cities
- Search Frictions: a Spatial Perspective
- (In)consistent Employment and Housing Policies.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

Labor Economics and Public Policy Evaluations

Core Field Courses

Labor Economics 4 ECTS
Pierre Cahuc, Francis Kramarz

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Microeconometric Evaluation of Public Policies 4 ECTS
Anett John, Bruno Crépon

This course presents an overview of econometric methods used for causal inference, i.e., methods designed to estimate the impact of a potential cause (usually a policy intervention or other institutional change) on an outcome of interest. Selection effects can impede attempts to infer causality. Causes and consequences are discussed relying on the counterfactual framework used in the program evaluation approach. The course will be largely based on critical reading of empirical articles, putting emphasis on the identification issues.

The course covers a variety of identification designs, including randomized experiments, matching, difference-in-difference, instrumental variables, and regression discontinuity designs. In addition, it presents recent advanced statistical methods developed to deal with non-standard outcomes (such as quantile regression analysis). It also discusses the appropriateness of the underlying assumptions of these estimators, as well as the interpretation of the results obtained by those methods.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24

Specialized Courses

Randomized Methods and Policy Evaluation 4 ECTS
Bruno Crépon

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Economics of Education and Human Capital 4 ECTS
Christian Belzil

- Introduction to earlier models of Becker, Ben-Porath and Mincer
- The Roy Model
- Market Imperfections, Liquidity Constraints, Risk and Human Capital
- Empirical Studies (Returns to Education, test for the presence of liquidity Constraints)
- Structural Dynamic Schooling Models
- Sorting between public and Private Schools
- Cognitive Achievements and Child Development
- Macroeconomic Models: evolution of education and productivity, life-cycle inequality.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Economics of Insurance 4 ECTS
François Pannequin

- Insurance demand under risk and ambiguity; interaction between insurance and prevention (self-insurance and self-protection); consequences for public policies
- Insurance Markets in the presence of adverse selection; lessons for Public Policy; impact of Risk Attitudes (risk aversion and risk loving)
- Behavioral Insurance, Risk Aversion, Ambiguity Aversion
- Experimental tests designed for insurance theory (Demand models, Market models).

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24

Econometrics

Core Field Courses

Macroeconometrics 4 ECTS
Catherine Doz

- General introduction: Time Series Analysis in Macroeconometrics
- Stationary VAR processes: General properties, innovations process, forecasting with a VAR model, Maximum Likelihood estimation of a VAR model, tests, Granger causality tests, information criteria, Impulse Response functions, structural VAR approach
- Non stationary VAR processes: Issues about non stationarity (spurious regressions, shocks persistency), non-stationary vector processes and cointegration, common trends). Non stationary cointegrated VAR models, error correction form, Johansen ML estimation procedure and tests Impulse Response Functions
- Introduction to Factor Augmented VAR models (FAVAR): Very short presentation of Dynamic Factor Models and FAVAR models, and of their use in macroeconometrics.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Semi and Non-Parametric Econometrics 4 ECTS
Xavier d'Haultfoeuille, Anna Simoni *

* Laurent Davezies replaces Anna Simoni during the academic year 2017-18

- Quantile regression
- Instrumental variables in nonlinear and nonparametric models
- Partially identified models
- Estimation of semi or nonparametric models.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 24


Structural Econometrics 4 ECTS
Christian Belzil

An Introduction to Dynamic Programming and Dynamic Discrete choice Models and Estimation Methods
Optimal Stopping Models (Direct Solution Method)
Dynamic Logit Model (Rust Method (87, Econometrica)
Computationally Intensive Solution Methods
- GHK Simulator
- The Curse of Dimensionality
- Keane and Wolpin's method (interpolation/simulation)
Identification
Alternative Solution Methods
- Hotz and Miller's theorem
- Expectation Parameterization (Geweke Keane).

Location: ENSAE, Palaiseau
Semester: 4
Hours: 24


Statistical Methods of Econometrics 3 ECTS
Alain Monfort

- Information
- Extremal estimators
- Asymptotic bounds
- Nonlinear least squares, least absolute deviation, quantile regression
- Pseudo and composite Maximum Likelihood methods
- Generalized Methods of Moments
- Asymptotic Least Squares
- Simulation based methods
- Indirect Inference.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 18

Specialized Courses

Dynamic Statistical Models with Hidden Variables 3 ECTS
Jean-Michel Zakoian

- Definitions and examples: Stationary processes, ARMA and ARIMA models; random variance models, Hidden-Markov models, State-space models
- The Kalman Filter: general form, prediction and smoothing, the stationary case, statistical inference, examples
- Markov-switching models: finite-state Markov chains, Hidden-Markov models, Markov-switching ARMA models, estimation of the MS-AR(p) model
- Bayesian and simulated methods: Bayesian inference and MCMC, simulation by acceptance-rejection, the Metropolis-Hastings and Gibbs algorithms, examples: STAR model, stochastic volatility model.

Location: ENSAE, Palaiseau
Semester: 3
Hours: 18


GARCH and Stochastic Volatility Models 3 ECTS
Christian Francq

- Financial returns and GARCH models
- Strict and second-order stationarity, conditional heteroskedasticity, volatility clustering, skewness and leptokurticity, weak ARMA presentation of the squares
- Leverage effect and asymmetric GARCH models, TARCH and EGARCH
- Test for ARCH effects, model identification, and asymptotic properties of the quasi-maximum likelihood estimator (QMLE)
- Stochastic volatility models, Markov-switching models.

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18


High-Dimensional Econometrics 3 ECTS
Christophe Gaillac, Jeremy l'Hour

Location: ENSAE, Palaiseau
Semester: 4
Hours: 18

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