FIN-403 / 4 crédits

Enseignant: Semadeni Claudio Andri

Langue: Anglais

Remark: For sem. MA1


Summary

The course covers basic econometric models and methods that are routinely applied to obtain inference results in economic and financial applications.

Content

Keywords

Econometrics; linear regression; ordinary least squares; instrumental variables; generalized method of moments; maximum likelihood inference.

Learning Prerequisites

Recommended courses

Important concepts to start the course

  • Matrix algebra;
  • Probability and distribution theory (incl. conditional expectation and variance, normal, Chi-squared, Student, and F distributions);
  • Statistical estimation and inference (incl. point estimation, interval estimation, hypothesis testing);
  • Large-sample distribution theory (incl. convergence in probability, convergence in distribution, central limit theorem, Delta method);
  • Familiarity with R, Matlab or Python is recommanded for practicals and the graded project (e.g., empirical analysis, simulations).

Learning Outcomes

By the end of the course, the student must be able to:

  • Describe the basic assumptions of the linear regression model.
  • Test whether the basic assumptions of the linear regression model are met in the data using formal statistical procedures.
  • Derive statistical estimators like least squares and instrumental variables estimators.
  • Recall basic goodness-of-fit measures like R-squared.
  • Construct linear regression models from actual data using statistical variable-selection techniques like t-statistics and F-tests.
  • Describe the main advantages and disadvantages of likelihood-based and instrumental variable-based inference procedures.
  • Carry out linear and nonlinear hypothesis testing procedures.
  • Discuss asymptotic properties of linear and nonlinear estimators such as consistency and efficiency..
  • Conduct team-work and write an econometric report about linear and nonlinear regression models.

Transversal skills

  • Use a work methodology appropriate to the task.
  • Continue to work through difficulties or initial failure to find optimal solutions.
  • Write a scientific or technical report.
  • Use both general and domain specific IT resources and tools

Teaching methods

Lectures and exercise sessions.

Expected student activities

  • Attend and participate to lectures;
  • Attend and participate to exercise sessions;
  • Review lecture material and complete exercises,
  • Write a midterm exam;
  • Write a final exam.

Assessment methods

  • 25% Project in group
  • 75% Final written exam

Supervision

Office hours No
Assistants Yes
Forum No

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

  • Brooks, C. (2019) Introductory Econometrics for Finance. Fourth edition. Cambridge: Cambridge University Press.
  • Davidson, R., Mackinnon, J. G. (2009) Econometric Theory and Methods. International edition. Oxford: Oxford University Press.
  • Greene, W. H. (2018) Econometric analysis. Eighth edition. New York: Pearson Education Limited.
  • Hayashi, F. (2000) Econometrics. Princeton: Princeton University Press.
  • Wooldridge, J. M. (2018) Introductory Econometrics: A Modern Approach. Seventh edition. Boston: Cengage.

Ressources en bibliothèque

Prerequisite for

  • Advanced topics in financial econometrics
  • Credit risk
  • Derivatives
  • Financial econometrics
  • Fixed income analysis
  • Investments

Dans les plans d'études

  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Econometrics
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 2 Heure(s) hebdo x 14 semaines
  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Econometrics
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 2 Heure(s) hebdo x 14 semaines
  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Econometrics
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 2 Heure(s) hebdo x 14 semaines

Semaine de référence

 LuMaMeJeVe
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22