Practical Econometrics for Finance and Economics (Econometrics II)

Code and Credit units: STAT3090, 6 credits. PhD students can extend the course to extend 7 credit points with additional reading package described on Seppo Pynnönens homepage.

Prerequisites: Basic Econometrics (STAT.2020) and Mathematical Analysis (ORMS.1010) recommended (including working knowledge in differentiation, integration, solving elementary differential equations, elasticity concept and continuously compounded interest rate calculus, and matrix algebra).

Objective: Introduce the student modern econometric tools applied in empirical finance and economics. The topics cover econometric applications in analysis of financial time series including risk measurement, panel data econometrics and cointegration analysis. The emphasis is in empirical modeling and interpretation of the results with real data examples. The potential of solving complicated estimation and modeling problems with modern software (Eviews) are illustrated by examples.

Teacher: Lecturer Bernd Pape

Teaching: 42h Lectures and 10h Exercises.

Language of Instruction: English.

Period: Weeks 15-21, 2013

first lecture: Wednesday, April 10th 14-17h in F119.
For the other lectures and exercise sessions, check Lukkari.

Requirements for the credit units: Exam.

Statistical Software: EViews

Contents: Financial and Economic Data, Panel Data, Univariate and Multivariate Time Series Analysis, Event Study Analysis.

Lecture Notes:
1. Introduction (Regression Analysis + Maximum Likelihood)
2. Pooled Cross Sections and Panels
3. Univariate Time Series Models
4. Multivariate Time Series Models
5. Event Study Analysis

Exercises Sheets and Data:
Data for the computer exercises are partly provided both as Excel files (xls) and EViews Workfiles (wf1). The text files (txt) contain the descriptions of the variables.
Exercise Sheet 1 (Group 1: 19.4., Group 2: 23.4.)
Exercise Sheet 2 (Group 1: 26.4., Group 2: 29.4.) data: xls, wf1, txt,
Exercise Sheet 3 (Group 1: 6.5., Group 2: 7.5.)
Exercise Sheet 4 (Group 1: 14.5., Group 2: 17.5.) data
Exercise Sheet 5 (Group 1: 23.5., Group 2: 23.5.) data: USbonds.xls, EventExercise.xls.

Wooldridge, Jeffrey M.: Introductory Econometrics: A Modern Approach.
Mills, Terence C.: The Econometric Modelling of Financial Time Series.
Greene, William H.: Econometric Analysis.
Alexander, Carol: Practical Financial Econometrics.
Alexander, Carol: Market Models.
Campbell, J.Y., Lo, A.W. & MacKinlay, A.C.: The Econometrics of Financial Markets.

Links concerning EViews:
Wooldridge bundled with a student version of EViews
EViews 6 User Guide (Chapters 1+2)
EViews 6 Tutorial by Manfred W. Keil
EViews Illustrated by Richard Startz