Econometrics I: Quantitative Methods in Finance (FINA 8397)

This course is the first part of the first year Ph.D. Econometrics sequence. The pre-requisite for the Econometrics sequence is linear algebra and an introductory econometrics/statistics course. A fundamental knowledge of linear and matrix algebra, calculus and statistics -i.e., the topics covered in the Summer Math Review course- is very important for the Econometrics sequence. The goal of this sequence is to provide you with a broad overview of modern econometric tools. This means understanding when to use what test, which estimator, and why. This sequence is NOT designed to teach you how to use SAS, or Eviews.

Office Hours:
Tuesdays and Thursdays: 3:30-4:30 (MH 210-D) or by appointment.

Textbook:
Econometric Analysis , by William H. Greene, Prentice Hall. (Almost any edition should be fine.)

Other useful references:
Estimation and Inference in Econometrics, by R. Davidon and J. MacKinnon, Oxford University Press, 1993.
Time Series Analysis, by J. D. Hamilton, Princeton University Press, 1994.
Econometric Analysis of Cross Section and Panel Data, by J. Wooldridge, MIT Press, 1999.

These texts will be supplemented by some articles I will assign during the semester.

Outline of the course:
Introduction - Review of Statistics
Chapters 2-4 – Linear Regression Model and OLS
Chapter 5 – Large Sample Properties and IV Estimation
Chapter 6 – Hypothesis Testing and Prediction
Chapters 7-8 – Functional Form and Specification Analysis
Chapter 9 – Non-linear Regression Models
Chapter 10 – Generalized Regression Model
Chapter 12-16 - Other Econometric Issues (if time allows)

Exams and Grading:
Exams (75%) - Three Midterms (9/24, 10/29, 12/1) + Final (12/9?)
Homework (25%) - Regular assignments at the end of each chapter

Homework Assignments

Homework 1.Download Assignment

Academic Honesty

Students with Disabilities

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