Financial Econometrics I

Professor

GAELLE LE FOL - Head oftheMaster 203, Professor in Finance, Université Paris - Dauphine

Course objectives

This course is an introduction and/or refresher course in Econometrics that focuses on techniques for estimating regression models, on problems commonly encountered in estimating such models, and on interpreting the estimates. The goal is to provide participants with the basic skills and knowledge necessary to undertake empirical research and to prepare them to the advanced course in Econometrics of Financial Markets. If Gretl will be the econometric software used in the course, it is possible to use R.

Course outline

How to build an econometric model and how to use it?
The (simple and multiple) linear regression model
Inference, hypothesis testing, and prediction
Specification and diagnostic testing(heteroskedasticity, autocorrelation, model specification)
Selection criteria
Alternative to OLS (2SLS, ML, GLS, Quantile regression)

References

Adkins L. C., UsingGretl for Principles of Econometrics, Vers.1.041, 2018

Brooks C., Introductory Econometrics for Finance, Second Edition, CUP, 2014

Gujarati D., Basic Econometrics, McGraw Hill Higher Education; 5thEd. 2009

Hill C. R., W. E. Griffiths&G. C. Lim, Principles of Econometrics, Wiley5thEd., 2018.

Assessment

TBA.