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Econometrics Course Outline

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13 views

Econometrics Course Outline

Outline

Uploaded by

bungbaja717
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Rift Valley University

Faculty of Business and Social Science


Department of Accounting and Finance
Name of the Department of Accounting and Finance
department
Course Title Econometrics for Finance

Course Code AcFn-3112

Credit Hours 4/6

Course This course builds upon Applied Statistics. Familiarity with the material, particularly sampling
Descripti distributions, estimation, and hypothesis testing will be of much help. You will not be able to
ons appreciate the course unless you have good grasp of those topics.
Weeks Contents

Chapter 1: Introduction
1.1 The econometric approach
1.2 Economic models and econometric models
1.3 Different types of data for econometric analysis
Chapter 2: Simple Linear Regression
2.1 Concept of regression function
2.2 Method of Moments & Method of least squares
2.3 Residuals and goodness of fit
2.4 Properties of LS estimates and Gauss-Markov theorem
2.5 Maximum Likelihood Estimation
2.6 Confidence Intervals and Hypothesis Testing
2.7 Predictions with Simple Linear Regression Model
Chapter 3: Multiple Linear Regression Analysis: Estimation and Hypothesis Testing
3.1 Introduction
3.2 The Method of Least Squares
3.3 Partial Correlation Coefficients and their interpretation
3.4 Coefficients of Multiple Determination
3.5 Properties of least squares and Gauss-Markov theorem
3.6 Introduction to Multivariate Normal Distribution
3.7 Classical Normal Linear Regression
3.8 Hypothesis Testing and Interval Estimation
3.9 Point and Interval Forecasting Using Multiple Linear Regression
Chapter 4: Violations of the Assumptions of the Classical Linear
Regression Model
4.1. Heteroscedasticity
4.2. Autocorrelation
4.3. Specification Errors: Consequences of Omission of relevant Variables and
inclusion of irrelevant variables
4.4. Tests of Parameter Stability
Multicollinearity
Chapter 5: Multiple Regression Analysis with Qualitative Information: Binary (or Dummy
Variables)
5.1. Describing Qualitative Information
5.2. Dummy as Independent Variables
5.3. Dummy as Dependent Variable
5.3.1. The Linear Probability Model (LPM)
5.3.2. The Logit and Probit Models
Interpreting the Probit and Logit Model Estimates
Chapter 6: Basic Regression Analysis with Time Series Data: Basic Concepts
6.1 The nature of Time Series Data
6.2 Stationary and non-stationary stochastic Processes
6.3 Trend Stationary and Difference Stationary Stochastic Processes
6.4 Integrated Stochastic Process
6.5 Tests of Stationarity: The Unit Root Test
6.6 Co integration and ECM
Students will be evaluated using different mechanisms and their weights as indicated in the table
Assessment
below:
Methodolog
Assessment Assignment Tests and quizzes Final Exam Total
y (individual and
group)

Weight 20% 30% 50 % 100%


 Late coming is not allowed and no student is allowed to enter after class has started.
 Duplication of assignments is strictly forbidden; it entails serious penalty.
 Assignments are required to be submitted before or on the deadline.
 Cheating during exam sessions results in a minimum of “F “grade while cheating in
quizzes and tests is subjected to a zero mark. All cheating cases will be reported to the
Course
department for further considerations.
Policy
 Students should switch off their cell phones while they are in class and must keep their
cell phones switched off during all kinds of exam sessions.
 Students must attend 80% of the class for the course. Failure to attend 80% of the
class will not allow the student to sit for the final exam.
 Missing a quiz without convincing evidences will earn the students a grade of zero
marks in that specific quiz
References
Gujarati, D. N. and D. C. Proter (2009). Basic Econometrics, 5th edition, McGraw-
Hill
Maddala, G. S. (1992). Introduction to Econometrics, 2nd edition, Macmillan.
Wooldridge, J. (2013). IntroductoryEconometrics: A Modern Approach, 5th Ed.
Enders, W. (2014). Applied Econometric Time Series, John Wiley & Sons:, 4th ed.,
Singapore.
Koutsoyiannis, A. (2001). Theory of Econometrics, Palgrave: New York.
Johnston, J. and J.Dinardo (1997)Econometric Methods, 4th edition.
Kmenta, J. Elements of Econometrics, 2nd edition.
Intrilligator M.D, R.G. Bodkin, and D. Hsiao (1996). Econometric Models,
Techniques and Applications.
Verbeek (2004), A Guide to Modern Econometrics. New York: John Wiley & Sons, Ltd.
Pindyck, R. and D. Rubinfeld (1991), Econometric Models and Economic Forecasts, 3rd
edition, New York: McGraw-Hill.

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