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econometrics for finance

The document outlines the course details for 'Econometrics for Finance' (Course Code: AcFn3112) offered by the Department of Accounting and Finance, including its credit hours and course description. It provides a week-by-week breakdown of topics covered, such as regression analysis, violations of classical model assumptions, and time series data analysis. Additionally, it specifies assessment methods and policies regarding attendance, assignments, and academic integrity.

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mohammedaliyi551
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7 views

econometrics for finance

The document outlines the course details for 'Econometrics for Finance' (Course Code: AcFn3112) offered by the Department of Accounting and Finance, including its credit hours and course description. It provides a week-by-week breakdown of topics covered, such as regression analysis, violations of classical model assumptions, and time series data analysis. Additionally, it specifies assessment methods and policies regarding attendance, assignments, and academic integrity.

Uploaded by

mohammedaliyi551
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Name of University:

Name of College/Faculty:

Name of Department: Accounting and Finance Program


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

Course Code AcFn3112

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 ✓ Definition of financial Econometrics
1.2 ✓Definition and Scope of Econometrics
1.3 ✓ Financial Models and Financial Econometric Models
1.4 ✓ Methodology of Econometrics
1.5 ✓ The Sources, Types and Nature of financial data
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: Multiple Regression Analysis with Qualitative Information: Binary (or
Dummy Variables)
4.1 Describing Qualitative Information
4.2 Dummy as Independent Variables
4.3 Dummy as Dependent Variable
4.3.1 The Linear Probability Model (LPM)
4.3.2 The Logit and Probit Models
4.3.3 Interpreting the Probit and Logit Model Estimates
Chapter 5: Violations of the Assumptions of Classical Model
5.1 Multicollinearity
5.2 Heteroscedasticity- tests and weighted least squares
5.3 Autocorrelation-tests and feasible generalized least squares estimation
5.4 Specification Errors: Omission of Variables
5.5 Tests of Parameters Stability
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 Cointegration and ECM
Chapter 7: Introduction to simultaneous equation models (Optional)
7.1 The Nature of Simultaneous Equation Models
7.2 Simultaneity bias
7.3 Order and rank conditions of identification (without proof)
7.4 Recursive models
7.5 Indirect squares and 2SLS estimation of structural equations
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

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