Master of Science in Finance and Banking

Updated A.Y. 2018-2019

This module aims at providing a sound knowledge of the basic results on multiple linear regression. The emphasis is on statistical tools that are widely applied in empirical analyses of economic and financial data.

Course Outline:
1 - The Population Regression Line
2 - The Ordinary Least Square (OLS) Method
3 - The Geometry of OLS
4 - The Gauss-Markov Theorem
5 - Estimation of the Error Variance
6 - Measures of Fit
7 - Maximum Likelihood Estimation
8 - Hypothesis Testing
9 - Constrained Estimation
10 - Dummy Variables
11 - Multicollinearity
12 - Model Specification
13 - Heteroskedasticity
14 - Asymptotic Properties
15 - Generalized Least Square Estimationn

Textbook:
Russell Davidson and James G. MacKinnon (2003), Econometric Theory and Methods, Oxford University Press.

Suggested Reading:
Bruce Hansen (2016), Econometrics, http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf

Updated A.Y. 2017-2018

This module aims at providing a sound knowledge of the basic results on multiple linear regression. The emphasis is on statistical tools that are widely applied in empirical analyses of economic and financial data.

Course Outline:
1 - The Population Regression Line
2 - The Ordinary Least Square (OLS) Method
3 - The Geometry of OLS
4 - The Gauss-Markov Theorem
5 - Estimation of the Error Variance
6 - Measures of Fit
7 - Maximum Likelihood Estimation
8 - Hypothesis Testing
9 - Constrained Estimation
10 - Dummy Variables
11 - Multicollinearity
12 - Model Specification
13 - Heteroskedasticity
14 - Asymptotic Properties
15 - Generalized Least Square Estimationn

Suggested Reading:
Russell Davidson and James G. MacKinnon (2003), Econometric Theory and Methods, Oxford University Press.
Bruce Hansen (2016), Econometrics, http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf

Updated A.Y. 2016-2017

Course Outline:
1 - The Population Regression Line
2 - The Ordinary Least Square (OLS) Method
3 - The Geometry of OLS
4 - The Gauss-Markov Theorem
5 - Estimation of the Error Variance
6 - Measures of Fit
7 - Maximum Likelihood Estimation
8 - Hypothesis Testing
9 - Constrained Estimation
10 - Dummy Variables
11 - Multicollinearity
12 - Model Specification
13 - Heteroskedasticity
14 - Asymptotic Properties
15 - Generalized Least Square Estimationn
 

Suggested Reading:
Russell Davidson and James G. MacKinnon (2003), Econometric Theory and Methods, Oxford University Press.
Bruce Hansen (2016), Econometrics, http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf