Master
2024/2025
Econometrics
Type:
Elective course (Finance)
Area of studies:
Finance and Credit
Delivered by:
Department of Economic Theory and Econometrics
Where:
Faculty of Economics
When:
1 year, 1, 2 module
Mode of studies:
offline
Open to:
students of one campus
Instructors:
Andrey Aistov
Master’s programme:
Finance
Language:
English
ECTS credits:
6
Contact hours:
56
Course Syllabus
Abstract
As a result of studying the discipline, the student will be able to select a suitable approach for conducting empirical estimates in a particular practical scenario, accurately explain the benefits and drawbacks of the selected empirical model, identify the benefits and drawbacks of alternative approaches of performing empirical estimates that have been employed by other authors, and gain experience conducting empirical estimates on actual data. Features of the course are the illustration of theoretical material with examples of performing empirical estimates using computer programs and the acquisition by course participants of computer skills in econometric packages.
Learning Objectives
- At the end of the course the student must have the general (universal) competence abbreviated in Russian as ``OPK--2.FIK''. It means being able to apply advanced instrumental methods of economic and financial analysis in applied and/or fundamental research in the field of financial relations, including the use of intelligent information and analytical systems.
- Studying the course also contributes to the development of ``PK--2'' (Russian abbreviation) competence. It means being able to present the results of the research to the scientific community in the form of a report (presentation) and an article.
Expected Learning Outcomes
- accurately explain benefits and drawbacks of selected empirical model
- acquisition of computer skills in econometric packages
- gain experience conducting empirical estimates on actual data
- illustration of theoretical material with examples of performing empirical estimates using computer programs
Course Contents
- Introduction
- Inconsistency of the OLS estimator
- The Instrumental Variables Estimator
- Method of Moments
Interim Assessment
- 2024/2025 2nd moduleFinal grade for the course = max { Activity, Exam } , (1) where max is the largest of the two numbers, Activity or Exam. Activity is the result of rounding to the nearest integer value of the normalised sum of points accumulated by a student. Normalisation is implemented using a normalising multiplier, which equates the maximum total score in the educational group to 8.5. The sum of points is formed as follows. • During the classes, students ask questions, answer questions, and complete assignments. Activity in classes is stimulated by using a random number generator to call students to formulate questions and answers. • A student is given 1 point for the ability to ask a question, the correct answer, additions to the answers and similar activities that are useful for teaching and mastering educational material. • In case of missing a class in some day, a student can receive points for his detailed notes, additional materials, brief analytical reviews and essays, computer codes, presentations, etc., confirming that he has all the knowledge and practical skills that his classmates received during the class missed by the student. Additional points may be received for answering the instructor’s questions concerning materials of the class missed. The sum of points received by a student for the missed day of classes cannot exceed the maximum sum of points received by classmate present in the class that day. The Exam in (1) is exam score (an integer value). The maximum possible score is 10. To receive a score of 10, a student must demonstrate an excellent ability to complete any advanced assignment and explain the results obtained, or give a brilliant answer to a complex theoretical question have been offered during the classes. The assignment or question are selected randomly (using a random number generator). The time to prepare the answer is 10 minutes, during which students may use their own one-page A4 cheat sheet. To receive a score lower than 10 during the exam, it is possible to receive points for the missed classes (see Activity) or classes with a small number of accumulated points. To do this, a student must retell the material from the classes in detail. This retelling must convincingly demonstrate the student’s mastery of the knowledge and practical skills other classmates were taught in those classes. The total score for the retelling cannot exceed the maximum of points received by classmate present in class. If a student is unable to answer a question on the subject matter, the student’s exam score will be reduced.
Bibliography
Recommended Core Bibliography
- A Guide to Modern Econometrics, 4th ed., 497 p., Verbeek, M., 2012
- Verbeek, M. (2017). A Guide to Modern Econometrics (Vol. 5th edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639496
Recommended Additional Bibliography
- Econometric Analysis, 5th ed., 1026 p., Greene, W. H., 2003
- Econometric Analysis, 7th ed., international edition, 1239 p., Greene, W. H., 2012
- Greene, W. H. (2012). Econometric Analysis: International Edition : Global Edition (Vol. 7th ed., International ed). Boston: Pearson Education. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1417839
- Greene, W. H. (2015). Econometric analysis. Slovenia, Europe: Prentice-Hall International. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.1BF5A5CA