Master
2021/2022
Econometrics (Advanced Level)
Type:
Compulsory course
Area of studies:
Finance and Credit
Delivered by:
School of Economics and Finance
Where:
Faculty of Economics
When:
1 year, 1-3 module
Mode of studies:
offline
Open to:
students of one campus
Master’s programme:
Financial Strategies and Analitics
Language:
English
ECTS credits:
8
Contact hours:
84
Course Syllabus
Abstract
The course «Advanced econometrics» is designed for first-year graduate master students following the program «Finance». Its main goal is to familiarize the students with advanced methods of econometric research, and their application to finance area using the appropriate software. The important accent is made on the selection of adequate econometric methods and program tools for the solution of research problems which could arise during the analysis of financial markets.
Learning Objectives
- Providing a theoretical knowledge about state-of-the-art econometrical methods of data analysis.
- Forming practical skills of application of econometrical methods.
- Developing of skills of work with specialized statistical software.
Expected Learning Outcomes
- Students knows and uses advanced econometric methods.
- Students knows the theoretical base of econometrics and basic methods of analysis.
Assessment Elements
- Project 1
- Seminar activities 1
- Independent work 1
- Exam 1
- Seminar activities 2After each seminar session (in the second module) students prepare a report of performed tasks in a written form. Each written report is assessed on a 10-point scale with 10 points for correctly and accurately performed tasks. If not, the grade will be smaller proportional to the number of mistakes or omitted tasks. The overall grade for seminar activities calculated as an average grade of all reports.
- Self-study work 2 (DataCamp)
- Exam 2The exam is a test for 60 minutes on Smart LMS platform (edu.hse.ru). The exam covers topics only on Time Series Analysis (part 2 of the course)
- Test 3
- Independent work 3
- Exam 3Экзамен в 3 модуле проводится очно в письменной форме
- Seminar activities 3
- Independent work 2
- Project 2
- Project 3
Interim Assessment
- 2021/2022 1st module0.4 * Exam 1 + 0.25 * Project 1 + 0.25 * Seminar activities 1 + 0.1 * Independent work 1
- 2021/2022 2nd module0.1 * Seminar activities 2 + 0.5 * Project 2 + 0.4 * Independent work 2
- 2021/2022 3rd module0.05 * Seminar activities 3 + 0.05 * Independent work 3 + 0.3 * 2021/2022 1st module + 0.201 * Exam 3 + 0.099 * Project 3 + 0.3 * 2021/2022 2nd module
Bibliography
Recommended Core Bibliography
- Introductory econometrics : a modern approach [Lecture notes on econometrics 2], Wooldridge J.M., 2012
- Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288
- Tsay, R. S. (2013). An Introduction to Analysis of Financial Data with R. Wiley.
Recommended Additional Bibliography
- Microeconometrics using stata, Cameron A.C., Trivedi P.K., 2010