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Advanced Econometrics

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
8
Кредиты
Статус:
Курс обязательный
Когда читается:
1-й курс, 1-3 модуль

Преподаватели

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

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

Expected Learning Outcomes

  • Students knows the theoretical base of econometrics and basic methods of analysis.
  • Students knows and uses advanced econometric methods.
  • Students knows main asset pricing models, could select and use the most appropriate method for analysis.
Course Contents

Course Contents

  • Classical linear regression model
    1. Simple linear regression. Introduction. OLS and its key assumptions. Estimation of simple linear regression by OLS. The quality of model fitting. 2. Multiple linear regression. Multiple linear regression in scalar and matrix forms. The main properties of the model: unbiasedness, consistency and efficiency. Hypothesis checking, testing of coefficients and of linear restrictions. 3. Violation of assumptions in linear regression models. Multicollinearity. Heteroskedasticity. Autocorrelation. Incorrect specification in respect to variables, errors and model form. The White, Breusch-Pagan and Durbin-Watson tests. 4. Nonlinear models. Binary choice models. Multiple response models. Censored models. Selection bias.
  • Microeconometrics models
    5. Instrumental variables estimation. Endogeneity: causes and consequences. Methods of treating: IV, 2SLS, GMM. Instrumental variables: validity, relevance and their testing. 6. Panel data models. Panel structure of data. Fixed and random effects. Endogeneity in panel data. Hausman-Taylor model. Dynamic models. Arellano-Bond model. Mixed models.
  • Estimation and testing of asset pricing models
    7. Estimation and testing of CAPM. Economic and econometric assumptions of asset pricing models. Estimation of time-series regressions for returns of stock prices (TSR). Testing of joint hypotheses for all alpha coefficients in CAPM. Wald, LM, LR and GRS (Gibbons, Ross, Shanken) tests. Comparative analysis of the power of these tests. 8. Estimation and testing of multifactor models of asset pricing on cross-sections. Generalized Method of Moments (GMM). Application of GMM to analysis of stock returns if normality and heteroskedasticity assumptions are violated (TSR). Cross-sectional analysis of multifactor models of asset pricing (CSR). Fama-MacBeth methodology.
Assessment Elements

Assessment Elements

  • non-blocking Test 1
    Экзамен проводится в письменной форме с использованием асинхронного прокторинга. Экзамен проводится на платформах https://et.hse.ru и https://hse.student.examus.net. К экзамену необходимо подключиться за 10 минут до начала. На платформе Экзамус доступно тестирование системы. Компьютер студента должен удовлетворять следующим требованиям: https://elearning.hse.ru/data/2020/05/07/1544135594/Технические%20требования%20к%20ПК%20студента.pdf Для участия в экзамене студент обязан: заранее зайти на платформу прокторинга, провести тест системы, включить камеру и микрофон, подтвердить личность. Во время экзамена студентам запрещено: общаться (в социальных сетях, с людьми в комнате, по телефону), списывать, пользоваться справочными материалами (на бумажном носителе, компьютере или в сети Интернет) и калькуляторами, закрывать доступ к камере и микрофону. Во время экзамена студентам разрешено: использовать черновик (чистый лист бумаги). Кратковременным нарушением связи во время экзамена считается период менее 10 минут. Долговременным нарушением связи во время экзамена считается период более 10 минут. При долговременном нарушении связи студент не может продолжить участие в экзамене. Процедура пересдачи аналогична процедуре сдачи.
  • non-blocking Seminar activities 1
  • non-blocking Independent work 1
  • non-blocking Exam 1
  • non-blocking Test 2
  • non-blocking Seminar activities 2
  • non-blocking Independent work 2
  • non-blocking Exam 2
  • non-blocking Test 3
  • non-blocking Independent work 3
  • non-blocking Exam 3
  • non-blocking Seminar activities 3
Interim Assessment

Interim Assessment

  • Interim assessment (1 module)
    0.4 * Exam 1 + 0.12 * Independent work 1 + 0.24 * Seminar activities 1 + 0.24 * Test 1
  • Interim assessment (2 module)
    0.4 * Exam 2 + 0.12 * Independent work 2 + 0.24 * Seminar activities 2 + 0.24 * Test 2
  • Interim assessment (3 module)
    0.13 * Exam 3 + 0.05 * Independent work 3 + 0.34 * Interim assessment (1 module) + 0.33 * Interim assessment (2 module) + 0.05 * Seminar activities 3 + 0.1 * Test 3
Bibliography

Bibliography

Recommended Core Bibliography

  • Badi H. Baltagi. (2011). Econometrics. Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.spr.sptbec.978.3.642.20059.5

Recommended Additional Bibliography

  • Microeconometrics using stata, Cameron A.C., Trivedi P.K., 2010