• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • А
  • А
  • А
  • А
  • А
Обычная версия сайта

Econometrics (Advanced Level)

2021/2022
Учебный год
ENG
Обучение ведется на английском языке
8
Кредиты
Статус:
Курс обязательный
Когда читается:
1-й курс, 1-3 модуль

Преподаватели


Арбузов Вячеслав Олегович


Новикова Ольга Викторовна

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 and uses advanced econometric methods.
  • Students knows the theoretical base of econometrics and basic methods of analysis.
Course Contents

Course Contents

  • Classical linear regression model
  • Time series analysis
  • Microeconometrics models
Assessment Elements

Assessment Elements

  • non-blocking Project 1
  • non-blocking Seminar activities 1
  • non-blocking Independent work 1
  • non-blocking Exam 1
  • non-blocking Seminar activities 2
    After 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.
  • non-blocking Self-study work 2 (DataCamp)
  • non-blocking Exam 2
    The 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)
  • non-blocking Test 3
  • non-blocking Independent work 3
  • non-blocking Exam 3
    Экзамен в 3 модуле проводится очно в письменной форме
  • non-blocking Seminar activities 3
  • non-blocking Independent work 2
  • non-blocking Project 2
  • non-blocking Project 3
Interim Assessment

Interim Assessment

  • 2021/2022 1st module
    0.4 * Exam 1 + 0.1 * Independent work 1 + 0.25 * Project 1 + 0.25 * Seminar activities 1
  • 2021/2022 2nd module
    0.4 * Independent work 2 + 0.5 * Project 2 + 0.1 * Seminar activities 2
  • 2021/2022 3rd module
    0.3 * 2021/2022 3rd module + 0.3 * 2021/2022 3rd module + 0.201 * Exam 3 + 0.05 * Independent work 3 + 0.099 * Project 3 + 0.05 * Seminar activities 3
Bibliography

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