MFE 801: Econometric Analysis

Textbook Information

Introductory Econometrics: A Modern Approach, 7th Edition Jeffrey M. Wooldridge ISBN: 9780357693223

Published Remarks

eTextbook access for the required text is available at: https://www.cengage.com/c/introductory-econometrics-a-modern-approach-7e-wooldridge/9781337558860PF/

Hardware Requirements

  • None

Software Requirements

Stata is a required software that can be downloaded at https://download.stata.com/download/.

(Directions included in course.) Excel is recommended.

Proctored Exams

  • None

Course Description

The aim of this course is to develop basic econometric estimation and hypothesis testing tools necessary to analyze and interpret the empirical relevance of financial and other economic data. The focus will be on the theoretical foundations of econometric analysis and strategies for applying these basic econometric methods in empirical finance research. The course includes the following topics: multivariate regression; maximum likelihood estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; econometric tests of the Capital Asset Pricing Model and multifactor models, and volatility modelling.

Learning Outcomes

At the end of this course you should  

  • have knowledge of regression analysis relevant for analyzing economic and financial data. 
  • be able to interpret and critically evaluate outcomes of an empirical analysis.  
  • know the theoretical background and classical assumptions for standard econometric methods, explain their significance, and describe the effects that violations of the classical assumptions can have. 
  • be able to use Stata (or other econometric software) to perform an empirical analysis.  

Course Requirements

  1. Lesson Quizzes: At the end of every lesson there is a quiz. The quizzes are designed to test your knowledge of that week’s material.  Each student is required to work on lesson quizzes and submit their answers through Canvas by the posted deadline.    
  2. Homework: Homework problems can also be found at the end of each lesson.   Upon completion, each student will take a quiz based directly on the homework   (Taking a quiz rather than submitting written answers will provide instant feedback to help you prepare for the lesson quiz.)   You do not need to submit the written answers to the homework problems, but you will want to have a copy of the answers in front of you when taking the homework quiz.   
  3. Labs: There are four labs that you will complete individually.  The labs are designed to give hands on experience working with data and employing the techniques covered in the course modules using Stata.  During the weeks that labs are due, you will not be responsible for any additional lesson material or quizzes.  Lab work will be submitted through a drop box in Canvas.  Each student must submit their own answers to the lab questions by the posted due date.   

Grading

Final grades will be assigned according to the following weights: 

Lesson Quizzes  45% 
Homework Quizzes  30% 
Labs  25%