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Магистратура 2019/2020

Эконометрика (продвинутый уровень)

Статус: Курс обязательный (Финансовый аналитик)
Направление: 38.04.08. Финансы и кредит
Когда читается: 1-й курс, 2, 3 модуль
Формат изучения: с онлайн-курсом
Прогр. обучения: Финансовый аналитик
Язык: английский
Кредиты: 5

Course Syllabus

Abstract

The course will be a core one for the Banking Institute Master program “Financial Analyst”. The course is intended for studying during the first and the second semester of the Master level education. The course is a prerequisite for some both core and specialized courses of the curriculum. Because of study of material of the course, a student should master and be able to prove the basic facts of strict development of classical econometrics. She/he should also know main ideas of univariate and multivariable time-series analysis including Box-Jenkins approach, ARIMA (p, d, q) models, non-stationary time-series, unit root tests, co-integration, VAR and VECM.
Learning Objectives

Learning Objectives

  • The purpose of the course is not only to give students new skills in both econometric tools and their application to contemporary economic problems, especially in financial economics, but also to study theoretically econometric methods and to review some sections of econometrics on a solid theoretical background. The structure of the course includes strict derivation of basic properties of estimation methods but excludes proofs of the most analytically sophisticated results. The main studying purpose of such topics is to clear understanding of econometric ideas, assumptions under which econometric approaches can be applied. At the same time, the students should get skills in reading and understanding of the most advance econometric articles.
Expected Learning Outcomes

Expected Learning Outcomes

  • The student should have skills of application of the indicated tools and methods to researches in problems of Micro-, Macroeconomics and Finance.
Course Contents

Course Contents

  • Introduction. General concept of regression.
  • The geometry of linear regression
  • Classical linear regression (CLR)
  • OLS under assumption of normality
  • Multicollinearity
  • Models with stochastic repressors
  • Maximum likelihood (ML) estimators and OLS-estimators under normality assumption
  • Linear regression with heterogeneous observations
  • Linear regression under non-spherical disturbances. GLS
  • Linear regression under serial correlation
  • Linear regression diagnostics. Specification errors. Model selection
  • Dynamic regression with lagged variables
  • Time series econometrics
  • Panel Data Models. Fixed effects. Random effects
  • Two-stage least squares. Three-stage least squares
Assessment Elements

Assessment Elements

  • non-blocking students' activity during classes
  • non-blocking mid-term exams
  • non-blocking final exam
    The final test is scheduled for 25.06 at 18:30. Short description Time series and Econometrics exams are organized in written form with asyncronious proctoring. The exam problems will be available at the Google Forms platform: Econometrics: https://forms.gle/ZSQy7aK7XJC6xe476 Time series: https://forms.gle/NBcc3VjCtqpYsBBZ9 Proctoring will be provided at the Examus platform: https://hse.student.examus.net You should authentificate at the Examus platform 5 minutes before the exam. You should turn on your microphone and camera and prove your identity with passport. During the exam you can use one A4 cheat sheet and calculator. Critical values will be provided in the text of the exam. You are not allowed to google or to chat with other persons. Internet connection missing for more than 10 minutes is considered as a long-term loss of connection. In this case you will have a retake exam with the same rules. The lengh of the exam is 120 minutes. Check the requirements for your computer at https://elearning.hse.ru/data/2020/05/07/1544135594/Технические%20требования%20к%20ПК%20студента.pdf May the Force be with You!
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.7 * final exam + 0.2 * mid-term exams + 0.1 * students' activity during classes
Bibliography

Bibliography

Recommended Core Bibliography

  • A guide to modern econometrics, Verbeek, M., 2008

Recommended Additional Bibliography

  • Applied econometric time series, Enders, W., 2004