Course ObjectiveIn this course, students study the quantitative skills necessary to do
You will be able to answer questions such as:
- How to handle financial data?
- What model should we use for these data and is this a valid model?
- What happens when the assumptions underlying the model do not hold?
Beyond understanding different types of models, you will also be able to
work with them practically by means of the statistical software package
Finally, you learn how to interpret the outcomes of your analyses
correctly and do proper inference.
After this course, you are able to:
- use financial data in a proper way and set up a plausible empirical
model (Academic Skills);
- to work with the classical linear regression model (and its
shortcomings) and panel regressions making use of the software program
Stata (Academic Skills, Bridging Theory and Practice);
- interpret correctly the outcomes of the aforementioned models and
report them according to the academic standards (Academic Skills).
Course ContentStudents will learn how to summarize different forms of data by means of
statistics, develop a thorough understanding of the classical linear
regression model, the concept of inference, the assumptions needed, and
what to do if any of these assumptions are violated. We will introduce
concepts of the transformation of variables and dummy variables. You
will be acquainted with the event study approach, binary choice and
limited dependent variable models, models with time series data and
panel data. Moreover, the course covers methods that help you identify
causal links between variables. You do not only learn about this in
theory, but also actually apply what you learned in practical financial
assignments using statistical software (Stata) by working in teams. The
course thus covers a lot of ground, but sets you well on your way for
the Research Seminar in January and your subsequent thesis research.
Teaching MethodsLectures (4 hrs/week)
Computer lab sessions (2 hrs/week)
Method of AssessmentWritten exam (Individual assessment)
Case 1 (Group assessment)
Case 2 (Group assessment)
LiteratureChristopher Dougherty, Introduction to Econometrics, Fifth Edition,
Oxford University Press.
Target AudienceMaster students Business Administration, specialization Financial
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. G. Tumer Alkan|
|Examiner||dr. G. Tumer Alkan|
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Computer lab, Lecture|
This course is also available as: