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Course-Outline - E133 Financial Econometrics

The Financial Econometrics course at Madras School of Economics covers fundamental econometric principles and methods for analyzing financial data, including regression models and panel data analysis. By the end of the course, students will be able to choose appropriate modeling approaches, estimate parameters, validate results, and interpret findings. The evaluation consists of a mid-term exam, class assignments, and a final exam, totaling 100%.

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10 views3 pages

Course-Outline - E133 Financial Econometrics

The Financial Econometrics course at Madras School of Economics covers fundamental econometric principles and methods for analyzing financial data, including regression models and panel data analysis. By the end of the course, students will be able to choose appropriate modeling approaches, estimate parameters, validate results, and interpret findings. The evaluation consists of a mid-term exam, class assignments, and a final exam, totaling 100%.

Uploaded by

Vishali Suresh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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MADRAS SCHOOL OF ECONOMICS

Post Graduate Diploma in Management (PGDM)


PGDM B07 [2024-26]
Course Outline
Course Title: Financial Econometrics

Batch: 2024-26 Term: 3


Credits: 4

Course Instructor: Dr. Annie Abraham Email: annielaben@gmail.com

COURSE DESCRIPTION:

This course offers a thorough introduction to fundamental econometric principles and methods for analyzing
financial data. Topics covered include: Estimation and diagnostic testing of simple and multiple regression
models, Dummy variable regression, Qualitative response regression models and Panel data models.

By the end of the course, students will be equipped to:


- Choose the most suitable modeling approach for a given problem
- Estimate model parameters
- Validate results
- Interpret findings effectively

This course provides a solid foundation in econometrics, enabling students to apply statistical techniques to
real-world financial data analysis."

BASIC TEXTBOOKS:
1. Introductory Econometrics for Finance by Chris Brooks, 2nd edition, Cambridge University Press, 2008.
2. Econometric Analysis of Panel Data by Baltagi, B.H., John Wiley & sons Ltd., 2015

REFERENCE BOOKS:
1. Basic Econometrics 4e by Damodar N. Gujarati &Sangeetha. Mc-Graw Hill.
2. Econometric Methods by Johnston J. and J. Dinardo, fourth Edition, McGraw-Hill, 2010.
3. Introduction to Econometrics by G.S. Maddala and K. Lahiri, 4th Edition, Wiley, 2009.

1
SESSION PLAN:

Sessi Topics Required Readings


on
1-2 Linear regression model; two variables  Introductory Econometrics for Finance
mode and Matrix Approach to by Chris Brooks, 2nd edition,
Regression; BLUE property, Cambridge University Press, 2008.
 Econometric Methods by Johnston J.
and J. Dinardo, fourth Edition,
McGraw-Hill, 2010.
3 General and confidence approach to hypothesis  Basic Econometrics 4e by Damodar N.
testing, goodness of fit, Applications; Gujarati &Sangeetha. Mc-Graw Hill.
Specification and Functional Forms; model  Econometric Methods by Johnston J.
evaluation and J. Dinardo, fourth Edition,
McGraw-Hill, 2010.
4 Consequences and detection of  Basic Econometrics 4e by Damodar N.
multicollinearity, and remedial measures Gujarati &Sangeetha. Mc-Graw Hill.
5 Consequences and detection of  Econometric Methods by Johnston J.
heteroskedasticity, and remedial measures and J. Dinardo, fourth Edition,
6 Consequences and detection of autocorrelation, McGraw-Hill, 2010.
and remedial measures
7-8 Regression on qualitative and quantitative  Basic Econometrics 4e by Damodar N.
variables, dummy variable trap, structural Gujarati &Sangeetha. Mc-Graw Hill.
stability of regression models  Econometric Methods by Johnston J.
9 Chow test, piecewise linear regression and J. Dinardo, fourth Edition,
model McGraw-Hill, 2010.
10 Mid term exam
11 Logit and probit models. 

12 Simultaneity bias, structural versus reduced  Introductory Econometrics for Finance


form by Chris Brooks, 2nd edition,
13 Identification: rank versus order condition, Cambridge University Press, 2008.
exact and over identifications, triangular  Econometric Methods by Johnston J.
model, and J. Dinardo, fourth Edition,
14 Methods of estimation including indirect least McGraw-Hill, 2010.
squares, SURE  Basic Econometrics 4e by Damodar N.
15 Two-stage least squares and three-stage least Gujarati &Sangeetha. Mc-Graw Hill.
squares.
16 Advantage of Panel data; Balanced and  Introductory Econometrics for Finance
Unbalanced Panel; by Chris Brooks, 2nd edition,
17 One way and Two-way Effects; Cambridge University Press, 2008.
 Econometric Analysis of Panel Data by
18-19 Pooled OLS; Fixed Effects, within and between Baltagi, B.H., John Wiley & sons Ltd.,
estimates; Random Effects; 2015

20 Chow test, Hausman test and Lagrangian


Multiple test.

2
EVALUATION:

Component Weightage
(%)
1. Mid Term exam 30
2. Class assignments 30
3. Final exam 40
Total 100%

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