The Chinese University of Hong Kong MBA Program in Finance at Tsinghua University, Shenzhen
DSME6350B: Econometrics, 2013/14
Instructor: Jason J. H. Yeh, A.S.A. (Society of Actuaries), Ph.D.(UW-Madison)
Office & Phone: Department of Finance, CUHK, HONG KONG; +852-3943-7653
E-mail: jasonyeh@baf.msmail.cuhk.edu.hk
Course Web: http://ihome.cuhk.edu.hk/~b103302/dse6350/dse6350.html
Course Objectives:
The aim of this course is to demonstrate the basic econometric principles in analyzing business data. This course is designed to apply mathematical and statistical / econometric techniques to business and financial issues. Topics include regression and time series analysis of financial data; forecasting and simulations in financial applications. The course involves extensive usage of computers and relevant software packages. We will use a lot of examples to illustrate how to analyze real data.
Textbook:
I will use lecture notes for the most part of the course. Many examples discussed in class are drawn from:
l Hill, Griffiths, and Lim (HGL), Principles of Econometrics, 4th, 2012, Wiley.
l Griffiths, Hill, and Lim, Using EViews for Principles of Econometrics, 4th, 2012, Wiley.
Using Excel for Principles of Econometrics, 3rd Edition by Asli Ogunc and R. Carter Hill.
This free supplement is readable using Adobe Acrobat. It explains how to use Excel (2003) to replicate many of the examples in Principles of Econometrics. It includes many screen shots and provides step-by-step instructions for using Excel.
Computer Requirements:
The second textbook listed above contains the EViews SV 7 econometric software, which is a powerful and user-friendly tool to handle many econometric analyses and tests that are not available in Excel or StatPro that we used before. You are required to have the software so as to follow the examples illustrated in class.
Data files: POE includes 148 data files in various formats. Using the links below you can download all files in a *.ZIP format, or download individual files. The data definition files should be downloaded by all users.
Data definition files (*.def) are text files containing variable names, definitions and summary statistics.
ASCII files (*.dat) are text files containing only data. Variable names are in *.def files.
EViews workfiles (*.wf1) are compatible with EViews Student Version 6. Practical tips for large files.
Excel spreadheets (*.xls) were created using Excel
2003.
Excel spreadheets (*.xlsx) for Excel 2007 or 2010.
Errata Answers
to Selected Exercises POE4
Formula Sheets POE4
Statistical Tables
Durbin-Watson Critical
Values Tips on
Writing
Grading:
The final exam, scheduled on July 6 in class, will account for 30% of the course grade. A group homework assignment will take up 30% of the grade. We will have three quizzes in class, and your best two of them will account for 30% of the grade. Finally, attendance and participation will be for the remaining 10%.
|
Attendance & Participation |
10% |
|
Quiz |
30% |
|
30% |
|
|
Exam |
30% |
|
Total |
100% |
|
|
Time |
Covered Chapters in HGL |
Topics |
|
1 |
June 7 (Sat) 9AM ~ 12PM |
1, 2, 3 |
An Introduction to Econometrics |
|
2 |
June 7 (Sat) 2PM ~ 6PM |
4, 5, 6 |
Prediction, Goodness of Fit and Modeling Issues Further Inference in the Multiple Regression Model Quiz |
|
3 |
June 8 (Sun) 9AM ~ 12PM |
7, 8, 9 |
Dynamic Models, Autocorrelation and Forecasting Quiz |
|
4 |
June 14 (Sat.) 9AM ~ 12PM |
12, 14 |
|
|
5 |
June 14 (Sat.) 2PM ~ 6PM |
16 |
Qualitative and Limited Dependent Variable Models Quiz |
|
6 |
June 15 (Sun.) 9AM ~ 12PM |
|
Summary Review and Final Exam |
Academic Honesty:
Attention is drawn to University policy and regulations on honesty in academic work, and to the disciplinary guidelines and procedures applicable to breaches of such policy and regulations. Details can be found at http://www.cuhk.edu.hk/policy/academichonesty/. With each assignment, you are required to submit a statement (http://www.cuhk.edu.hk/policy/academichonesty/) that you are aware of these policies, regulations, guidelines and procedures.