Syllabus_classes_BSiF.pdf

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Subject: Econometrics (Classes)
Teacher: mgr Anna Król
Bachelor Studies in Finance 2011/2012
Office hours: Wednesday 11:30 – 12:30, building Z, room 313
Schedule
No. Content
Textbooks
Date –
group 1
Date –
group 2
1. Organizational Class: Discussion on
Schedule, Textbooks, Grading. Repetition:
Statistics and Matrix Algebra. Introduction
to Econometrics.
[B]: App. 1, 1; [M]: 1, 2; [Gr]: App. A,
B, C; [JD]: App. A, B; [D]: 1.
7.02
8.02
2. Correlation. Test for the Significance of
Correlation Coefficient. Simple Regression
Model. Ordinary Least Squares (OLS)
Estimation.
[B]: 2; [M]: 3; [Gr]: 1; [JD]: 1 (2); [D]:
2.
14.02
15.02
3. Multiple Regression Model. Assumptions
Underlying Classical Linear Regression
Model. Properties of the OLS Estimators.
[B]: 3, 4; [M]: 4; [Gr]: 2, 3, (4, 5); [JD]:
3; [D]: 3, 4.
21.02
22.02
4. Goodness of Fit. Hypothesis Testing: t-
test, F-test. Normality of the Disturbance
Term.
[B]: 2, 3; [M]: 3, 4; [Gr]: 6; [JD]: 1, 3;
[D]: 3, 4.
28.02
29.02
5. Heteroskedasticity.
[B]: 4; [M]: 5; [Gr]: 11; [JD]: 6; [D]: 8.
6.03
7.03
6. Autocorrelation (Serial Correlation).
[B]: 4; [M]: 6; [Gr]: 12; [JD]: 6; [D]:
13.
13.03
14.03
7. Specification Analysis and Model
Selection. Multicollinearity (Collinearity).
[B]: 4; [M]: 7, 12; [Gr]: 8; [JD]: 4; [D]:
4, 7.
20.03
21.03
8. Transformation of Variables. Nonlinear
Regression Models.
[M]: 3 (10); [Gr]: 7 (9); [JD]: 2; [D]: 5.
27.03
28.03
9. Revision.
3.04
4.04
10. Final Examination.
24.04
25.04
Textbooks:
[B]
Brooks Ch.: Introductory Econometrics for Finance , Cambridge University Press 2002.
[M]
Maddala G.S.: Introduction to Econometrics , John Wiley & Sons 2001.
[Gr]
Greene W.H.: Econometric Analysis, Prentice Hall 1999.
[JD]
Johnston J., Dinardo J.: Econometrics Methods , McGraw-Hill/Irwin 1996.
[D]
Dougherty Ch.: Introduction to Econometrics , Oxford University Press 2002.
Supplementary textbooks:
[DM]
Davidson R., MacKinnon J.G.: Econometric Theory and Methods , Oxford University Press 2004.
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