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BMAN30190 Empirical Finance
Regression
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You need the following background knowledge
•
a solid ﬁnance background that should have been acquired in
BMAN23000 or BMAN20072 and BMAN20081 (asset pricing,
investment, corporate ﬁnance)
•
a functional knowledge of statistics (descriptive statistics,
probability, random variables, distribution, linear regression,
statistical signiﬁcance)
Please make up if you feel weak in some of these aspects.
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Readings for OLS Regression
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D.R.Anderson,D.J.Sweeney and T.A.Williams, 2002 ,
Statistics for
Business and Economics
, chapters 14 and 15(recommended).
•
or Similar topics can be found in any other introductory econometrics
text (there are plenty of these).
–
Griﬃths, W.E., R.C. Hill and G.C. Judge, 1993,
Learning and
Practising Econometrics
, Wiley, chapters 9 and 10.
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Kennedy, P., 1998,
A Guide to Econometrics
4th edition, MacGraw
Hill, chapters 1, 2, 3 and 4.
–
Maddala, G., 1992,
Introduction to Econometrics
2nd edition,
MacGraw Hill, chapter 4.
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Background
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relations
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linear relation; nonlinear relation
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univariate relation; multivariate relation
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causal relation; noncausal relation
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crosssectional relation; timeseries relation
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use graph to represent relations
A linear relation
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A quadratic relation
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use functions to represent relations
–
y
=
f
(
x
)
,
y
=
f
(
x,z
)
–
y
=
a
+
bx
–
y
=
ax
2
+
bx
+
c
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A regression is used to estimate the functional form of a relation
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in ﬁnance, such relation can either be timeseries or
crosssectional
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This note was uploaded on 04/10/2011 for the course BMAN 3200 taught by Professor Kei during the Spring '11 term at MD University College.
 Spring '11
 KEI

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