Faculty of Business
City University of Hong Kong
EF3450 Principles of Econometrics
Semester B 2014-2015
Dr. Isabel Yan
Assignment 3
Note:
1. Due March 24 (for Tue session) and March 25 (for Wed session) at the beginning of
lecture.
2. Write down your full
Faculty of Business
City University of Hong Kong
EF3450 Principles of Econometrics
Semester B 2014-2015
Dr. Isabel Yan
Assignment 1 (Total: 40 points)
Note:
1.
2.
3.
4.
Due Feb 3 (for Tue session) and Feb 4 (for Wed session) at the beginning of lecture
Wr
Practice Questions
Multiple Choice Questions
Chapter 5
1)
The confidence interval for a single coefficient in a multiple regression
a. makes little sense because the population parameter is unknown.
b. should not be computed because there are other coeffi
Chapter 1
1.
award:
10 out of
10.00 points
Why does the textbook author focus on coordination rather than on scarcity when defining economics?
The author focuses on coordination rather than on scarcity because coordination is objective while
scarcity is r
CHAPTER 8
1.
award:
10 out of
10.00 points
Explain why the combination of consumer and producer surplus is not maximized if there is either excess demand or
supply.
With either excess supply or excess demand, the number of trades will be higher than if pr
Chapter 5
1.
Say that the equilibrium price and quantity both rose. What would you say was the most likely cause?
The demand curve shifted left.
The demand curve shifted right.
Quantity demanded increased.
The supply curve shifted right.
.
award:
10 out o
EF3450
Principles of Econometrics
Week 1-2
Introduction to Econometrics;
Basic Statistical Concepts
City University of Hong Kong
Dr. Isabel Yan
1. Introduction to Econometrics
Econometrics means economic measurement. It is the application of
statistics to
Using E-view to run
regression
Instruction to Computer
exercise
Explaining the relationship between two
variables: Linear Regression Model
Suppose that, we want to examine the
relationship between wage and education
level.
In addition to running a regress
EF3450
Principles of Econometrics
Week 4-5
Properties of the Ordinary Least Squares Estimator;
Hypothesis Testing in Simple Regression Model
City University of Hong Kong
Dr. Isabel Yan
1
1.The Ordinary Least Squares Estimators (OLS) as
Random Variables
If
Week 7 Tutorial
Limitation of T-test
Testing Single linear
combination of parameters
Partialling Out
Interpretation
1
Limitation of T-test
T test does not test theoretical validity
Consider the following estimated
regression that explain the consumer pric
Week 1 Tutorial: Introduction to
Econometrics and Use of E-view
1.
2.
Introduction to
Econometrics: Case on
Analyst
Recommendations
Using E-view to
Reference: Introduction
calculate basic statistics to
Econometrics by James H.
Stock and Mark W. Watson
1.
Using E-views to look at Hong
Kong Property Price
4 2
1996 1997 2004 2007
15% 2 (12 January 2015,
Apple Daily)
According to past data, if the property price is
higher than 2 standard deviation from its
average, the price will fall. So, if the property
EF3450
Principles of Econometrics
Week 9
Some Nonlinear Functional Forms in Regression;
Problems of omitting relevant variables;
Problems of including irrelevant variables
City University of Hong Kong
Dr. Isabel Yan
1
1. Modeling nonlinear relationship be
EF3450
Principles of Econometrics
Week 13
Violation of basic assumption #3:
Serial correlation (autocorrelation)
City University of Hong Kong
Dr. Isabel Yan
1
Violations of basic assumption #3
1. Serial correlation (autocorrelation)
So far we assume that
Week 3 Tutorial
A Brief Look at Hong
Kong Property Price
Donald Tsang, former Chief Executive, in his
2009 policy address, he said Sharp rise in
luxury property price will not affect our
society. It is because the luxury market is
small relative to the ge
Hypothesis Testing Using Eview
CAPM
Recall that, we can estimate the risk of a
stock using CAPM:
CAPM
CAPM
We can use a sample to estimate the
CAPM:
CAPM
For example, lets use Microsoft (msft) rate
of return to run the CAPM (Data file:
capm4).
P
value
One
Faculty of Business
City University of Hong Kong
EF3450 Principles of Econometrics
Semester B 2014-2015
Dr. Isabel Yan
Assignment 4 (20 points)
Note:
1. Due April 21 (for Tue and Wed sessions) at the beginning of the lecture or in the
homework collection
Faculty of Business
City University of Hong Kong
EF3450 Principles of Econometrics
Semester B 2014-2015
Dr. Isabel Yan
Assignment 2 (Total: 15 points)
Note:
1. Due March 3 (for Tue session) and March 4 (for Wed session) at the beginning of
lecture.
2. Wri
Options
Options payoffs
Options Risk
Using Options
EF4320 Investments II
Lecture Notes: Options Markets
Jay Li
City University of Hong Kong
Jay Li
EF4320 Investments II: LN Options Markets
1 / 44
Options
Options payoffs
Options Risk
Using Options
Outline
Futures and Forwards
Margin requirements
Futures Pricing
Applications
Swaps
EF4320 Investments II
Lecture Notes Set Futures
Jay Li
City University of Hong Kong
Jay Li
EF4320 Investments II: LN Futures
1 / 45
Futures and Forwards
Margin requirements
Future
Basics
Binomial Pricing Model
Black-Sholes Model
Delta Hedge
EF4320 Investments II
Lecture Notes Set Options Valuation
Jay Li
City University of Hong Kong
Jay Li
EF4320 Investments II: LN Options Valuation
1 / 41
Basics
Binomial Pricing Model
Black-Sholes
Midterm Review Questions:
TRUE and FALSE questions:
1. For regression, , the least squares normal equations are .
2. For regression, , the OLS estimator is equal to .
3. The assumption that the error term is normally distributed is required to obtain the
EF3450
Principles of Econometrics
Week 10
Dummy Variables and Multicollinearity Problem
City University of Hong Kong
Dr. Isabel Yan
1
1. What are Dummy Variables?
Dummy variables are explanatory variables that only take two values, usually 0 and 1,
which
EF3450
Principles of Econometrics
Week 6-8
Measuring the Goodness of Fit;
Estimation of Multiple Regression Model;
Hypothesis Testing and Confidence Intervals in Multiple
Regression Model
City University of Hong Kong
Dr. Isabel Yan
1. The Multiple Regress
EF3450
Principle of Econometrics
Week 11
Violation of basic assumption #2:
Heteroskedasticity
City University of Hong Kong
Dr. Isabel Yan
1
Violations of basic assumptions
1. Heteroskedasticity
Consider the food expenditure example
yi 1 2 xi ei
which is m
City University of Hong Kong
Semester B 2014-2015
EF3450 Principles of Econometrics
Course instructor:
Dr. YAN, Kit-Ming Isabel
Tutorial instructor:
Mr. JOR Wing Shing (e-mail: wsjor0@cityu.edu.hk)
Office:
P7314
Tel:
34427315
E-mail:
efyan@cityu.edu.hk
Of
Name: _ Class: _ Date: _
ID: A
Confidence Intervals and Hypothesis Testing
Multiple Choice
Identify the choice that best completes the statement or answers the question.
_
1. The librarian at the Library of Congress has asked her assistant for an interval
The United States of America is well-known by everyone as the biggest potency in the
whole world. Its economy represents almost the third part of the global Gross Domestic Product,
and its behavior has repercussions not only inside its borders, but also o
Article 1
The United States is a country that follows the standards of capitalism, including laissezfaire, welfare capitalism, and state capitalism. Actually, the United States is the capitalisms most
representative country, which is creating big economic