Financial Econometrics
Preliminaries
Lecturer: Dr. Cal Muckley
Initial Comments
There are 12 Financial Econometrics lectures this
semester see course outline for a detailed schedule.
Attendance at l
_
November 3rd 2016
ECON 30130 Midterm Exam
Prof. Paul Devereux
Time Allowed: 50 Minutes
Select the one option you believe is the best answer.
Marking scheme: Correct answer = +1
No answer = 0
Wrong a
ECON 30130
Econometrics
2016/17
Sample MCQ Questions
1. The term u in an econometric model is usually referred to as the
a. error term
b. parameter
c. hypothesis
d. dependent variable
e. residual
2. S
ECON 30130
Econometrics
2016/17
Practice Problems on Multiple Regression (answers not to be turned in)
Question 1
Consider the multiple regression model with three independent variables, under the cla
ECON 30130
Econometrics
2016/17
Practice Problems on Multiple Regression (answers not to be turned in)
Question 1
A dataset on working men was used to estimate the following equation:
educ 10.36 .094s
ECON 30130
2016/17
Econometrics
Practice Problems on Simple Regression (answers not to be turned in)
Question 1
Suppose that you are asked to evaluate whether more job training makes workers more
prod
SEMESTER ONE EXAMINATIONS
ACADEMIC YEAR 2016/2017
ECON30130
Econometrics
SAMPLE FINAL EXAM
Professor Barry Reilly
Professor Karl Whelan
Professor Paul Devereux*
Time Allowed: 2 Hours
Instructions for
EXOGENEITY
Two Stage Least Squares
and Instrumental Variables
Estimation
Lecturer: Dr. Cal Muckley
Overview [1 of 4]
The exogeneity assumption of the Gauss-Markov theorem: explanatory
variables are ei
AN OVERVIEW OF THE
CLASSICAL LINEAR
REGRESSION MODEL
Lecturer: Dr. Cal Muckley
Overview of Handout [1 of 2]
Regression & OLS
Regression Basics; Correlation; PRF and SRF
+ an example: the CAPM
The OL
Relaxing the Assumptions of
the Classical Linear Regression
Model
Multicollinearity
Lecturer: Dr. Cal Muckley
Overview of Handout
This Handout addresses multicollinearity under the following headings:
MLEs and Qualitative Response
Regression Models
Lecturer: Dr. C. Muckley
Overview [1 of 3]
MLE is a standard method for fitting the parameters of a density function.
It consists of estimating the unkn
CLRM APPLICATIONS
Lecturer: Dr. Cal Muckley
Overview of Handout
Several Applications building on CAPM example
Demand function for rental properties
Jensens alpha portfolio performance
Overreaction
Non-Linear Regression Models
Lecturer: Dr. Cal Muckley
Overview I
Intrinsically non-linear in-the-parameters regression
models (NLRMs) cannot be transformed such that they are
linear in-the-parameter
Relaxing the Assumptions of the
Classical Linear Regression Model
Model Specification &
Diagnostic Checking
Lecturer : Dr. Cal Muckley
Module : Financial Econometrics
Overview of the Handout [1]
The
Relaxing the Assumptions of the Classical
Linear Regression Model
Autocorrelation
Lecturer : Dr. Cal Muckley
Module : Financial Econometrics
Overview of Handout[1]
In this handout the topic of autocor
Relaxing the Assumptions of the
Classical Linear Regression Model
Heteroskedasticity
Lecturer :
Module :
Cal Muckley
Financial Econometrics
Overview [1]
In this handout the topic of heteroskedasticity
ECON 30130
2016/17
Econometrics
Practice Problems on Multiple Regression (answers not to be turned in)
Question 1
Suppose you collect data from a survey on wages, education, experience, and gender. In