Introduction to econometrics
Basics of ECON 714
Prof. Dr. Christian Mller
German University in Cairo
www.s-e-i.ch
Cairo, 19 February 2014
Prof. Dr. C. Mller
GUC
About
Outline
Organisation and content
About econometrics
StatMath
Summary
Outline
Organisatio
Lecture 4: Hypothesis Testing
1
For the PRF we did not say how the ui were
generated,
But we can only make inferences from the SRF
to the PRF when we make some specific
assumptions about how ui are generated.
This is precisely what the so-called classi
Lecture 3: Deriving the OLS
Estimator
1
There are a number of excellent references for
this material including the following;
Oakshott, L. Essential Quantitative
Weiss, N. Introductory Statistics 8th ed
deVaus, D. A. Surveys in Social Research 4th ed
Lecture 5: Multiple Regression
Estimation
1
Forecasting
We can use an estimated model for
forecasting.
0 = |0
For example see the last tutorial.
It is not likely for the mean to occur in any
given sample.
We need to take into account the prediction
er
Faculty of Management Technology
Economics Department
Introduction to Econometrics ECON714 C. Richter, D. Yousri, H. Korashy
Tutorial 4
1) You are given the following data based on 10 observations on Y and X:
Y i=1110, X i =1680, X i Y i =204200, X 2i =3
Econometrics Lecture 6
Variance and Standard Errors of OLS Estimators:
As in the two-variable case, we need the standard errors for two main purposes:
1. to establish confidence intervals for the true parameter values and
2. to test statistical hypotheses
Econometrics Lecture 5
Multiple regression: there is more than one explanatory variable.
The coefficients 2 and 3 are called the partial regression coefficients. The meaning of partial
regression coefficient is as follows: 2 measures the change in the mea
Lecture 5 and 6: Hypothesis Testing in Multiple Regression
In the two-variable linear regression model that we have considered so far there was a single independent, or
explanatory, variable. In this chapter we extend that model by considering the possibi
Lecture 1
What is Quantitative Research?
In natural sciences and social sciences, quantitative research is the systematic empirical
investigation of observable phenomena via
statistical,
mathematical and/or
computational techniques.
The objective of quant
Introduction to Econometrics ECON714 C. Richter, D. Yousri
Tutorial 5
1) The characteristic line of modern investment analysis involves running the following
regression:
r t =B 1+ B2 r mt +u t
Where r = the rate of return on a stock or security
rm = the r
Lecture 2: An Introduction to
Simple Regression
1
Introduction
What is econometrics about?
Finding Relationships
Equation of a line
Statistics
2
Economic
Theory
Mathematical
Economics
Econometrics
Economic
Statistics
Mathematic
Statistics
3
Introducti
Introduction to Econometrics
Prof Dr Christian Richter
Office: B5-318
Email:
[email protected]
Course Outline
What will we do here?
The basics of econometrics
Emphasis is on generating results and their
interpretation
Getting used to econom
2
MARK JOSHI
derivatives pricing. This sort of job is most commonly found in hedge
funds. The return on this type of position is highly volatile!
A capital quant works on modelling the banks credit exposures and
capital requirements. This is less sexy tha
Introduction to econometrics
Least squares and the linear multiple regression model
Prof. Dr. Christian Mller
German University in Cairo
www.s-e-i.ch
Cairo, 26 March 2014
Prof. Dr. C. Mller
GUC
Least squares
Outline
LS character
Summary
Appendix
Outline
C
Introduction to econometrics
Setting up the multiple regression model
Prof. Dr. Christian Mller
German University in Cairo
www.s-e-i.ch
Cairo, 5 March 2014
Prof. Dr. C. Mller
GUC
Settin up
Outline
Setup
Summary
Appendix
Outline
Setting up the linear multi
Introduction to econometrics
Assumptions about the linear multiple regression
model
Prof. Dr. Christian Mller
German University in Cairo
www.s-e-i.ch
Cairo, 12 March 2014
Prof. Dr. C. Mller
Assumptions
GUC
Outline
Assumptions
Estimation
Summary
Appendix
O
Introduction to econometrics (Econ101)
Exercise sheet 1
Prof. Dr. Christian Mller
u
Question 1: Matrices.
a) Consider the following two linear functions.
y1 = ax1 + b
y2 = ax2 + b
Write this system of equations in matrix form: Y = X with Y =
Let X =
y1
.
Introduction to econometrics
Basic statistics and mathematics
Prof. Dr. Christian Mller
German University in Cairo
www.s-e-i.ch
Cairo, 26 February 2014
Prof. Dr. C. Mller
GUC
Stats Math
Outline
Stats Math
Summary
Outline
Basic mathematics and statistics
B
Introduction to econometrics (Econ714)
Exercise sheet 3
Prof. Dr. Christian Mller
u
Problem set 1: Matrices.
a) Please refer to Greenes appendix A.5.3 and A.5.4 and explain in your own words
1
why N (X X) yields an interpretation as the variance-covarianc
Introduction to econometrics (Econ714)
Exercise sheet 2
Prof. Dr. Christian Mller
u
Question 1: Matrices.
a) Consider the following vector revenues of a rm observed over four periods stacked
of
5
6
into the a 4 1 vector x =
7 . Further, let i denote a
ON BECOMING A QUANT
3
Commodities, this is also a big growth area with the general rally in
commodity prices in recent years. This is the area that seems to be holding up best in the current job market.
Hybrids are derivatives that pay off according to be
Lecture 2: An Introduction to Simple Regression
What is econometrics about?
Finding Relationships
Equation of a line
Statistics
Econometrics means economic measurement.
1. Econometrics, the result of a certain outlook on the role of economics, consists of