OBJECTIVE: After taking this course, the students would have a working knowledge of basic econometrics and using R to do empirical studies in financial studies related to asset pricing.

Prerequisite: the materials taught in the course Financial Time Series.

Textbooks
1. Hill, R. Carter, William E. Griffiths, and Guay C. Lim, 2011, 4th ed., Principles of Econometrics, John Wiley & Sons.
2. Colonescu, Constantin, 2016, Principles of Econometrics with R.

References
1. Wooldridge, Jeffrey M., 2015, 6th ed., Introductory Econometrics: A Modern Approach, Cengage Learning.


TOPICS (subject to revision): Multiple Regression Analysis; Further Issues in the Multiple Regression Model; Nonlinear Relationships; Heteroskedasticity; Panel Data Models, Quantitative and Limited Dependent Variable Models, Text Analytics, Random Forest Algorithm.

GRADING: Homework and Presentations: 30%. Mid-Term Exam: 35%. Final Exam: 35%.