Microeconometrics and Empirical Corporate Finance: Predictive and Prescriptive Analysis

2019/2020

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Management

Course type:

Elective course

When:

2 year, 1, 2 module

Instructor

Zazdravnykh, Evgeny

Программа дисциплины

Аннотация

This course provides students with skills in basic microeconometrics with applications in empirical corporate finance. Students will learn the limitations of the most widely used methods and should be able to apply them for analytical exercises. The course is oriented for prospective doctoral students.

Цель освоения дисциплины

• To be able to estimate microeconometrics models using STATA
• To be able to find data for the econometric analysis
• To be able to read and understand econometric reports (empirical papers)

Результаты освоения дисциплины

• be able to use OLS regression in STATA
• be able to interpret OLS coefficients
• be able to simulate OLS models in STATA
• be able to detect potential problems in the regression model using simulation approach
• to know IV approach theory
• be able to explain reasons to use a variable as an instrument
• be able to verify whether an instrument weak or strong
• be able to import time series data in STATA
• be able to run OLS regressions for time-series data
• be able to forecast time-series in STATA
• be able to predict binary outcome variable
• be able to interpret outputs for binary regression models
• be able to estimate marginal effects
• be able to import panel data in STATA
• be able to estimate FE and RE models
• be able to choose between Pooled OLS, RE, FE models
• be able to explain reasons to use instruments for panel regression models
• be able to detect whether an instrument weak or strong for panel regression models
• be able to estimate panel probit models
• be able to evaluate the goodness of fit for panel probit models

Содержание учебной дисциплины

• Linear Regression Basics
  Data sources. OLS. Gauss-Markov Assumptions. Heteroscedasticity and robust, clustered robust standard errors. Multicollinearity and VIF test, correlations. Endogeneity and Instrumental Variables.
• Linear Regression Basics: Simulation
  Simulation. Limitations and problems in OLS.
• Instrumental Variables
  Theory of IV approach. Strong and weak instruments. Examples from Finance.
• Time Series
  ARMA, ARIMA models. Autocorrelation and test for autocorrelation. Multivariate regression models in time series.
• Binary outcome models (Discrete choice)
  Probit and logit. Model diagnostics and coefficient interpretation. Ordered and multinominal probit/logit.
• Linear Panel Models. Basics
  Fixed and Random Effect Models. Tests. Examples in Finance. Limitations and problems.
• Linear Panel Models. Extensions
  Instrumental variable approach in linear panel models. Short and long panels. Dynamic panels.
• Non-linear Panel Models
  Panel logit and probit models. Limitations and problems. Examples in Finance.

Элементы контроля

• Test 1 (неблокирующий)
• Test 2 (неблокирующий)
• Exam (блокирующий)

Промежуточная аттестация

• Промежуточная аттестация (2 модуль)
  0.5 * Exam + 0.25 * Test 1 + 0.25 * Test 2

Список литературы

Рекомендуемая основная литература

• Levendis, J. D. (2018). Time Series Econometrics : Learning Through Replication. Cham, Switzerland: Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2016053
• Statistics and Causality : Methods for Applied Empirical Research, edited by Wolfgang Wiedermann, and Eye, Alexander von, John Wiley & Sons, Incorporated, 2016. ProQuest Ebook Central, https://ebookcentral.proquest.com/lib/hselibrary-ebooks/detail.action?docID=4530803.

Рекомендуемая дополнительная литература

• Badi H. Baltagi. (2011). Econometrics. Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.spr.sptbec.978.3.642.20059.5
• Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012). The Econometrics of Financial Markets. New Jersey: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1891894