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Financial Econometrics - F

Course code
Course type
MSc Course
Weekly Hours
HS 2022
Prof. Dr. Michael Erkens
Please note that exchange students obtain a higher number of credits in the BSc-program at WHU than listed here. For further information please contact directly the International Relations Office.

This course provides a basic treatment of econometric methods, discussing theoretical concepts as well as applying them to real world data sets taken from finance, accounting and/or economics.

Building on a sound understanding of the regression model and least-squares estimation, the emphasis lies on the OLS model, as well as estimation and inferences in multiple regression analysis. We will also cover linear probability models, and do a brief introduction in time series and panel data analysis. The course takes the form of interactive lectures with exercises: on the one hand, basic theoretical material is presented and illustrated by means of exercises and the use of the Stata software package; on the other hand, participants are given a bigger course project to practice the use of the software themselves. An additional course feature is the discussion of academic research articles. We will talk about potential research questions and how others have answered these questions by means of econometric techniques. By the end of the course, participants will have knowledge of how to analyse simple econometric models as presently used in finance, accounting and economics. They will be able to follow the state-of-the-art literature on these topics and engage in empirical econometric analyses of their own, using the popular Stata software package.

Date Time
Thursday, 10.11.2022 13:45 - 17:00
Friday, 11.11.2022 11:30 - 17:00
Wednesday, 23.11.2022 13:45 - 18:45
Thursday, 24.11.2022 08:00 - 11:15
Thursday, 08.12.2022 11:30 - 17:00
Friday, 09.12.2022 08:00 - 11:15
panel data analysis, instrumental variable methods, propensity-score matching, time-series analysis
recommended: Introductory Econometrics, International Edition (Englisch) Taschenbuch – Jeffrey M. Wooldridge (Autor)
lecture + group assignments
40% group work

60% exam

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