Overview
This unit introduces you to the financial econometrics models and techniques that are commonly used in empirical finance research. The topics covered in this unit include conditional expectations, linear projections, linear regression models, unobserved effects, and instrumental variables.
Offerings
S1-01-CAULFIELD-ON-CAMPUS
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Professor Lyndon Moore
Learning outcomes
On successful completion of this unit, you should be able to:
1.
understand the concepts of conditional expectations and linear projections
2.
understand the asymptotic properties of ordinary least squares and be aware of the omitted variables problem and measurement error
3.
estimate linear regression models with instrumental variables
4.
implement unobserved fixed effects models
5.
demonstrate in individual summative assessment tasks the acquisition of a comprehensive understanding of the topics covered by BFX4003.
Teaching approach
Problem-based learning
Active learning
Assessment
1 - Within semester assessment
2 - Examination
Scheduled and non-scheduled teaching activities
Workshops
Workload requirements
Workload
Learning resources
Required resources