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