Pennsylvania State University 3 credits MFE
The aim of this course is to develop basic econometric estimation and hypothesis testing tools necessary to analyze and interpret the empirical relevance of financial and other economic data. The focus will be on the theoretical foundations of econometric analysis and strategies for applying these basic econometric methods in empirical finance research. The course includes the following topics: multivariate regression; maximum likelihood estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; econometric tests of the Capital Asset Pricing Model and multifactor models, and volatility modelling.
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