Introduction to econometric modelling: correlation and regression. ... Brooks Ch.:
Introductory Econometrics for Finance, Cambridge University Press 2002. [M].
Subject: Econometrics (Computer Classes) Teacher: mgr Anna Król Bachelor Studies in Finance 2012/2013 Office hours: Tuesday 10:30 – 12:00, building Z, room 313 email:
[email protected] www: www.ekonometria.ue.wroc.pl Schedule No. Content 1. Revision: statistics and matrix algebra. 2. Introduction to econometric modelling: correlation and regression. 3. Simple regression model: Security Characteristic Line (SCL). Confidence interval for the regression line. 4. Correlation matrix. Multiple regression model - estimation and interpretation. Dummy variables. 5. Multiple regression model. Diagnostic Tests. Normality of the Disturbance Term. 6. Introduction to GRETL. 7. Multiple Regression Model. Heteroskedasticity and Model Selection. 8. Multiple Regression Model. Autocorrelation. 9. Econometric modelling – revision and summary. 10. Final Examination.
Software MS Excel MS Excel
Date 26.02 5.03
MS Excel
12.03
MS Excel
26.03
MS Excel
9.04
GRETL GRETL
16.04 30.04 or 7.05
GRETL MS Excel, GRETL MS Excel, GRETL
7.05 or 14.05 14.05 or 21.05 28.05
Textbooks: [B] Brooks Ch.: Introductory Econometrics for Finance, Cambridge University Press 2002. [M] Maddala G.S.: Introduction to Econometrics, John Wiley & Sons 2001. [Gr] Greene W.H.: Econometric Analysis, Prentice Hall 1999. [JD] Johnston J., Dinardo J.: Econometrics Methods, McGraw-Hill/Irwin 1996. [D] Dougherty Ch.: Introduction to Econometrics, Oxford University Press 2002. Supplementary textbooks: [DM] Davidson R., MacKinnon J.G.: Econometric Theory and Methods, Oxford University Press 2004.
