Quantitative Methods/Econometrics Notes

 Modules Outline: 

Macro and Financial Econometrics (MFE): ModuleOutline_MFE.pdf

Quantitative Methods for Finance and Economics (QMFE): ModuleOutline_QMFE.pdf

CayleyMatrixAlgebra.pdf

LECTURE NOTES:

Lecture Notes 1 (Least Squares Estimation): EconmNot1_UnivRegr_2011.pdf

Lecture Notes 1 (Graphs and Tables)  EconmNot1_Graphs_Tables_2011.pdf

Lecture Notes 1 (Examples)  EconmNot1_EmpiricalExamples_2011.pdf

Lecture Notes 2 (Multiple Linear Regression): EconmNot2_MultRegr_2011.pdf

Lecture Notes 2 (Empirical Examples): EconmNot2_EmpiricalExamples.pdf

Lecture Notes 2(Empirical Examples):EconmNot_EmpiExamples.pdf

Lecture Notes 3 (Heteroscedasticity and Autocorrelation) EconmNot4_HeterAuto_2011.pdf

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ONLY FOR MFE

Lecture Notes 4 (Linear Restrictions): EconmNot4_LinRestr_2011.pdf

Lecture Notes 5 (Parameter Constancy) EconmNot6ParamConst.pdf

Lecture Notes 6 (Generalised Least Squares)  EconomNot_GLS_IV.pdf

Lecture Notes 6 (IV Empirical Example ) EconimNotGujarati_IV.pdf

Lecture Notes 7 (Panel Data) EconmNotPANELDATA.pdf

Lecture Notes 8 (Non Linear Relationships): EconmNot3_NonLinear_2011.pdf

Lecture Notes 8 (Graphs and Tables): EconmNot3_Graphs_Tables_2011.pdf

EMPIRICAL EXAMPLES

Inflation-Growth notes: InflationGrowth.pdf

Inflation-Growth notes1: ECL_Inflat_Growth.pdf

Inflation-Growth paper: IEJ08.pdf

Financial Development and Growth:  ECLFinancialDevelopment_Brazil.pdf

Volume-Volatility Notes:  VolumeVolatility.pdf

Volume-Volatility: EVIEWS file: vlmvlt.wf1

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ONLY FOR QMFE

Lecture Notes: Finance, Empirical Examples: ECLKartsFinanceEmpirical.pdf

Lecture Notes: Finance, Theory: ECLKartsFinanceTheory.pdf

Lecture Notes: (Accounting and Finance): Event Studies1: ECLQiweiChen_EventStudies.pdf

Lecture Notes: (Accounting and Finance): Event Studies2: ECLQiweiChen_EventStudies_EMH tests.pdf

Exercise: (Accounting and Finance): Event Studies, Workshop: ECLQiweiChen_Event study_ workshop.pdf

Exercise: (Accounting and Finance): Event Studies, Data: ECLQiweiChen_Exercise_Data.xlsx

EXTRA NOTES:

LectureNotes (Accounting and Finance): Summary: ECLSkerratt_main.html

Lecture Notes (Accounting and Finance): Earnings Management: ECLSkerratt_emanagement.pdf

Lecture Notes (Accounting and Finance): Quality of Account Numbers: ECLSkerratt_quality.pdf

Lecture Notes (Accounting and Finance): Accounting Income Numbers: ECLSkerratt_bb68.pdf

Lecture Notes (Accounting and Finance): Volatility in Stock Prices: ECLSkerratt_shill81.pdf

 Exercise (Accounting and Finance): Identify the Announcement Date: ECLSkerratt_exercise.xlsx

Lecture Notes: Logit and Probit Models with Applications: ECLConstantLogitProbit.pdf

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EXTRA NOTES:

Notes 1(Random Variables-Probabilities):  ECL1.pdf

Notes 2 (Least Squares Estimation): ECL2.pdf

Notes 3 (Bivariate Linear Regression Model): ECL3.pdf

Notes 4 (Linear Models and Matrix Algebra): ECL4.pdf

Notes 5 (Multivariate Linear Regression Model): ECL5.pdf

Notes 6 (Diagnostic Tests): ECL6.pdf

Notes 7 (Dynamic regression Models): ECL7.pdf

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EXERCISES:

Exercise 1 (Correlation Coefficient): Exercise1b.pdf

Exercise 2 (Bivariate Linear Regression):  Exercise 2d.pdf

Exercise 3: (Testing Linear Restrictions): ProblemSet5a.pdf

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ONLY FOR QMFE

Exercise 4 (t-tests): Exercise4.pdf

Exercise 5 (Non-Linear Regressions): Exercise3.pdf

Exercise 6 (Empirical Examples): Exercise 6.doc

EXTRA:

Exercise 7 (ADL  Models): Exercise 7.pdf

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Selected Answers: SelectedAnswers.pdf

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EVIEWS:

PART A:

EXERCISES:

EVIEWS Exercise 1: eviews1.doc

EVIEWS Exercise 2: eviews2e.doc

EVIEWS Exercise 3: eviews3e.doc

DATA:

Data 1: Data1.xls

Data 2: DATA3.XLS

Microfit Data Inflation: INFLAT.FIT

Data 4: data4a.xls

EVIEWS FILES:

EVIEWS File  : ex2.wf1

EVIEWS File  : ex3.wf1

PART B:

EXERCISES:

EVIEWS Exercise 4:  Eviews1.doc

EVIEWS Exercise 5: EVIEWS_2.doc

EVIEWS FILES:

Eviews File /(Data) 4:  EVIEWS_1_Monetary policy data.wf1

Eviews File  /(Data) 5: consumption income data.wf1

PART C :

EXERCISES:

EVIEWS Exercise 6a: Eviews6a_Karts.pdf

EVIEWS Exercise 6b: Eviews6b_Karts.pdf

EVIEWS Exercise 7 (Only for EC5509):   Eviews7_Constant.pdf

EVIEWS FILES:

Eviews file/(Data) 6a: EVIEWS_cons_inco_Karts.wf1

Eviews file/(Data) 6a: EVIEWS_wages_autosales_Kartsakl.wf1

Eviews file/(Data) 6b: EVIEWS_fama_french_Karts.wf1

Eviews file/(Data) 7 (Only for EC5509): EVIEWS_Logit_Probit_mauro.wf1

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PART D (only for EC5501):

EVIEWS Exercise 8 (Inflation-Growth):  EVIEWSInflationGrowth.pdf

EVIEWS FILES:

EVIEWS File (Volume-Volatility): EVIEWS1.wf1

EVIEWS File/Data 8 (Inflation-Output Growth): EVIEWS2.wf1

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EXTRA:

EVIEWS Exercise : EVIEWS_3.doc

Eviews File /(Data) : dollar sterling exchange rate data.wf1

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MICROFIT:

Microfit Data 1: Data1.xls

Microfit /Data Inflation: INFLAT.FIT

Microfit /Data 3: DATA3.FIT

Microfit /Data 4: DATA4.FIT

Microfit /Data 5: DATA5.FIT

Microfit Exercise 2: Microfit2.doc

Microfit Exercise 3: Microfit3.doc

Microfit Exercise 4: Microfit4.doc

Microfit Exercise 5: Microfit5.doc

Microfit Exercise 6: Microfit6.doc

Exams:

Specimen final exam 2005-2006:    Econometrics_SE_2005.pdf

Specimen final exam, Answers 2005-2006:    Econom_SE_Answers_2005.pdf

More Questions and Answers: More_Questions_2005.pdf

Mid-term exam: 2005-2006: Econometrics_TestExam_2005.pdf

Mid-term exam,  Answers 2005-2006: Econom_TestExam_Answers_2005.pdf

Mid-term exam 2006-2007: EconometricsMidTermExam0607.doc

Specimen mid-term exam 2007-2008: SpecimenTestExam0708.pdf

Mid-term exam 2007-2008: EconometricsMidTermExam0708.pdf

Final exam 2007-2008: EconometricsFinalExam0708.doc

Mid-Term Exam 2011-2012: EconmMidTermExam_11_12.pdf