16 week plan

Course Title: Quantitative Methods in Finance

Course Code: FIN-528
Week
1

Topics
Overview of Econometrics. Methodology of Econometrics.

Overview of Regression Analysis. Regression vs Corelation.

Regression vs Causation.
The Nature and Sources of Data.
Types of Data.
Two Variable Regression Model.
Population Regression Curve. Population Regression Function.
Linearity in Variables.
Linearity in Parameters.
Stochastic Specification of PRF.

7
8

Significance of Stochastic Disturbance Term.

Sample Regression Function.
The Methodology of Ordinary Least Square.
Assumptions of OLS:
Heteroscedasticity
Autocorelation
The Gauss-Markov Theorem
Prove of Linearity and Unbiasedness Properties.
Variance of Parameters
The cooefficient of Determination.
Goodness of Fit.
Corelation.
Research Report Discussion.
Revision.
Mid-Term Examination

Classical Normal Linear Regression Model:

The Probability Distribution of disturbance term.
Why The Normality Assumption.

10

Properties of OLS under Normality Assumption.

Overview of Interval Estimation and Hypothesis Testing

11

.
12

Confidence Interval of Regression Coefficients.

Confidence Interval for Sigma Square.
Hypothesis Testing: The Confidence Interval Approach.
The Test of Significance Approach.
Regression Through Origin:

Introduction and Estimation.

Scaling and Units of Measurement.
Regression on Standardized Variables.
13

14

Multiple Regression Analysis.

Assumption of Multi-colinearity.
Partial Regression Coefficients.
The Problem of Estimation and Inference.
Dummy Variables in Regression.
Eviews: overview,
input data.
Plot graphs,
unit root test,
Redundant Variable Test.
Detection of Autocorelation.