Portale di Ateneo - En.Unibs.it

Part I: Linear Multiple Regression (Main reference: Stock & Watson)
1- OLS with matrix notation, asymptotic distribution of OLS estimator ad t statistic
2- Joint hypothesis testing

Part II: Regression analysis for time series (Main reference: Stock & Watson)
1- Distributed (DL) and Autoregressive Distributed Lag (ADL) models, trend and stationarity
2- Dynamic causal effects
3- VAR and cointegration

PART III: Topics of econometrics for financial markets (Main reference: Linton)
1- MV portfolios, CAPM, and APT (Ch. 1)
2- Econometrics of MV portfolios (Ch. 7)
3- Testing CAPM in time series and cross-section (Ch. 7)
4- Linear factor models and factor choice (Ch. 7)
5- Testing APT in time series and cross-section (Cap 8)