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: Cochrane)
1- CAPM, ICAPM and APT (Ch. 9)
2- Generalized Method of Moments, GMM (Ch. 10 & 11)
3- Regression-Based Tests of Linear Factor Models (Ch. 12)
4- GMM for Linear Factor Models in Discount Factor Form (Ch. 13)