Applied Econometrics note for accounting and finance master program students and teachers

note

1. Applied Econometrics for Accounting
and Finance

Course Syllabus

2. •UNIT 0 Refreshers

–Overview of differential calculus

–Random variables: expected value, variance and
covariance

3. •UNIT I Introduction

–What is econometrics?

–Key steps in econometrics analysis

–Methodology of econometric research

4. •UNIT II Simple linear regression analysis

–Specification of the simple linear regression model

–Assumptions of the classical linear regression
model

–Ordinary least-squares (OLS) method of estimation

5. –A brief review of statistical inference

–The capital asset pricing model (CAPM)

–Fitting a simple linear regression model using
computer software

6. •UNIT III Multiple linear regression
analysis

–Specification of the multiple linear regression model

–Model (basic) assumptions

–Analysis of variance (ANOVA) and the coefficient of
determination

–Models involving categorical explanatory variables

7. •UNIT IV Model diagnostics

–Multicollinearity

–Test of normality of errors

–Autocorrelation in the disturbance terms

–Heteroscedasticity of the disturbance terms

8. •UNIT V Categorical dependent
variable models

–Introduction to qualitative choice analysis

–Drawbacks of standard linear regression models

–The logit model

9. •UNIT VI Time series analysis

–The concept of stationarity

–Autoregressive (AR) processes, characteristic
equations and stationarity

–Integrated processes and differencing

–Unit root tests

–Non-stationarity and spurious regression