TAILIEUCHUNG - Lecture Introductory Econometrics for Finance: Chapter 3 - Chris Brooks

Chapter 3 - A brief overview of the classical linear regression model. In this chapter, you will learn how to: Derive the OLS formulae for estimating parameters and their standard errors, explain the desirable properties that a good estimator should have, discuss the factors that affect the sizes of standard errors, test hypotheses using the test of significance and confidence interval approaches, interpret p-values, estimate regression models and test single hypotheses in EViews. | ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Chapter 3 A brief overview of the classical linear regression model ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Regression Regression is probably the single most important tool at the econometrician’s disposal. But what is regression analysis? It is concerned with describing and evaluating the relationship between a given variable (usually called the dependent variable) and one or more other variables (usually known as the independent variable(s)). ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Some Notation Denote the dependent variable by y and the independent variable(s) by x1, x2, . , xk where there are k independent variables. Some alternative names for the y and x variables: y x dependent variable independent variables regressand regressors effect variable causal variables explained variable explanatory variable Note that there can be many x variables but we will .

• Kinh tế học
• Econometrics for Finance
• Introductory Econometrics for Finance
• Regression model
• Purpose of econometrics
• Classical linear regression model
• Regression analysis
• Econometric model
• Financial modelling
• Straight lines
• Statistical foundations
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Multivariate models
• Simultaneous equations models
• Modelling long run relationship
• Stochastic non stationarity
• Modelling volatility
• GARCH models
• Switching models
• Switching behaviour
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Simulation methods
• Random number generation
• Empirical research project
• Research project
• Financial data