Quantitative Methods/Econometrics Notes
Modules Outline:
Macro and Financial Econometrics (MFE): ModuleOutline_EC5501_2011.pdf
Quantitative Methods for Finance and Economics (QMFE): ModuleOutline_EC5509_2011.pdf
Matrix Algebra (History): Cayley.pdf
LECTURE NOTES:
Lecture Notes 1 (Least Squares Estimation): EconmNot1_UnivRegr_2011.pdf
Lecture Notes 1 (Graphs and Tables) EconmNot1_Graphs_Tables_2011.pdf
Lecture Notes 1 (Examples) EconmNot1_EmpiricalExamples_2011.pdf
Lecture Notes 2 (Multiple Linear Regression): EconmNot2_MultRegr_2011.pdf
Lecture Notes 2 (Empirical Examples): EconmNot2_EmpiricalExamples.pdf
Lecture Notes 2(Empirical Examples):EconmNot_EmpiExamples.pdf
Lecture Notes 3 (Heteroscedasticity and Autocorrelation) EconmNot4_HeterAuto_2011.pdf
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ONLY FOR MFE
Lecture Notes 4 (Linear Restrictions): EconmNot4_LinRestr_2011.pdf
Lecture Notes 5 (Parameter Constancy) EconmNot6ParamConst.pdf
Lecture Notes 6 (Generalised Least Squares) EconomNot_GLS_IV.pdf
Lecture Notes 6 (IV Empirical Example ) EconimNotGujarati_IV.pdf
Lecture Notes 7 (Panel Data) EconmNotPANELDATA.pdf
Lecture Notes 8 (Non Linear Relationships): EconmNot3_NonLinear_2011.pdf
Lecture Notes 8 (Graphs and Tables): EconmNot3_Graphs_Tables_2011.pdf
EMPIRICAL EXAMPLES
Inflation-Growth notes: InflationGrowth.pdf
Inflation-Growth notes1: ECL_Inflat_Growth.pdf
Inflation-Growth paper: IEJ08.pdf
Financial Development and Growth: ECLFinancialDevelopment_Brazil.pdf
Volume-Volatility Notes: VolumeVolatility.pdf
Volume-Volatility: EVIEWS file: vlmvlt.wf1
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ONLY FOR QMFE
Lecture Notes: Finance, Empirical Examples: ECLKartsFinanceEmpirical.pdf
Lecture Notes: Finance, Theory: ECLKartsFinanceTheory.pdf
Lecture Notes: (Accounting and Finance): Event Studies1: ECLQiweiChen_EventStudies.pdf
Lecture Notes: (Accounting and Finance): Event Studies2: ECLQiweiChen_EventStudies_EMH tests.pdf
Exercise: (Accounting and Finance): Event Studies, Workshop: ECLQiweiChen_Event study_ workshop.pdf
Exercise: (Accounting and Finance): Event Studies, Data: ECLQiweiChen_Exercise_Data.xlsx
EXTRA NOTES:
LectureNotes (Accounting and Finance): Summary: ECLSkerratt_main.html
Lecture Notes (Accounting and Finance): Earnings Management: ECLSkerratt_emanagement.pdf
Lecture Notes (Accounting and Finance): Quality of Account Numbers: ECLSkerratt_quality.pdf
Lecture Notes (Accounting and Finance): Accounting Income Numbers: ECLSkerratt_bb68.pdf
Lecture Notes (Accounting and Finance): Volatility in Stock Prices: ECLSkerratt_shill81.pdf
Exercise (Accounting and Finance): Identify the Announcement Date: ECLSkerratt_exercise.xlsx
Lecture Notes: Logit and Probit Models with Applications: ECLConstantLogitProbit.pdf
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EXTRA NOTES:
Notes 1(Random Variables-Probabilities): ECL1.pdf
Notes 2 (Least Squares Estimation): ECL2.pdf
Notes 3 (Bivariate Linear Regression Model): ECL3.pdf
Notes 4 (Linear Models and Matrix Algebra): ECL4.pdf
Notes 5 (Multivariate Linear Regression Model): ECL5.pdf
Notes 6 (Diagnostic Tests): ECL6.pdf
Notes 7 (Dynamic regression Models): ECL7.pdf
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EXERCISES:
Exercise 1 (Correlation Coefficient): Exercise1b.pdf
Exercise 2 (Bivariate Linear Regression): Exercise 2d.pdf
Exercise 3: (Testing Linear Restrictions): ProblemSet5a.pdf
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ONLY FOR QMFE
Exercise 4 (t-tests): Exercise4.pdf
Exercise 5 (Non-Linear Regressions): Exercise3.pdf
Exercise 6 (Empirical Examples): Exercise 6.doc
EXTRA:
Exercise 7 (ADL Models): Exercise 7.pdf
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Selected Answers: SelectedAnswers.pdf
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EVIEWS:
PART A:
EXERCISES:
EVIEWS Exercise 1: eviews1.doc
EVIEWS Exercise 2: eviews2e.doc
EVIEWS Exercise 3: eviews3e.doc
DATA:
Data 1: Data1.xls
Data 2: DATA3.XLS
Microfit Data Inflation: INFLAT.FIT
Data 4: data4a.xls
EVIEWS FILES:
EVIEWS File : ex2.wf1
EVIEWS File : ex3.wf1
PART B:
EXERCISES:
EVIEWS Exercise 4: Eviews1.doc
EVIEWS Exercise 5: EVIEWS_2.doc
EVIEWS FILES:
Eviews File /(Data) 4: EVIEWS_1_Monetary policy data.wf1
Eviews File /(Data) 5: consumption income data.wf1
PART C :
EXERCISES:
EVIEWS Exercise 6a: Eviews6a_Karts.pdf
EVIEWS Exercise 6b: Eviews6b_Karts.pdf
EVIEWS Exercise 7 (Only for EC5509): Eviews7_Constant.pdf
EVIEWS FILES:
Eviews file/(Data) 6a: EVIEWS_cons_inco_Karts.wf1
Eviews file/(Data) 6a: EVIEWS_wages_autosales_Kartsakl.wf1
Eviews file/(Data) 6b: EVIEWS_fama_french_Karts.wf1
Eviews file/(Data) 7 (Only for EC5509): EVIEWS_Logit_Probit_mauro.wf1
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PART D (only for EC5501):
EVIEWS Exercise 8 (Inflation-Growth): EVIEWSInflationGrowth.pdf
EVIEWS FILES:
EVIEWS File (Volume-Volatility): EVIEWS1.wf1
EVIEWS File/Data 8 (Inflation-Output Growth): EVIEWS2.wf1
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EXTRA:
EVIEWS Exercise : EVIEWS_3.doc
Eviews File /(Data) : dollar sterling exchange rate data.wf1
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MICROFIT:
Microfit Data 1: Data1.xls
Microfit /Data Inflation: INFLAT.FIT
Microfit /Data 3: DATA3.FIT
Microfit /Data 4: DATA4.FIT
Microfit /Data 5: DATA5.FIT
Microfit Exercise 2: Microfit2.doc
Microfit Exercise 3: Microfit3.doc
Microfit Exercise 4: Microfit4.doc
Microfit Exercise 5: Microfit5.doc
Microfit Exercise 6: Microfit6.doc
Exams:
Specimen final exam 2005-2006: Econometrics_SE_2005.pdf
Specimen final exam, Answers 2005-2006: Econom_SE_Answers_2005.pdf
More Questions and Answers: More_Questions_2005.pdf
Mid-term exam: 2005-2006: Econometrics_TestExam_2005.pdf
Mid-term exam, Answers 2005-2006: Econom_TestExam_Answers_2005.pdf
Mid-term exam 2006-2007: EconometricsMidTermExam0607.doc
Specimen mid-term exam 2007-2008: SpecimenTestExam0708.pdf
Mid-term exam 2007-2008: EconometricsMidTermExam0708.pdf
Final exam 2007-2008: EconometricsFinalExam0708.doc
Mid-Term Exam 2011-2012: EconmMidTermExam_11_12.pdf
