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Lahore Business School

Quantitative Applications in Finance

ECONOMETRICS

Course Outline

Spring 2011
Table of Content

1 COURSE STAFF AND CONTACT DETAILS.................................................................................3


2 COURSE DETAILS AND SCHEDULE.............................................................................................3
2.1 TEACHING TIMES ................................................................................................................................3
2.2 UNITS OF CREDIT.................................................................................................................................3
2.3 COURSE SCHEDULE..............................................................................................................................3
3 COURSE AIMS AND OUTCOMES..................................................................................................5
3.1 LEARNING OUTCOMES..........................................................................................................................5
3.2 APPROACHES TO LEARNING AND TEACHING IN THE COURSE.......................................................................5
4 COURSE RESOURCES......................................................................................................................5
4.1 RECOMMENDED TEXT...........................................................................................................................5

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1 Course Staff and Contact Details

Course Architect:
M.Akram Naseem
Lahore Business School
1-KM Defence Road
Bhoptian Chowk
Lahore

Course Instructor:
M.Akram Naseem
Email: iqra4ever@gmail.com , akramnaseem@uol.edu.pk
Consultation Hours: Monday- 8:30 – 12:00
Friday- 8:30 – 11:30

Contact outside of consultation and class times:

If you have general inquiries about the course, please send an email.
Specific questions are best dealt with during the lecture or consultation
time.

The course instructor will endeavor to respond to enquiries promptly.


However, keep in mind that the course instructor may be teaching other
classes or working on research project when you make an enquiry, and
therefore there may be a delay in getting back to you. In particular, email
correspondence will be dealt with periodically.

2 Course Details and Schedule

2.1 Teaching Times

Wednesday – 8:30 to 11:30 (Section A)


Friday – 2:15 to 4:45 (Section B)

2.2 Units of Credit

This 4 credit hour course is designed to equip students with econometric


techniques which are extremely helpful in performing economic and
financial analysis. Further, the second half of the course aims to develop a
basic understanding of the forecasting models.

2.3 Course Schedule

Weeks, topics and tutorial themes are shown in the following table.

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No. of Weeks
to Be Contents
Consumed
Introduction of Econometrics, Revision of some basic concepts of
1
descriptive and inferential statistics

Introduction to random variables, expectation, variances, covariances


and correlations their properties and usefulness
2
Properties of estimators

Model Building, Types of model

Single-Equation Regression Models(Quantitative)


Two variable regression (Problem of Estimation)
Two variable regression (Problem of Inference)
3&4
Multiple Regression Models(Quantitative)

Two variable regression (Problem of Estimation)


Two variable regression (Problem of Inference)
Dummy Variable Regression Models

Relaxing Assumptions of the Classical Model

Linearity: What happens if data does not follow linear pattern?

Normality: What happens if the data does not follow normal distribution?

Randomness: What happens if the data does not follow random pattern?
5 -7
Multicollinearity: What happens if the regressors are correlated?

Autocorrelation: What happens if the error terms are correlated?

Hetroscedasticity: What happens if the error variances are non constant?

Nonlinear Regression Models

Qualitative Response Regression Models


8-10
Panel Data Regression Models

Autoregressive and Distributed Lag Models


Simultaneous equation models,
11& 12 Identification problem,
Indirect least squares, 2 stages least square
Test of Stationarity, Transformations,
13 & 14 AR,MA and ARIMA modeling of time series data,Estimation, Diagnostic
checking,forecasting,VAR,ARCH,GARCH models

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3 Course Aims and Outcomes

3.1 Learning Outcomes

After studying this course the students should be able to:


1. Understand and interpret Regression outcomes
2. Understand the consequences of the relaxation of assumptions
under the classical mode
3. Test the outcomes from a regression
4. Detect and use the forecast models appropriate for time series
analysis
5. Use all the above learning outcomes in the practical life.

Relationship between outcomes and LBS Graduate Attributes is shown


below:

Course Learning LBS Graduate Attributes


Outcomes
b), c), d) Critical thinking and problem solving
g) Communication
a) Social, ethical and global perspectives
i, ii, iii, v, vi In-depth engagement with relevant disciplinary
knowledge
e) Professional Skills

3.2 Approaches to Learning and Teaching in the Course

The course has been designed to be:

 Rigorous and informed


 Encouraging of critical and independent thinking
 Professionally relevant
 Engaging
 Diverse
 Reflective

4 Course Resources

4.1 Recommended Text

1 - Basic Econometrics by Damodar N.Gujarati

2 – Introduction to Econometrics by Christopher Dougherty

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Prerequisite:

BUSINESS STATISTICS

INFERENTIAL STATISTICS