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- 2. The Nature and Purpose of Econometrics What is Econometrics? Literal meaning is “measurement in economics”. Definition
- 3. Examples of the kind of problems that may be solved by an Econometrician 1. Testing whether
- 4. Examples of the kind of problems that may be solved by an Econometrician (cont’d) 6. Determining
- 5. What are the Special Characteristics of Financial Data? Frequency & quantity of data Stock market prices
- 6. Types of Data and Notation There are 3 types of data which econometricians might use for
- 7. Time Series versus Cross-sectional Data Examples of Problems that Could be Tackled Using a Time Series
- 8. Cross-sectional and Panel Data Examples of Problems that Could be Tackled Using a Cross-Sectional Regression -
- 9. Continuous and Discrete Data Continuous data can take on any value and are not confined to
- 10. Cardinal, Ordinal and Nominal Numbers Another way in which we could classify numbers is according to
- 11. Cardinal, Ordinal and Nominal Numbers (Cont’d) Nominal numbers occur where there is no natural ordering of
- 12. Returns in Financial Modelling It is preferable not to work directly with asset prices, so we
- 13. Log Returns The returns are also known as log price relatives, which will be used throughout
- 14. A Disadvantage of using Log Returns There is a disadvantage of using the log-returns. The simple
- 15. Real Versus Nominal Series The general level of prices has a tendency to rise most of
- 16. Deflating a Series If we wanted to convert a series into a particular year’s figures (e.g.
- 17. Steps involved in the formulation of econometric models Economic or Financial Theory (Previous Studies) Formulation of
- 18. Some Points to Consider when reading papers in the academic finance literature 1. Does the paper
- 19. Some Points to Consider when reading papers in the academic finance literature (cont’d) 4. Have the
- 20. Bayesian versus Classical Statistics The philosophical approach to model-building used here throughout is based on ‘classical
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