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{\Large BOSTON\ COLLEGE}

{\sc Department of Economics} 
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\noindent EC\ 327:\ {\bf Financial Econometrics}, Spring 2014 \\ 
{\tt http://fmwww.bc.edu/EC-C/S2014/327/} \\
Prof. Christopher Baum \\
Maloney 388, email {\tt baum@bc.edu} \\
Hours:  M,W\ 10:00 AM--Noon\  and by appt.; email 7x24

\bigskip This course builds on EC\ 228 to present a number of econometric techniques employed in finance and economics. These include panel data models, selected topics in time series analysis, and limited dependent variable models.  Additional applications and datasets are drawn from the finance and economics literature. 
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\noindent\textbf{Required text/software: }

\noindent J.M. Wooldridge (W), {\it Introductory Econometrics: A Modern Approach},
Thomson, 5th ed.\ 2012. The 4th ed.\ (2009) should generally be usable,
but make sure that that assigned problem numbers are the same.

\noindent Additional readings, available from the course home page in PDF.

\noindent Access to the {\it Stata} statistical package, version 13.x. Stata is available to all BC community members on {\tt http://apps.bc.edu}; it may also be used  in the O'Neill Library CTRC. Personal copies may also be purchased:  see below regarding Stata GradPlan options.
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\noindent\textbf{Recommended text: } C.F.\ Baum (B), {\it An Introduction to Modern Econometrics Using Stata}, Stata Press ({\tt stata-press.com}), 2006. On reserve at O'Neill Library.

\noindent\textbf{Expected background:}

(a) Completion of EC 228, Econometric Methods, or equivalent; (b) familiarity with
the materials in W Appendices A, B, C, D, E which will not be covered. %A set of notes covering Appendices D, E is available on the website.

Calculus will be employed, if sparingly. An understanding of partial
derivatives and matrix algebra is valuable. %An introduction to matrix algebra will be presented.
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\noindent\textbf{Course requirements:}

25\% final examination; 20\% midterm examination; 20\% graded homework
assignments; 35\% empirical research project (including mandatory presentation). No makeup examinations will be given. 
Homework assignments, which will involve both analytical exercises and computer work, are to be your own work and will not be accepted after their due dates. The empirical research project will not be accepted after its due date. You are
responsible for familiarity with the College of Arts \& Sciences' policy on
academic integrity ({\tt http://www.bc.edu/integrity}).
You are expected to attend each lecture, having
adequately prepared the material to be discussed. Please help us keep to the
schedule by arriving and getting settled before the lecture is scheduled to
commence.


\noindent\textbf{Software:}
The homework assignments will require you to become familiar with Stata, a
general-purpose statistical package which is used in all EC151 (Statistics) and EC228 (Econometrics)  sections. If you did not take EC228 with the 4th hour Stata lab, please see the  ``slide show'' on  the course home page.
There are also extensive web-based
tutorials on the use of Stata for regression analysis, accessible via the
course home page. There is also extensive on-line help within the program, including hyperlinks to the full documentation set in PDF format and links from Stata's {\tt search} command to internet-accessible resources. You may submit any questions on Stata use to me via email, which I
read and answer seven days a week, or ask them in class at any time.

You may access Stata, on or off campus, from your own computer using the BC Applications Server ({\tt  https://apps.bc.edu}). Off-campus use may require the use of VPN\ on your machine (see the Help Center). It is also available in the CTRC\ in O'Neill. If you would like to acquire a copy of Small Stata (the student version) for Windows, Mac OS\ X or Linux for your own use, you may order it through the Stata GradPlan (see stata.com website). %\\ ({\tt http://www.stata.com/order/new/edu/gradplans/us-pickup/}). %\\ Materials ordered by phone or fax through the GradPlan are ready for pickup in 1--2 business days and will be delivered in class. % from Ms.\ Tubman in the Economics office, LCOB\ 412B. 

The student version, Small Stata, is limited in the number of observations and variables
which may be analyzed, but otherwise is a full version of Stata. Stata/IC\ is more appropriate if you are thinking of using the software for a senior thesis project. You will need access to the internet to work with the datasets that will be analyzed in homework assignments.

The class will meet for 26 lectures from 13 January to 30 April.  A midterm exam is tentatively scheduled for Wednesday, 26 February. No lecture will be held on Monday, 7 April.

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&\textbf{Tentative Schedule} \\

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{\bf Meetings} & {\bf Readings} & {\bf Topics} \\ \hline \\
Jan 13, 15, 22 & W 13; B 9 & {\small Pooling cross sections over time} \\ \\
Jan 27, 29, Feb 3, 5 & W 14, 16.6; B 9 & {\small Advanced panel data methods} \\ \\
Feb 10, 12, 17, 19, 24, Mar 10 & W 17; B 10  & {\small Ltd.\ dependent variables, sample selection} \\ \\ 
Mar 12, 17, 19, 24, 26 & W 11, 12.6 & {\small OLS\ with time series data, ARCH, GARCH} \\ \\
Apr 2, 9, 14, 16  & W 18, Stata {\tt var, vec}  & {\small Advanced time series topics} \\ \\
Apr 23, 28, 30 & & {\small Student presentations }
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Thursday 8 May, 12:30 PM\ & Final Exam \\ \hline
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