ECONOMICS DEPARTMENT

COURSE SYLLABUS

College: School of Economics

Department: Economics
Course Code: ECOMETF (Financial Econometrics)
Pre-requisite: ECONMET
Term/Time/Room: Term 1 AY 2019-2020/ TH 1430-1600 / L215
Instructor: Dr. Kris Francisco-Abrigo

COURSE DESCRIPTION:

This course combines the elements of Microecometrics and Macroeconometrics. It builds upon the
students’ knowledge on the fundamental theories and concepts behind the Classical Linear Regression
Model, which were covered in ECONMET (Introduction to Econometrics). The first part of this course will
introduce several models that can be used to address issues and weakness of the Ordinary Least Squares
(OLS) model. Students will be introduced to models that are appropriate for variables with binomial and
multinomial structures, as well as models for panel data. The second part of this course will deal with
models used for time-series analysis. Students will be taught how to accommodate for the cyclical nature
of time-series data, and predict future behavior based on currently observed data.

Expected Lasallian Graduate Learning Outcomes (LOs):

Attributes
On the completion of the course, the student is
expected to be able to do the following:

ELGA 1 Technical proficiency

Design, formulate, justify, and implement an
acceptable and replicable empirical paper on an
ELGA 2 Intellectual curiosity economic issue, employing any of the
Microeconometric or Macroeconometric models
ELGA 3 Effective communication covered in the course.

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LEARNING PLAN:
Learning Outcome Topic Week Learning Activities
Introduction 1-3  Lecture and
Design, formulate, Writing an Empirical Paper discussion
justify, and implement Review of Probability & Statistics  Seatwork
an acceptable and Review of Classical Linear Regression
replicable empirical
paper on an economic Regression with Panel Data 3-4  Lecture and
issue, employing any  Introduction to Panel Data discussion
of the  Panel Data with "Before and After"  Seatwork
microeconometric or  Fixed Effects Regression  STATA
macroeconometric  Regression with Time Fixed Effects examples
technique covered in  Random Effects Regression
the course.
Regression with a Binary Dependent 4-5  Lecture and
Variable discussion
 The Linear Probability Model  Seatwork
 Probit and Logit Regression  STATA
 Estimation and Inference in the examples
Logit and Probit Models

Instrumental Variable Regression 6  Lecture and

 The IV Estimator with a Single discussion
Regressor and a Single Instrument  Seatwork
 The General IV Regression Model  STATA
 Checking Instrument Validity examples

Midterm Exam 6 (Oct 24)

Research Break* 7 (Oct 29, 31)
Time Series Regression and Forecasting 8-10  Lecture and
 Time Series Data and Serial discussion
Correlation  Seatwork
 Autoregressions  STATA
 Autoregressive Distributed Lag examples
Model
 Lag Selection Using Information
Criteria
 Nonstationarity: Trends
 Nonstationarity: Breaks

Estimation of Dynamic Causal Effects 11  Lecture and

 Causal Effects discussion

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  Estimation with Exogenous  Seatwork
Regressors  STATA
 HAC Standard Errors examples
 Dealing with Strictly Exogenous
Regressors

Other Time Series Models 12-13  Lecture and

 Vector Autoregressions discussion
 Multiperiod Forecasts  Seatwork
 Cointegration  STATA
 Volatility Clustering and examples
Autoregressive Conditional
Heteroskedasticity

Final Exam 14 (TBA)

*A concept note shall be submitted (via email) after the research break.

FINAL COURSE OUTPUT:

As evidence of attaining the above learning outcome, each student is required to submit the following:

Learning Outcome Required Output Due Date

Concept note (in .docx Week 7
format)
Submit online
Design, formulate, justify, and
Deadline: November 1
implement an acceptable and
replicable empirical paper on an
Empirical paper Week 14
economic issue, employing any of the
(in .docx format) (Full paper)
Microeconometric or
(Empirical methodology –
Macroeconometric models covered in
Data, estimation and testing Submit online
the course.
frameworks, Stata do – file, Deadline: December 20
log files of output)

Note: All requirements must be submitted to the following email address: kris.francisco@dlsu.edu.ph

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 Rubric for Final Paper

Very Needs
Satisfactory Improvement
Learning Excellent (80-89) Satisfactory (0-59) RATING
Outcome/Criteria (90-100) (60-79)

Technical The review The review The review The review is not
sophistication and adequately satisfactorily provides a helpful and
coherence of covers all covers some minimal (many totally irrelevant
literature review technical aspects technical aspects of the technical for carrying out
needed to carry that are critically aspects are the
out the empirical needed to carry ignored) yet methodological
methodology of out the empirical acceptable objectives of the
the paper. methodology of coverage of the empirical paper.
the paper. technical aspects
needed to carry
out the empirical
methodology of
the paper.

Replicability The authors did The authors did The authors did The authors did
submit and fully submit and fully submit and fully not submit the
documented data documented data documented data dataset or failed
and provided log and provided log and provided log to provide log
and other and other and other files and other
relevant files. No relevant files. but relevant files. but relevant files.
problems were some problems there are a lot of
encountered in are encountered problems in
replicating the in replicating the replicating the
results. results. results.

Clarity and The paper’s The paper’s The paper’s The hypotheses
degree of hypotheses are hypotheses are hypotheses are are in no way
testability of testable and the testable but the non – testable related to the
hypotheses methodology is methodology and the paper’s empirical
adequate and used requires methodology is objectives.
appropriate. some not appropriate.
improvement.

Organization and The paper is The paper is The paper is The paper lacks
grammar coherent. No coherent and coherent but coherence and
grammatical grammatical there are many appears

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 errors were errors are grammatical disjointed in
found. minimal. errors. terms of style.

Grading Criteria:

Requirements Weight Transmutation

Attendance and class activities 15 % 96 ≤ grade ≤ 100 4.0
Final paper 35 % 90 ≤ grade < 96. 3.5
Midterm exam 25 % 84 ≤ grade < 90 3.0
Final exam 25 % 78 ≤ grade < 84 2.5
72 ≤ grade < 78 2.0
66 ≤ grade < 72 1.5
60 ≤ grade < 66 1.0
Below 60 0.0

Total 100% Passing Mark is 60%

CLASS RULES:

1. Students are strongly advised to attend classes, review past notes, do advanced reading, take well-
organized notes and make a serious commitment to academic excellence.
2. Completing the corresponding assignments in the textbook and solving a variety of problems are
essential to understanding the material and performing satisfactorily in examinations.
3. Students are required to bring a scientific calculator; cellphones are not allowed during exams.
4. Cheating/plagiarism is strictly prohibited and will result in a failing grade for the course.
5. Plagiarism will be checked.

REFERENCES:

Stock, J. and Watson, Mark. Introduction to Econometrics, Third Edition. Pearson Education Inc. (2015).

Verbeek, M. A Guide to Modern Econometrics, Fifth Edition. Hoboken, NJ: John Wiley & Sons, Inc.
(2017).

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Brooks, C. Introductory Econometrics for Finance, 3e. New York, USA: Cambridge University Press.
(2014).

Cameron, A. & Trivedi, P. Microeconometrics: Methods and Applications. New York, USA: Cambridge
University Press. (2005).