• Econometrics Workshop ECON 3830 2001

    Joachim Grammig, CORE

    Tue., 8.30-10.00


    1. Messages

    29.01.2001: Initial message. j.g.
    31.01.2001 GAUSS link Kuan-Pin Lin's Online book on GAUSS in economics and finance

    31.01.2001 Download GAUSS Manual by Pierre Giot

    12.02.2001 Download GAUSS procedures example file (today's exercise)
    Example of a large procedures file

    20.02.2001 Today's example IF; ENDIF;
    Today's example DO loop

    27.02.2001 Today's example Maximum Likelihood in CML (bug fixed!)

    12.03.2001 Maximum Likelihood (last week's session)

    13.03.2001 This week example file
    Reading in and out auxiliary procedures
    09.05.2001 Slides Mion/Battocchio Part I
    Slides Mion/Battocchio Part II
    Slides Mion/Battocchio Part III
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    2. About the course

    • Goals

    The general objective of the workshop is to learn how econometric methods can be applied fruitfully in different fields of empirical finance. Students work by pairs on a topic during the term. Each student starts by reading a paper and exposing it critically to the class. The students (by pairs) work on a project where they carry over their own research on a topic closely related to what they have read and exposed. This includes typically to recdo personally the computations on data used for existing papers or comparable data. The research must be finalized by a written paper and is preented to the class at the end of the term. All the process may of course require complementary readings on the underlying econometric methods. Hence, the goal of the econometric workshop is to stimulate own applied econometric research of the students. The idea is that students implement the methods using econometric software (preferable GAUSS), apply their programs to real data and present their results. If necessary there will be an introduction in GAUSS during the first weeks.

    • Basic schedule

    - Week 1: Introduction, Information about the course
    - Week 2: Selection of topics by each group
    - Week 3-?: Introduction GAUSS software
    - Week 6-8: Students present exising paper to the class
    - Week 2-12 Students work on their empirical paper (including empirical research).
    - Week 13-14 Students present their own papers to the class.
    The precise schedule will be fixed in function of th number of participants.

    • Evaluation:

    It will be based on the oral presentations, on the paper and on the personal implication of each student in the discussion during the different sessions.

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    3. Download papers

    Hasbrouck 1991: Measuring.....
    Hasbrouck 1995: One security ....
    Easley et al. 1996: Liqiudity, ...
    Bauwens and Giot 1998: Asymmetric ACD Models...
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    4. Download Data

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    j.g. 19.01.01 JG