Econometric programming in finance

FIN544 Econometric programming in finance

Autumn 2024

Spring 2024
  • Topics

    The course focuses on econometric programming in Stata with applications in asset pricing and corporate finance. After introducing students to fundamental and advanced programming techniques using Stata, applications to real datasets will be implemented. These will go from classic financial econometric tests (Fama-McBeth, Event Studies, BHAR/CTA, etc) to modern approaches of measuring causal relations (instrument variable based approaches, regression discontinuity design and difference-in-differences tests, etc)..Model selection using machine learning based approaches (LASSO, Elastic Net) will also be used.

  • Learning outcome

    After completing the course, students can:

    Knowledge. 

    - identify causal relations in empirical corporate finance

    Skills.

    - use Stata to implement modern technics to identify causal relations in empirical corporate finance

    - choose appropriate identification strategy

  • Teaching

    The teaching will take the form of lectures, and the course is taught partially online, partially on campus.

  • Restricted access

    • PhD candidates at NHH.
    • PhD candidates at Norwegian institutions.

  • Required prerequisites

    •Successful completion of PhD-level corporate finance and asset pricing courses;

    •Successful completion of PhD-level lecture in financial econometrics;

  • Compulsory Activity

    Students are required to be present in all the classes. 

    Compulsory activities (work requirements) are valid for one semester after the semester they were obtained.

  • Assessment

    Students are required to complete two written individual assignments, one after each week of classes on campus (week three and week seven). The grade will be based on the assessment of these two individual assignments.

    Re-take is offered the semester after the course was offered for students with valid compulsory activities (work requirements).

  • Grading Scale

    A - F

  • Computer tools

    Students are expected to have a computer and a working license of Stata 18

  • Literature

    Christopher F. Baum, An Introduction to Stata Programming, Second Ed., Stata Press

    A. Colin Cameron and Prawin K. Trivedi, Microeconometrics Using Stata, Second Ed. Stata Press

Overview

ECTS Credits
2.5
Teaching language
English
Semester

Autumn. Offered Autumn 2024.

Course responsible

Adjunct Professor Eric de Bodt, Department of Finance

Associate Professor Konrad Raff (Internal contact person), Department of Finance