Rickchen0910 / MSc-Financial-Econometrics-Learning-Materials

MSc-Financial-Econometrics-Learning-Materials

This materials is for MSc Economics suite programme students at University of Birmingham.

If you have any questions, please do not hesitate to contact me.

My email address is: [e-mail]

Introduction

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The learning materials is mainly designed for LM Financial Econometrics (Module Code 07 33938) MSc Economics suite programme. It contains two parts:

1. Lecture Handout
2. Stata Workshop

Lecture Handout

files.pdf is the lecture handout

This lecture handout contains:

• Foundation for Linear Regression Models
• Additional Material for Asympotic Distribution
• Lag operator
• Stationary ARMA Process
• Forecasting
• MLE
• Unit Root
• VAR
• Cointegration
• GARCH

Stata Workshop

You may need these files.dta and files.do to input data and run stata command. files.pdf is the learning materials.

This workshop contains six parts:

• Basic Statistics and Linear Regression
• ARIMA
• Unit Root Test
• VAR
• Cointegration
• GARCH

Enjoy.

Installation

Code for this workshop is in a Git repository on Github. You can download it in this zip file. When you unzip it, you should get a directory named MSc-Financial-Econometrics-Learning-Materials-master.

Or, if you have a Git client installed, you can clone the repo by running:

git clone https://github.com/Rickchen0910/MSc-Financial-Econometrics-Learning-Materials.git