Topic outline

    • Readings


      We do not rely on a single textbook for this course. The slides and other materials provided during the course include all content covered in this course.


      For background reading, Brooks (2019) - Introductory Econometrics for Finance, fourth edition (or any earlier edition) is a good source for most of the material covered in this class.


      Any introductory econometrics textbook available in the BIZ library will is also suitable for background reading, e.g.:

      Stock and Watson - Introduction to Econometrics

      Dougherty - Introduction to Econometrics

      Fabozzi - Basics of Financial Econometrics 

      Bekes and Kezdi - Data Analysis for Business, economics and policy


      In addition, I recommend reading the book Econometric data science by Francis Diebold, which is an intuitive (non-technical) open access introduction to econometrics. I will recommend chapters from this book (Diebold, 2019) related to the lectures. 


      Finally, the Youtube course  A full course in econometrics (see below) is very useful. I will recommend specific videos related to the topics discussed in the lectures.


      • Readings Readings
    • R

      We will make extensive use of the software R (http://www.r-project.org/). You should install R on your own computer. I also recommend installing RStudio, which is a user-friendly interface.


      There are a many free online resources for R users, including books, video courses, discussion forums, etc. (e.g. https://intro2r.com/ or  https://www.youtube.com/playlist?list=PLtL57Fdbwb_Chn-dNR0qBjH3esKS2MXY3


      When in doubt on how to do something in R, just Google it.


      • R R
    • File icon

      Make sure to understand these concepts. We use them throughout the course.