Financial Econometrics II

FIN-618

Media

Media

This file is part of the content downloaded from Financial Econometrics II.

The course aims to give students the tools to write academic papers and is divided into two parts. The first part covers microeconometric methods including panel data, IVs, difference-in-differences, and regression discontinuity design. The second part covers structural estimations methods.

Part 1: Cross-Section and Panel Data (Prof. Andreas Fuster)

This part of the course provides students with a toolbox of empirical methods used in corporate finance research. These methods includepanel data and various methods to deal with problems of endogeneity. Students will learn the economic intuition behind each method and how to implement the methods. The following will be discussed:

1. Panel data
2. lnstrumental Variables
3. Difference-in-Differences
4. Regression Discontinuity Design

Links to useful books that are freely available online:
- Verbeek: https://www.degruyter.com/document/doi/10.1515/9783110660739/html (available via UNIL library; may need to be on campus / use VPN)
- Huntington-Klein: https://theeffectbook.net/
- Cunningham: https://mixtape.scunning.com/


Part 2: Structural Estimation (Prof. Boris Nikolov)

This part of the course seeks to achieve two objectives. First, it is intended to introduce students to structural estimation methods. Second, it is designed to expose students to the latest papers in the structural estimation literature in finance. More specifically, the following topics will be covered:
1. Simulated methods of moments, SMM.
2. Simulated maximum likelihood estimation, SMLE.
3. Empirical policy functions.

Assessment: 

- Homeworks (on part 1): 25%

- Midterm exam (on part 1): 25%

- Report (on part 2): 50%



Week 1: Endogeneity, Panel Data, and Standard Errors

Week 2: Instrumental Variables

Week 3: Difference-in-Differences

Week 4: Regression Discontinuity Design and Other Methods

Exam info