Financial Econometrics II
FIN-618
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.
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 data2. 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/
1. Simulated methods of moments, SMM.
2. Simulated maximum likelihood estimation, SMLE.
3. Empirical policy functions.
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.
- Syllabus Part 1 (Fuster), Version 12/10/2025 (File)
- Selection of papers using the methods covered in Part 1 (version 11/30/2025) (File)
Week 1: Endogeneity, Panel Data, and Standard Errors
- Slides Lecture 1 (File)
- Miscellaneous thoughts on empirical work, Part 1 (File)
- Problem Set 1 (due December 18) (Assignment)
- Problem Set 1 -- "Solution" (File)
Week 2: Instrumental Variables
- Slides Lecture 2 (File)
- Required reading: Bennedsen et al. (JF 2020) (File)
- Slides on Bennedsen et al. (File)
Week 3: Difference-in-Differences
- Slides Lecture 3 (File)
- Required reading: O'Malley (JF 2021) (File)
- Slides on O'Malley (File)
- Problem Set 2 (due January 22) (Assignment)
- Problem Set 2 -- "Solution" (File)
Week 4: Regression Discontinuity Design
- Slides Lecture 4 (File)
- Miscellaneous thoughts on empirical work, Part 2 (File)
- Required reading: Custodio et al (2024) -- can skip pp. 25-28 (File)
- Slides on Custodio et al. (File)