This is the second course in Financial Econometrics. It is required for first-year students in the Finance Ph.D. Program and the Master in Financial Economics Program. It is also open to graduate students and visiting scholars who satisfy pre-requisites. The minimum pre-requisites are:
1. One Ph.D. level course in econometrics
2. One of each of the following courses at the graduate level or honor undergraduate level
Microeconomics; Calculus; Statistics; Probability Studies; and Matrix Algebra.
The course aims to cover the most important materials in Panel Data, with emphases on
their applications to empirical research, especially empirical corporate finance. The course will deliver a comprehensive list of empirical methods that allow researchers to identify causal relationships in data. Such tools are essential for graduate students who aspire to conduct careful, state-of-art empirical research. In addition, the course will provide general guidance on formulating (empirical) research ideas, critical thinking, and academic writing.
Vice Dean for Curriculum and Instruction
Wei Jiang is Arthur F. Burns Professor of Free and Competitive Enterprise in the Finance and Economics Division, and the Director of Chazen Institute of International Business at Columbia Business School. Jiang received her B.A. and M.A. in international economics from Fudan University (China), and Ph.D. in economics from the University of Chicago in 2001 after which she joined Columbia Business School...