Advanced Empirical Analysis in Finance 

(Master in Quantitative Economics & Finance)

The lectures present the econometric theory behind most of the empirical techniques used in economics and finance. The  homeworks that consist of theoretical, computational and empirical exercises ensure that students assimilate  the theory and become able to apply it to real data.

Student feedback about the course

 “Professor Benjamin Holcblat derives everything that he is teaching. The course has no concept as a black box. The proofs and derivation are done in class which helps you to understand the idea and rigorous reasoning behind it. This class is amazing, because although it is called empirical finance, it actually shows the theory behind empirical finance. I didn't expect this kind of a class, but it sure encouraged me to learn analysis in parallel.”

Outline

Topic 1: Why and When Econometrics Can Work

• The "Magic" of Econometrics 

• Why Econometrics Can Work

• When Econometrics Can work

• Incorporating Data Dependence 

• Delta Method

Topic 2: Optimization Estimators (OE) Theory 

• Definition and Examples of OE

  • Ordinary Least Squares (OLS) and Nonlinear least squares (NLS)

  • Maximum Likelihood

  • Generalized Methods of Moments, and Simulated Method of Moments

• Consistency

• Uniform Law of Large Numbers 

• Asymptotic Normality

Topic 3: Elements of Hilbert Space Theory

• Inner Product Space

• Hilbert Spaces

• Projection Theorem

• Applications

  • OLS

  • Conditional expectation

  • Omitted Variables: Curse or Blessing?

Topic 4: Hypothesis Testing

• Specification Tests vs Goodness-of-fit Tests

• The Trinity

• Test of overidentifying moment conditions

Topic 5: Simulation-Based Econometrics 

• Calibration

• Simulated method of moments

• Indirect Inference*

Topic 5: Elements of (Pseudo)Bayesian Econometrics

• Bayesian and PseudoBayesian Inference in a Nutshell

• Asymptotic Normality of Pseudo-Posteriors

• Consistency of Pseudo-Posteriors

*indicates topics that may be skipped due to time constraint.