1. Quantitative Methods in Finance (FINA 514/614) Assoc.Prof.Dr. Salih KATIRCIOGLU (Ph.D in Economic Development and International Economics) http://www.salih-online.com facebook.com/S.T.Katircioglu

2. Prerequisite to FINA 514/614 Undergraduate Level of Statistics I and II Descriptive Statistics Probability Distributions Estimation Techniques in Confidence Intervals Hypothesis Tests Basics in Correlation and Regression Analysis

3. Outline The Nature of Statistics and Econometrics Two-Variable Regression Analysis: Some Basic Ideas Two-Variable Regression Analysis: The Problem of Estimation The Normality Assumption: Classical Normal Linear Regression Model (CNLRM) Two Variable Regression: Interval Estimation and Hypothesis Testing Extensions of the Two-Variable Linear Regression Model Multiple Regression Analysis: The Problem of Estimation Multiple Regression Analysis: The Problem of Inference Deviations from Classical Linear Regression Models Time Series Econometrics I: Stationarity Concepts Unit Roots Cointegration and Error Correction Models

4. Research Method Research Question Literature Review Research Methodology Obtaining Data Quantitative Data Qualitative Data Analyzing Data Research and Policy Implications

5. About Data Qualitative Data Qualitative Surveys Quantitative Data Primary Data: Questionnaire Research Secondary Data: Existing Data from records

6. On Data More! Time Series Data Monthly, Annually, Quarterly, Weekly, Daily Cross Sectional Data Questionnaire Data Data for variables based on a single period Panel Data Merging time series and cross-sectional data

7. On the types of Data More ! YearsGDP (m.$)M2 /GDP 1996115,20,55 1997116,40,56 1998117,80,55 1999115,40,60 2000119,50,70 2001120,00,71 2002124,10,70 2003125,90,72 2004132,40,74 Time Series Data for a particular country

8. On the types of Data More CountryGDP (m.$) (Year: 2004) M2 /GDP (Year: 2004) Albania215,20,55 Belgium206,40,56 Denmark217,80,55 Estonia115,40,60 Finland119,50,70 Germany920,00,71 Holland224,10,70 Ireland150,90,72 Litvania132,40,74 Crosssectional Data for GDP and M2 by country for 2004

9. On the types of Data More CountryYearsGDP (m.$)M2 /GDP Albania2002215,20,55 2003206,40,56 2004217,80,55 Belgium2002215,40,60 2003219,50,70 2004220,00,71 Denmark2002224,10,70 2003250,90,72 2004232,40,74 Panel Data

10. INTRODUCTION What is Econometrics? Econometrics  Economic Measurement EconomicsMathematics Statistics Statistical Economics Mathematical Statistics Mathematical Economics Econometrics

11. Methodology of Econometrics 1. Statement of theory or hypothesis 2. Specification of the mathematical model of the theory 3. Specification of the econometric model of the theory 4. Obtaining the data 5. Estimation of the parameters of the econometric model 6. Hypothesis Testing 7. Forecasting or Prediction 8.Using the model for control or policy purposes

12. Types of Econometrics Anatomy of Econometrics Economic Theory Mathematical Model of Theory Econometric Model of Theory Data Estimation of Econometric Model Hypothesis Testing Forecasting or Prediction Using the Model for Control or Policy Purposes

13. Econometrics TheoreticalApplied ClassicalBayesianClassicalBayesian

14. Role of Computer Technology in Econometrics Can you run econometrics by Calculator? Important Software Packages Econometric Views (EVIEWS) LIMDEP TSP MINITAB SPSS SAS PC-GIVE, PC-WIN