Econometrics

[mmboyes]

What should be the level of econometrics? For the program in financial engeneering

[SteveTownsend]

Not sure how universal my epxerience is, but I would have to look up "econometrics" in a dictionary to answer this question, and yet I am entering the program in Fall 2007.

[Andy]

Econometric is not a required course in the MFE program. It's in the Business/Finance dept. You can take either one of these as electives.

ECO 82100 (Term I) Econometrics I
ECO 82100 (Term II) Financial Econometrics

[woody]

I've taken some graduate econometric courses and I do not believe any of the FE courses focus on this directly. However, many of the things learned in several of the classes could be applied to econometric models (e.g. regression analyis, stats).

[woody]

btw, I can recommend this book:

http://www.amazon.com/Econometric-Models-Economic-Forecasts-Pindyck/dp/0079132928

Econometric Models and Economic Forecasts (Hardcover)
by Robert S Pindyck (http://www.amazon.com/exec/obidos/search-handle-url/102-5426622-6274512?%5Fencoding=UTF8&search-type=ss&index=books&field-author=Robert%20S%20Pindyck) (Author), Daniel L Rubinfeld (http://www.amazon.com/exec/obidos/search-handle-url/102-5426622-6274512?%5Fencoding=UTF8&search-type=ss&index=books&field-author=Daniel%20L%20Rubinfeld) (Author)

[alain]

Econometric is not a required course in the MFE program. It's in the Business/Finance dept. You can take either one of these as electives.

ECO 82100 (Term I) Econometrics I
ECO 82100 (Term II) Financial Econometrics

Andy,

do you know if anybody has taken these classes? Which are the level of them?

[Andy]

Andy,
do you know if anybody has taken these classes? Which are the level of them?
None that I know of. I know a few who took
STA 9700 Modern Regression Analysis
STA 9701 Time Series: Forecasting and Statistical Modeling


Unless you have very good reason to take the elective courses in other depts, I believe the courses the MFE program offers are better. Our courses are more focused and quantitative. Some took them because of schedule conflicts.

Also, you can take more than 12 required courses so it's a good idea to take some extra courses in addition to the 12 courses in our Dept (if you have time, big if)

[Yuriy]

It all depends on personal interests. Some people may do great in Finance without ever hearing about Econometrics :)
I have not taken any Econometrics from the Graduate School, but I'm thinking about taking the two courses that Andy mentioned after I graduate. I know that there used to be arrangements for our students to take Econometrics courses at the Grad Center, don't know about the situation now.

[Yuriy]

Andy, you can count me as one of those who took Stats courses :)

Actually, I think every MFE student should take a Statistics course. Or at least have a solid understanding of Regression and know a little bit about standard deviation.

[woody]

Actually, I think every MFE student should take a Statistics course. Or at least have a solid understanding of Regression and know a little bit about standard deviation.

Especially so we can do RMS errors! ;)

[Andy]

Actually, I think every MFE student should take a Statistics course.
Coming to a classroom near you this Summer. Featured Prof. Stefanica and his co-star Prof. Radoicic. Opening night is June 6.

[Yuriy]

Andy, what class would that be?
Do you know anything about MTH 9841 Statistics for Finance being offered some time soon?

Also, I think it would be a good idea to offer a class with some R or S-Plus component.

[Andy]

Andy, what class would that be?
Do you know anything about MTH 9841 Statistics for Finance being offered some time soon?

Also, I think it would be a good idea to offer a class with some R or S-Plus component.
That's the one. Please contact Prof. Stefanica ASAP if you like to register for that course. People's been asking about the course since last semester and they're finally able to offer it.
From what I heard, I do expect to learn some R and S+ in the course.

[woody]

From what I heard, I do expect to learn some R and S+ in the course.

No SAS? Fine with me. I've registered btw.

[Yuriy]

Andy, thanks a lot! I've been hoping to take a course like this since 2002 :)

[alain]

SPlus and R are very similar. I expect to learn a subset of them over the summer in that class... it is not only useful for finance but also in.... BASEBALL!!!

[woody]

SPlus and R are very similar. I expect to learn a subset of them over the summer in that class... it is not only useful for finance but also in.... BASEBALL!!!

Since Dan is teaching it, maybe we will learn stats via Baseball. hmm....

[John]

That's the one. Please contact Prof. Stefanica ASAP if you like to register for that course. People's been asking about the course since last semester and they're finally able to offer it.
From what I heard, I do expect to learn some R and S+ in the course.

I also heard that R/S+ will be the software to be used in this class. IMHO S-plus is a great piece of software and used widely in finance BTW.

[Yuriy]

From what I know, R is a free version of S-Plus. Most of the functions are the same, S-Plus has more features. The course description mentions that R or S-Plus will be taught.

[Andy]

Wow, look how far off topic this discussion goes. Imagine the original poster comes back and wonders what baseball/S+ has anything to do with his question about econometric ;)

Anyway, since we already went this far, here is the thread I started where it has links to download R/S+ for free
http://www.quantnet.org/forum/showthread.php?t=800

[alain]

I downloaded them some time ago but I have never used them. Hopefully we cover some of it over the summer.