Dr Linyan Zhu

Dr Christian Julliard

This course is compulsory on the MSc in Finance and Economics and MSc in Finance and Economics (Work Placement Pathway). This course is not available as an outside option to students on other programmes. This course uses controlled access as part of the course selection process. For information on controlled access courses, including eligibility, application processes, deadlines, and departmental contact details, please refer to the Controlled Access Courses webpage.

All students on a programme listed above will be given a place. This course is closed to outside students and does not permit auditing students.

Please contact finance.teachingmanager@lse.ac.uk with any queries.

Students must have completed Introductory Course in Mathematics and Statistics (EC400).

In exceptional circumstances, students may enrol in the course without EC400 provided they have received approval from the MSc Finance and Economics Programme Director and Associate Programme Director.

This course covers the techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing and corporate finance models. The course includes a selection of the following topics: multivariate regression; maximum likelihood estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; methods for casual inference; introduction to machine learning; time-series modelling; predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models; volatility modelling; generalised method of moments estimation; introduction to Bayesian econometrics, model selection and model averaging, and large-scale modelling.

33 hours of seminars in the Autumn Term.
33 hours of seminars in the Winter Term.

This course is taught in an interactive format. There is no distinction between lectures and classes/seminars; there are simply “sessions” where the pedagogical approach is always interactive.

Exercises are provided each week and they are discussed in class.

A complete reading list is available at the beginning of session. Readings will be based on Hansen, Econometrics; Hayashi, Econometrics; Hamilton, Times Series Analysis; Greene, Econometric Analysis, Prentice-Hall; Campbell, Lo & MacKinlay, The Econometrics of Financial Markets, Princeton University Press; Econometric Analysis of Cross Section and Panel Data, J. Wooldridge; Contemporary Bayesian Econometrics and Statistics, Wiley Series in Probability and Statistics, J. Geweke; selected published articles.

Continuous assessment (100%).