Stata for Empirical Finance (2235.YR.014105.1)
General information
Type: |
OPT |
Curs: |
1 |
Period: |
S semester |
ECTS Credits: |
2 ECTS |
Teaching Staff:
| Group |
Teacher |
Department |
Language |
| Year 1 |
Joseph Alexander Emmens |
Economía, Finanzas y Contabilidad |
ENG |
Prerequisites
Students must bring their own laptop in class. All needed software will be available through a remote desktop connection. Students can also work in pairs on the desktops available.
Previous Knowledge
Students should have basic knowledge of Excel and Statistics.
Workload distribution
Class Participation: 50%
Independent Study: 50%
Course Learning Objectives
The course focuses on developing data analysis skills using Stata.
The main objective is to provide the Stata syntax basics to write codes that allow manipulating and analyzing data of different kinds. During the course, real world datasets and publicly available dataset will be used, both with a focus on financial data. Special emphasis will be placed on regressions and statistical analysis.
CONTENT
1. Basics - Using and writing do-files
- Data structure
- Importing data
- Data cleaning, missing values, recoding
- Data description
- Using help
- Good practices in writing code
- Using random-number functions
|
2. Data manipulation and advanced commands - Generation of new variables
- Variables, labels and values
- Use of preserve and restore
- Use of keep and drop
- Creation of dummy variables
- Logical expressions
- Combining datasets
- Global and local variables
- Date and time variables
- long, wide and reshape
|
3. Basic Statistics and graph generation - Summaries
- Tables for descriptive statistics
- Correlation of variables
- Student t-test
- Histograms, bar graphs, fitted regression line
|
4. Regression Analysis - Model specification
- Simple and Multiple Regression: reg
- Probit and logit estimation
- Estimation of standard errors
- Prediction
- Marginal effects
|
Methodology
During the first half of the class the concepts to be used will be presented and during the second half the students will have the opportunity to solve a problem using these concepts. The solution will be delivered and discussed throughout and at the end of each class.
Assessment criteria
The final grade will be a weighted average of a group project (40%), class participation (20%) and exam (40%). The exam will be a small test for the final hour of class on the final day of the course, it will be based on the questions which we practice throughout the week. Both the project and final test can be done in groups of two (maximum). More details on the group project will be given on the first day of the course.
Class participation we intend a constructive/active participation of students during classes. Class participation will be evaluated taking into consideration the technical nature of the course, in particular at the end of the course students are classified in quantiles based on the total number of constructive interventions. The grade is thus proportionally calculated considering the overall class participation.
Timetable and sections
| Group |
Teacher |
Department |
| Year 1 |
Joseph Alexander Emmens |
Economía, Finanzas y Contabilidad |
Timetable Year 1
From 2024/1/15 to 2024/1/19:
From Monday to Friday from 14:00 to 17:30.
