BFX5003 Econometrics for finance
Faculty of Business and Economics
BFX5003 Econometrics for finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2024 in Semester 1 at Caulfield. It has no prerequisites.
- Credit points
- 6
- Offered in 2024
- Semester 1
- Caulfield
- Assessment
- Exam 50%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2024 handbook entry. See the 2027 entry.
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Requisites
Before BFX5003
No prerequisites or corequisites besides the enrolment rules below.
After BFX5003
No unit lists BFX5003 as a prerequisite in the 2024 handbook.
Enrolment rules
You must be enrolled in courses B6003 or B6023 or be granted permission by the Chief Examiner to undertake this unit.
Overview
This unit introduces you to the financial econometrics models and techniques that are commonly used in empirical finance research. The topics covered in this unit include conditional expectations, linear projections, linear regression models, unobserved effects, and instrumental variables.
Offerings in 2024
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Caulfield | On campus |
Assessment
- Within semester assessment50%
- Examination50%
Learning outcomes
When you finish this unit, you should be able to:
- 1
understand the concepts of conditional expectations and linear projections
- 2
understand the asymptotic properties of ordinary least squares and be aware of the omitted variables problem and measurement error
- 3
estimate linear regression models with instrumental variables
- 4
implement unobserved fixed effects models
- 5
demonstrate in individual summative assessment tasks the acquisition of a comprehensive understanding of the topics covered by BFX5003.
Workload and teaching
- Workshops36 hours
- Teaching approachActive learning
- Teaching approachProblem-based learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
This unit includes problem-based learning approaches, where you engage in research, integrate theory and practice and apply knowledge and skills to develop viable solutions in response to a problem or set of problems.
Learning resources
Required resources
You must subscribe for a WRDS account (free to Monash students) and obtain access to a statistical package of their choice (e.g. "R" is freeware).
Contacts
- Chief Examiners
- Professor Neal Galpin
Common questions
What are the prerequisites for BFX5003?
BFX5003 has no prerequisites, but enrolment rules apply.
When is BFX5003 offered?
In 2024, BFX5003 runs in Semester 1 at Caulfield.
How much work is BFX5003?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does BFX5003 have an exam?
Yes. The exam is worth 50% of the final mark, alongside 1 other task.