The National Centre for Econometric Research (NCER), together with Singapore Managment University, will hold a short course titled "Financial Econometric Modelling Using Stata" at SMU on March 13, 14 & 17.

Please contact Priscilla CHENG or Gladys NG for details.

Course Convener

Professor Stan Hurn, NCER, QUT

Schedule

Date Topic

Thursday 13 March

1. Stata and reproducible research (1.5 hrs)

Coffee break

2. Data management and manipulation (1.5 hrs)

Friday 14 March

3. .do file programming will application to linear factor models (1.5 hrs)

Coffee break

4. .do file programming will application to testing for bubbles (1.5 hrs)

Monday 17 March

5. Reproducing Diebold and Li (1996) Journal of Econometrics (1.5 hrs)

Coffee break

6. Reproducing Adams, Almeida and Ferreira (2007) Journal of Empirical Finance (1.5 hrs)

Slides

Lecture 1

Lecture 2

Lecture 3

Lecture 4

Lecture 5

Stata files

.do files to accompany lecture 3

.do files to accompany lecture 4

.do files to accompany lecture 5