 Checking date: 15/09/2019

Course: 2019/2020

Quantitative Methods I
(17162)
Study: Master in Business and Finance (69)
EPE

Coordinating teacher: VELILLA CERDAN, SANTIAGO

Department assigned to the subject: Department of Statistics

Type: Compulsory
ECTS Credits: 5.0 ECTS

Course:
Semester:

Students are expected to have completed
Foundations of Statistics
Competences and skills that will be acquired and learning results.
The aim of the course is to review, at an intermediate level, the basic concepts and methods of Linear Regression. Emphasis is both in theory and applications.
Description of contents: programme
1. INTRODUCTION. ** 1.1 Formulation and meaning of a statistical regression problem. ** 1.2 Regression models. Goals of a regression analysis. ** 1.3 Data in a regression analysis. ** 1.4 Regression software. 2. THE MULTIPLE LINEAR REGRESSION MODEL: ESTIMATION. ** 2.1 Definition and matrix expression. ** 2.2 Least squares estimation. ** 2.3 Analysis of variance. Appendix: ** A.1 The multivariate normal distribution. 3.THE MULTIPLE LINEAR REGRESSION MODEL: HYPOTHESIS TESTING AND CONFIDENCE REGIONS. ** 3.1 The F-test for the general linear hypothesis. ** 3.2 Confidence regions. ** 3.3 Prediction intervals. Appendix: ** A.1 Indicator variables. 4. MULTICOLLINEARITY, RESIDUAL ANALYSIS, AND DIAGNOSTIC TECHNIQUES. ** 4.1 Multicollinearity: description and consequences. ** 4.2 Residual analysis. ** 4.3 Outliers and extreme cases. 5. GENERALIZED LEAST SQUARES THEORY. ** 5.1 Cases of known and unknown covariance matrix. ** 5.2 Heteroscedasticity. ** 5.3 Transformations. ** 5.4 Serial correlation. 6. TIME SERIES MODELS ** 6.1 Autoregressive (AR) and moving average (MA) models. ** 6.2 ARMA and ARIMA models.
Learning activities and methodology
There will be computer classes, in which the statistical package R will be used with the purpose of illustrating the derivations of the theoretical classes.
Assessment System
• % end-of-term-examination 50
• % of continuous assessment (assigments, laboratory, practicals...) 50
Basic Bibliography
• CHATERJEE, S. and HADI, A. . Regression Analysis by Example, 5th Edn. John Wiley. 2012
• FREES, E.W.. Regression Modeling with Actuarial and Financial Applications. Cambridge University Press. 2010