You are required to complete an applied econometric project based on a finance topic of their choice. Please feel free to discuss the suitability of your topic with me. Inselecting a topic it may be helpful to look at current and past periodicals on econometrics. Some suggested sources are:
1. Journal of Financial Econometrics
2. Journal of Business and Economic Statistics
3. Journal of Empirical Finance
4. Review of Economics and Statistics
5. Journal of Applied Econometrics
Your paper can be completely original or you can base it on existing work using a different dataset and changing and/or expanding the analysis. The term paper should consist of an Introduction, Model Description, Results, and Conclusion with References included. The main text should be 10 pages or less. All mathematical equations should be written properly in the text. As an example, consider the AR(1) model,Your paper can be completely original or you can base it on existing work using a different dataset and changing and/or expanding the analysis. The term paper should consist of an Introduction, Model Description, Results, and Conclusion with References included. The main text should be 10 pages or less. All mathematical equations should be written properly in the text. As an example, consider the AR(1) model,
yt = µ + ϕyt−1 + ϵt, ϵt ∼ N(0, σ2),
where µ, ϕ, and σ2, are parameters to be estimated.
Data sources should be included, along with footnotes, and correct citations. Using someone’s idea or writings without a citation is plagiarism. Your paper should be self contained. Finally, you should hand in a copy of your paper, and a disk with your computer code in R, the dataset and a file of your printout.