Explores heteroskedasticity and autocorrelation in econometrics, covering implications, applications, testing methods, and hypothesis testing consequences.
Introduces the Generalized Method of Moments (GMM), a versatile approach for estimation based on moment restrictions, with applications in asset pricing models.
Explores supervised learning in financial econometrics, covering linear regression, model fitting, potential problems, basis functions, subset selection, cross-validation, regularization, and random forests.
Covers the basics of Ordinary Least Squares (OLS) in econometrics, including variable relationships, coefficient determination, and model interpretation.