Hello monkeys,

So I'm working on a very rudimentary econometric paper and regression project for class and am using a selected stock's return and measuring it against sector ETFs in a time series model in a very base sort of CAPM model way.

The problem I'm having is many of these ETFs pay dividends and I'm just wondering how (if I need at all), to account for these dividend payments in the returns and performance of the ETF returns. Any help would be greatly appreciated.

Thanks in advance

Am currently looking at two MSc courses in Cass Business School: MSc Quantitative Finance or MSc Financial Mathematics. The former has courses in econometrics while the latter focuses more on stochastic modelling.

I have studied stochastic models at undergraduate level but have no experience in econometrics. Can somebody with experience tell me the benefits of this subject, and what careers it may open up in future?

Have taken 2-3 basic statistics/introductory econometrics courses and would like to take the next step to become semi competent in time series analysis. Any recommendations on books or resources for self study? Working with a book vs. applied? Non-quant background here so not looking to become an expert, but not embarrass myself.

How much econometrics do you come across in the finance world?
Employable? Crowded out by quants?

Spec. financial modeling, forecasting, likely research roles.

And target v. non-target: Is that the deciding factor?

Is econometrics worth taking if it's not a requirement? Everyone tells me it's so useful and I'll learn lots and it'd be a 'competitive advantage', but they also mention how difficult it is. Any thoughts?

I just had someone identify me based on the info posted on this thread.

I definitely need to be more careful with regards to the information I provide while posting on an internet forum.

Which of Masters in Stats or Masters in Econometrics applies better to the hedge fund industry?
Are there investment or trading strategies used by money management firms that would make HR prefer someone with a Stats background over an Econometrics background (or vice versa)? If so, which strategy type (stat arb, HFT, macro, credit event, options writing, etc.)?
I am trying to decide which of the two choices has the better application to trading, investment/money management, and would appreciate any and all insight (especially from people currently in the industry).

Thanks a mil!
G.

Hey everyone, what would be the best type of econometrics model to run in order to measure financial contagion? I'm doing a paper on measuring the effects of a shock in one country to those surrounding it in terms of bond yields. I would like to use government bond yield fluctuations as a measure of contagion. I'm not sure which type of metrics testing I should be running. Any advice would be appreciated. Thanks

So I'm reviewing over for my exam, and there is one problem in the book that I don't understand. It has to do with the dummy variable trap causing perfect multicollinearity. If anyone has the book by Stock and Watson, its 7.4 in chapter 7.

Anyways so we got a regression that predicts a persons wage going with wage=B0+B1College+B2Female+B3Age+B4Ntheast+B5Midwest+B6South
where all of these are binary variables. To avoid perfect multicollinearity, west was omitted the equation.

The question says girl one is from south, girl two is from west, and girl 3 is from midwest...construct a 95% CI for the difference in expected earnings between girl one and girl two.

The answer the professor posted:

Can some one tell me why Marginal effect are unchanged by the inclusion of dummy variables? thanks

Cause I would like studying more of regression diagnostics, non-linear dynamics, analysis of real time series, etc at a higher level.
What are the limitations of their application to finance and in what type of analysis of what type of markets are they currently applied.

who can answer what I'm babbling about?