Stockholm university
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Econometrics for Finance

This course is a foundation course in Econometrics. The aim of the course is to enhance the students’ abilities to understand and examine existing research in finance and economics, and to be able to implement the methods that they have learned in their own empirical research.

The course provides students with an in-depth knowledge of some fundamental estimation methods in econometrics. The course is designed to bring students with limited exposure to econometric methods up to speed, and to offer a more detailed treatment to students that are already familiar with some econometric estimation techniques.

The course covers the following main topics: ordinary least squares estimation, instrumental variable regression, two stage least squares and simultaneous equation models, and generalized method of moments estimation.

These econometric methods are taught with a focus on applications in finance and economics.

  • Course structure

    The teaching consists of lectures that incorporate analytical as well as computer exercises, and requires a significant portion of self-study on the part of students.

    The course workload is 200 hours, equivalent to 7,5 higher education credits.

    The language of instruction is English.

    Teaching format

    Teaching takes place on campus, unless otherwise specified by the course director.


    Assessment for the course will be continuous and is carried throughout the different course activities. Each assessment task is weighted in relation to its importance in the overall assessment of the course. The student’s results from the different assessment tasks are added up to a total course score that will then translate into the final grade for the course.

    For more detailed information, please see the syllabus for the course.

  • Course reports

  • Contact

    Kursansvar: Daniel Buncic