Econometrics, Statistics and Empirical Economics
LecturerDipl.-Volkswirtin Franziska Peter
Level3. Year B.Sc.
ProfilesSQ 452
Prerequisitesnecessary: undergraduate Statistics
favorable: Introductory Econometrics and courses in Finance
Timesee below
Credit Points4 ECTS
ContentThe course should make students familiar with the SAS macro language, SQL and selected SAS procedures by using the SAS software in practical applications for econometric and statistical analysis. The main focus is the analysis of financial market data
LiteratureBoehmer et al.(2002): Using SAS in Financial Research
Delwiche/Slaughter(2003): The Little SAS Book
Lafler(2004): PROC SQL Beyond the Basics Using SAS


The list of participants can be downloaded here. The first session takes place on Thursday, November, 11 th at 14 pm st (!) in the PC lab. Please make sure you have an account in the PC lab.

10.11.2010: Intro slides (pdf),

Introduction to SAS slides (pdf)´

Data sets: abx.txt and aby.txt

Sas sample program (sas)

Assignment 1 (pdf)

18.11.2010: Slides on market microstructure basics (pdf)

Assignment 2 (pdf)

Data for assignment 2 RWE (sas7bdat), Tui (sas7bdat)

help file for gplot procedure (sas)

help file for macro needed in assignment 2 (sas)

25.11.2010: Assignment 3 (pdf)

Data for assignment 3 (aby_ass3) (aby_t_ass3) (abx_ass3) (abx_t_ass3)

help for ods and proc reg (sas)

02.12.2010: Assignment 4 (pdf) and data (sas7bdat)

Important: To take part in the exam you have to be on registered for the course and you have to register for the exam either in the last two sessions on the13th and 14th of January or per Email. You also need a valid PC lab account!

More information can be found (here) and or will be given in the last two sessions.

12.01.2011 Assignment 5 (pdf) and data (abytsx) (abyny) and (fx)

Assignment 5 help (sas)

Additional Exercises (pdf), data:

(mkt) (pins) (buysell)

Resulting dataset from Task A 3 (sas7bdat)

Resulting dataset from task B 3 for the whole period (sas7bdat)