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課程名稱 |
計量經濟學二
Econometrics (Ⅱ) |
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開課學期 |
105-2 |
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授課對象 |
社會科學院 經濟學系 |
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授課教師 |
劉錦添 |
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課號 |
ECON4015 |
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課程識別碼 |
303 48120 |
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班次 |
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學分 |
3.0 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期四1,2,3,4(8:10~12:10) |
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上課地點 |
社科307 |
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備註 |
下學期教師授課3小時(AM9:00~12:00)，實習課1小時，限修過一年統計學。
總人數上限：68人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1052ECON4015_ |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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課程概述 |
任課老師：劉錦添教授（Jin-Tan Liu）
E-mail： liujt@ntu.edu.tw
Tel：(02) 3366 8378
上課時間：實習課: 星期四早上8:10-9:10; 正課:星期四早上9:10-12:10
Office Hours：星期四下午1:30-3:30，或另外約定
研究室：718
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課程目標 |
1. Generalized Least Squares (GLS)
(1) Autocorrelation (Gujarati: Chapter 12;
Johnston and DiNardo, Chapter 6,
Greene: Chapter 12.)
(2) Heteroscedasticity (Gujarati: Chapter 11,
Johnston and DiNardo, Chapter 6,
Greene: Chapter 11)
(3) Panel data: Random Effect Model:
Gujarati: Chapter 16,
Johnston and DiNardo, Chapter 13,
Greene: Chapter 13.
2. Autoregressive and Distributed-Lag Models
Gujarati: Chapter 17
Wooldridge: Chapter 18,
Greene: Chapter 19.
3. Time Series Econometrics: Stationary and Nonstationary time series data
Gujarati: Chapter 21,
Wooldridge: Chapter 10-11,
Greene: Chapter 20.
4. Nonlinear Regression Models
Gujarati: Chapter 14,
Maddala: Chapter 2,
Greene: Chapter 9.
5. Discrete Choice Model: Logit, Probit, Possion model
Gujarati: Chapter 15,
Wooldridge: Chapter 17,
Maddala: Chapter 2-3,
Greene: Chapter 21
6. Limited Dependent Variable Model: Censored and Truncated Models
Gujarati: Chapter 15,
Wooldridge: Chapter 17,
Maddala: Chapter 6,
Johnston and Dinardo, Chapter 12,
Greene: Chapter 22.
7. Simultaneous Equation Models, Instrumental Variable Method, Identification Condition: Rank and Order conditions
Gujarati: Chapter 18-20,
Wooldridge: Chapter 15-16,
Stock and Watson: Chapter 10,
Greene: Chapter 15.
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課程要求 |
平時作業 （20％）
期中考 （25％），Open Book Test
期末考 （30％），Open Book Test
期末報告 (25%) ,Empirical research paper (team members: 1-3)
March 2: Term paper topic, check data first.
April 6: Literature Survey (4 pages, check Econlit, google scholar )
April 27: Data Sources and Empirical Model
May 25: Empirical Results
June 30 (Friday), 12:00 noon, final term paper.
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預期每週課後學習時數 |
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Office Hours |
備註： Thursday afternoon 1:30-3:30 |
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參考書目 |
1.Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
2. Stock and Watson (2003), Introduction to Econometrics, Addison Wesley.
3.. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
4. Johnston, J. and J. DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
5. W. Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
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指定閱讀 |
Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill. |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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第2週 |
3/02 |
GLS |
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第3週 |
3/09 |
GLS |
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第4週 |
3/16 |
SURE |
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第5週 |
3/23 |
Lag Variables |
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第6週 |
3/30 |
Simultaneous Equations |
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第7週 |
4/06 |
Instrumental Variables |
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第8週 |
4/13 |
Maximum Likelihood Method, Likelihood Ratio, Wald, and Lagrange Multiplier Tests |
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第9週 |
4/20 |
期中考 9:10-12:00 |
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第10週 |
4/27 |
Discrete Choice Model-1 |
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第11週 |
5/04 |
Discrete Choice Model -2 |
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第12週 |
5/11 |
Limited Dependent Variable |
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第13週 |
5/18 |
Truncated, Censored Regressions |
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第14週 |
5/25 |
Treatment Effect |
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第15週 |
6/01 |
Time series |
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第16週 |
6/08 |
Survival Analysis |
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第18週 |
6/22 |
期末考, Research Data |
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