課程名稱 |
計量經濟學二 Econometrics (Ⅱ) |
開課學期 |
106-2 |
授課對象 |
社會科學院 經濟學系 |
授課教師 |
劉錦添 |
課號 |
ECON4015 |
課程識別碼 |
303 48120 |
班次 |
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學分 |
3.0 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期四2,3,4,5(9:10~13:10) |
上課地點 |
社科406 |
備註 |
師授課3小時(AM9:00~12:00),助教實習課1小時,限修過一年統計學。 總人數上限:87人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1062ECON4015_ |
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 |
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:正課:星期四早上9:10-12:10
Office Hours:星期四下午2:00-3:30,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 8: Term paper topic, check data and literature first.
April 12: Literature Survey (4 pages, check Econlit, google scholar )
May 3: Data and Empirical Model
May 31: Empirical Results
June 29 (Friday), 12:00 noon, 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 2:00-3:30 |
指定閱讀 |
1. Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill.
2. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern
Approach, South-Western College.
3. Stock and Watson (2003), Introduction to Econometrics, Addison Wesley.
4. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
5. Johnston, J. and J. DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
6. W. Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
7. Katchova, Ani, Econometrics Academy;
www.youtube.com/user/econometricsacademy
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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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評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
第1週 |
3/01 |
GLS |
第2週 |
3/08 |
GLS
Basic Econometrics, 4th Edition, p.408- p.414
p.418 - 422, p.467 - p. 472, p.477 - p.482
習題:12.7、12.8、12.10
Term paper topic, check data first. |
第3週 |
3/15 |
Panel data
Basic Econometrics, 4th Edition, p.472~p.474,
習題12.36 |
第4週 |
3/22 |
Panel Data
SURE
hw1 due |
第5週 |
3/29 |
hw2 due |
第7週 |
4/12 |
Simultaneous Equations, Literature Survey (4 pages, check Econlit, google scholar )
hw3 due |
第8週 |
4/19 |
MLE |
第9週 |
4/26 |
hw4 due |
第10週 |
5/03 |
期中考
Data and Empirical Model |
第11週 |
5/10 |
Discrete Choice Model |
第12週 |
5/17 |
Censored and Truncated Regressions
報告開始 |
第14週 |
5/31 |
Time Series
交 Empirical Results
hw5 due |
第15週 |
6/07 |
hw6 due |
第16週 |
6/14 |
Meta Regression |
第17週 |
6/21 |
Machine Learning and Econometrics
期末考 |
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