課程資訊
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
  
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_ 
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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

 

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.
 
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.

 
預期每週課後學習時數
  
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

 
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.
 
評量方式
(僅供參考)
    
課程進度
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