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課程名稱 |
計量經濟理論一
Econometric Theory (Ⅰ) |
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開課學期 |
101-1 |
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授課對象 |
社會科學院 經濟學研究所 |
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授課教師 |
陳釗而 |
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課號 |
ECON7014 |
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課程識別碼 |
323EM6140 |
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班次 |
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學分 |
2 |
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全/半年 |
半年 |
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必/選修 |
必修 |
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上課時間 |
星期三3,4(10:20~12:10) |
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上課地點 |
經大講堂 |
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備註 |
本課程以英語授課。
限碩士班以上
總人數上限：60人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1011metrics_I_2012 |
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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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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This course focuses mainly on the specification and estimation of
the linear regression model and extremum estimators.
Advanced topics include generalized method of moments, instrumental variables,
and econometric methods for panel data relevant for empirical research in economics.
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課程目標 |
Course Outline:
1. Introduction (A1&2)
2. Least Squares Regression (H1, A3)
3. Asymptotic Theory for Least Squares (H2.1-2.9, A8)
4. Semiparametric Efficiency: Least Squares
5. Endogeneity and Instrumental Variables (A4)
6. Building Blocks of Time Series Models
7. Single-Equation Linear GMM (H3)
8. GMM: Consumption-based Asset Pricing (H7, Newey and McFadden 1994)
9. Panel Data Models (W10, H4-5)
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課程要求 |
The course grade will be based on weekly problem sets, a midterm, and a final.
The assignments will consists of both theoretical and programming exercises
which can be done in Matlab, Stata, R, or any other econometric software.
Students should be prepared in matrix algebra and mathematical statistics
at the level of Econ7009 or equivalent.
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
Required textbooks and readings:
1. Lecture notes
2. Angrist J. & J. Pischke (2009): Mostly Harmless Econometrics, Princeton [A]
3. Hayashi, F. (2000): Econometrics, Princeton [H]
4. Baum, C.F., Schaffer, M.E., and S. Stillman (2003),
"Instrumental Variables and GMM: Estimation and Testing," The Stata Journal, 3, 1-31
5. Baum, C.F., Schaffer, M.E., and S. Stillman (2007),
"Enhanced Routines for Instrumental Variables/Generalized Method of Moments Estimation and Testing,"
The Stata Journal, 7, 465-506
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參考書目 |
Other References:
6. Wooldridge, J. (2010): Econometric Analysis of Cross Section and Panel Data, 2nd ed., MIT [W]
7. Newey, W., and D. McFadden (1994): Large Sample Estimation and Hypothesis Testing,
Handbook of Econometrics, vol. IV, Elsevier (via Sciencedirect)
8. van der Vaart, A. (1998): Asymptotic Statistics, Cambridge.
The van der Vaart book is a good source for a more technical treatment of
asymptotic theory in statistics if you are interested in theoretical econometrics,
but for this class I'll mostly use references which are written more specifically for
economists and econometricians. |
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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1週 |
9/12 |
Syllabus; Readings. |
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第2週 |
9/19 |
Problem Set 1. |
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第3週 |
9/26 |
Problem Set 2. |
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第4週 |
10/03 |
MATLAB / R reference; Problem Set 3. |
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第11週 |
11/21 |
Problem Set 4 |
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第17週 |
1/02 |
Take-home final exam. (metrics_thFinal2012) |
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第1-1週 |
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Lecture notes. Last updated: Jan. 9th, 2:09am. |
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