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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 |
102-1 |
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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 |
323 M6140 |
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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 |
限碩士班以上
總人數上限：70人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1021metricsI2013 |
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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 |
This course focuses mainly on the identi cation, speci cation, estimation and inference of econometric models. Linear regression and quantile regression are introduced fi rst and discussed in detail. Advanced topics include generalized method of moments, instrumental variables, and econometric methods for panel data relevant for empirical research in economics and finance. |
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課程目標 |
1. Introduction (A1&2)
2. Least Squares and Quantile Regression (H1, A3)
3. Finite-sample Properties of Least Squares; Bootstrap and Subsampling
4. Asymptotic Theory for Least Squares and Regression Quantiles (H2.1-2.9)
5. Semiparametric Efficiency: Least Squares
6. Endogeneity and Instrumental Variables (A4, Angrist and Pischke 2010, Roberts and Whited 2011)
7. Building Blocks of Time Series Models
8. Single-Equation Linear GMM (H3)
9. GMM: Consumption-based Asset Pricing (H7, C5, Newey and McFadden 1994)
10. Discrete Response Models
11. Panel Data Econometrics (W10, C8, Petersen 2009) |
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課程要求 |
The course grade will be based on weekly problem sets, a midterm, and a nal. The assignments will consist 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 |
See syllabus |
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參考書目 |
See syllabus |
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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 |
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第2週 |
9/19 |
Assignment 1 (Due: Sep. 25) |
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第3週 |
9/26 |
Assignment 2 (Due: Oct. 2) |
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第4週 |
10/03 |
Assignment 3 (Due: Oct. 9) |
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第5週 |
10/10 |
Assignment 4 (Due: Oct. 16) |
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第12週 |
11/28 |
Assignment 5 (Due: Dec. 4) |
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第14週 |
12/12 |
Assignment 6 (Due: Dec. 18). Readings for regression quantile asymptopia: Koenker (2005) and Xavier D'HAULTFOEUILLE (2012) |
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第15週 |
12/19 |
Static linear panel data models. Dynamic panel data models: explaining capital structure. Readings: 1. Models based on panel data by Marno Verbeek, and 2. Wooldridge (2010)'s textbook.
Assignment 7 (Due: Dec. 25) |
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第16週 |
12/26 |
Assignment 8 (Due: Jan. 3rd) |
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第1-1週 |
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Books: AngristPischke, Wooldridge |
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第1-2週 |
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Papers |
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第1-3週 |
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Review: Undergraduate Econometrics |
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第1-4週 |
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lecture notes (as of Dec. 10), and related slides. |
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