課程大綱

課程資訊

課程名稱

計量經濟學二
Econometrics(Ⅱ)

開課學期

108-2

授課對象

社會科學院經濟學系

授課教師

劉錦添

課號

ECON5164

課程識別碼

323 U4220

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

教師授課3小時(AM9:00~12:00)，助教實習課1小時，限修過1年統計學。
限學士班三年級以上或限碩士班以上
總人數上限：40人

Ceiba 課程網頁

http://ceiba.ntu.edu.tw/1082ECON5164_

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課程概述

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.
(4) Seemingly Unrelated Regression (SURE)
Johnston and DiNardo, Chapter 9 (Appendix 9.1)

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. 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.

5.Nonlinear Regression Models
Gujarati: Chapter 14,
Maddala: Chapter 2,
Greene: Chapter 9.

6. Discrete Choice Model: Linear Probability model, Logit, Probit, Multinominal Logit, Ordered Probit, Possion model,
Gujarati: Chapter 15,
Wooldridge: Chapter 17,
Maddala: Chapter 2-3,
Greene: Chapter 21

7. Limited Dependent Variable Model: Censored and Truncated Models, Sample selection model, Endogenous Switching model.
Gujarati: Chapter 15,
Wooldridge: Chapter 17,
Maddala: Chapter 6,
Johnston and Dinardo, Chapter 12,
Greene: Chapter 22.

8. Meta Regression
Stanley and Jarrell (1989), “Meta-Regression Analysis: A Quantitative Method of Literature Survey,” J. of Economic Surveys, 3(2),161-170.
Viscusi and Aldy (2003), “The Value of a Statistical Life: A Critical Review of Market Estimates Throughout the World,” J. of Risk and Uncertainty, 27(1), 5-76.
Smith and Huang (1995), “Can Market Value Air Quality? A Meta-Analysis of Hedonic Property Value Models,” J. of Political Economy, 103(1), 209-227.

課程目標

待補

課程要求

平時作業（20％）
期中考（30％），Open Book Test
期末考（30％），Open Book Test
期末報告 (20%), Empirical research paper (team members: 1-3人)
March 5: Term paper topic, check data first.
April 9: Literature Survey (4 pages, check Econlit, google)
April 23: Data and Empirical Model
May 21 Empirical Results
July 2 (Thursday), 12:00 noon, 完整報告紙本交至三樓系上老師的信箱

預期每週課後學習時數

Office Hours

指定閱讀

Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill.

參考書目

1. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
2 James H. Stock and Mark W. Watson (2003), Introduction to Econometrics, Addison Wesley.
3. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
4. Jack Johnston and John DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
5. William Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
6. Joshua D. Angrist and J.S. Pischke (2009), Mostly Harmless Econometrics, Princeton University Press.
7. Kenneth G. Stewart (2005), Introduction to Applied Econometrics, Thomson Brooks/Cole.
8. Ani Katchova, Econometrics Academy;
www.youtube.com/user/econometricsacademy
9. Matthew A. Masten, Duke University, Duke Mod. U

評量方式
(僅供參考)

No.	項目	百分比	說明
1.	Homework	20%
2.	Midterm Test	30%
3.	Final Test	30%
4.	Empirical Report	20%

課程進度

週次	日期	單元主題
第1週	3/5	GLS
第2週	3/12	Panel Data, Random Effect Model (GLS)
第3週	3/19	MLE
第4週	3/26	Lag Variables
第5週	4/02	Simultaneous Equations
第6週	4/09	Meta Regression
第7週	4/16	Discrete Dependent Variable
第8週	4/23	Limited Dependent Variables
第9週	4/30	Administrative Data, Empirical Research
第10週	5/07	Time Series