課程資訊
課程名稱
計量經濟學二
Econometrics(Ⅱ) 
開課學期
110-2 
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
限修過1年統計學。教師授課3小時-AM9:00~12:00,助教實習課1小時。
限學士班三年級以上 或 限碩士班以上 或 限博士班
總人數上限:60人 
 
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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. Maximum Likelihood Method, Likelihood Ratio, Wald and LM tests
Johnston and DiNardo, Chapter 5


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

7.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

8.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.


9.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.

10. Quantitle Regression

11. Survival Model
 

課程目標
待補 
課程要求
平時作業 (20%)
期中考 (30%),Open Book Test (April 22)
期末考 (30%),Open Book Test (June 24 )
學期實証報告 (20%), Empirical research paper (team members: 1-3人)
Feb. 24: Term paper topic, check data first.
March 17 : Literature Survey ( at least 5 pages)
April 28: Empirical Model, Basic Statistics, Results
June 17: 12:00 noon, 完整報告紙本交至
經濟系辦公室三樓系上Prof. Liu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. Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill.
2. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
3. James H. Stock and Mark W. Watson (2003), Introduction to Econometrics, Addison Wesley.
4. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
5. Jack Johnston and John DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
6. William Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
7. Joshua D. Angrist and J.S. Pischke (2009), Mostly Harmless Econometrics, Princeton University Press.
8. Kenneth G. Stewart (2005), Introduction to Applied Econometrics, Thomson Brooks/Cole.
9. Ani Katchova, Econometrics Academy;
www.youtube.com/user/econometricsacademy
10. Matthew A. Masten, Duke University, Duke Mod. U
(Causal Inference Bootcamp)
11. Ben Lambert: A full course in Econometrics: undergraduate level

12. Jorn-Steffen Pischke (LSE).
13. Doug McKee, Dept. of Economics, Cornell University (YouTube)
14. Ashley Hodgson: Identification Strategies
 
評量方式
(僅供參考)
   
課程進度
週次
日期
單元主題
第1週
  Data and Econometrics 
第2週
  GLS (SURE, Panel Data: Random Effect) 
第3週
  Lagged Variables 
第4週
  Simultaneous Equations 
第5週
  Discrete Dependent Variable 
第6週
  Limited Dependent Variables 
第7週
  MLE, LR, Wald, LM tests 
第8週
  Meta Regression 
第9週
  Time Series Model 
第10週
  Quantitle Regression 
第11週
  Survival Model