課程資訊
課程名稱
 計量經濟學二
Econometrics(Ⅱ) 
開課學期
 107-2 
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
 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
總人數上限：40人 
Ceiba 課程網頁
 http://ceiba.ntu.edu.tw/1072ECON5164_ 
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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.


 

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 7: Term paper topic, check data first.
April 11: Literature Survey (4 pages, check Econlit, google scholar )
May 2: Data and Empirical Model
May 30: Empirical Results
June 28 (Friday), 12:00 noon, 完整報告紙本交至三樓系上信箱 
預期每週課後學習時數
  
Office Hours
  
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. 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
 
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
 
評量方式
(僅供參考)
    
課程進度
週次
日期
單元主題
第1週
 2/21  GLS-AR(1), Hetroscedasticity 
第2週
 2/28  GLS-SURE 
第3週
 3/07  GLS-Panel Data 
第4週
 3/14  Dynamic Model, Lagged Variables 
第5週
 3/21  Simultaneous Equations, IV  
第6週
 3/28  MLE 
第9週
 4/18  Discrete Choice Model 
第10週
 4/25  Limited Dependent Variables 
第11週
 5/02  How to do empirical economics 
第13週
 5/16  Meta Regression 
第14週
 5/23  Time Series 
第15週
 5/30  Experiments and Quasi-Experiment