|
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 經濟學研究所 |
|
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 |
|
|
|
|
課程簡介影片 |
|
|
核心能力關聯 |
核心能力與課程規劃關聯圖 |
|
課程大綱
|
|
為確保您我的權利,請尊重智慧財產權及不得非法影印
|
|
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) |
|
|
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 |
|