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課程名稱 |
計量經濟學二
Econometrics(Ⅱ) |
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開課學期 |
112-2 |
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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 |
劉錦添 |
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課號 |
ECON5164 |
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課程識別碼 |
323 U4220 |
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班次 |
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學分 |
3.0 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期四2,3,4,5(9:10~13:10) |
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上課地點 |
社科406 |
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備註 |
含實習課1小時，限修過統計學。老師授課3小時(上午9:00-12:00)。
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 |
待補 |
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課程目標 |
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, Conditional Logit Model, 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. Quantile Regression
Ani Katchova, Econometrics Academy: Quantile Regression
Angrist and Pischke, Ch. 7
11. Survival Model
Ani Katchova, Econometrics Academy: Survival Analysis
12. Causal Effect Models:
Instrumental Variable Method (IV), Difference-in-Differences (DiD), Regression Discontinuity Design (RD).
Angrist and Pischke (2009). Ch. 4-6
A. Matthew Alan Masten, Duke University, Duke Mod. U
(Causal Inference Bootcamp)
Introduction, Experiments, Regression and Causality
IV, Panel data, RD, Modeling, and Conclusion
B. Richard Gallenstein: (Youtube)
Ch. 10 Randomization
Ch. 11 Propensity score matching
Ch. 12 Natural Experiment and IV
Ch. 13 Panel data
Ch. 14 Difference-in-Differences
Ch. 15 Regression Discontinuity
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課程要求 |
平時作業 （20％）
期中考 （30％），Open Book Test
期末考 （30％），Open Book Test
學期實証報告 (20%), Empirical research paper (Team members: 1-3人)
Feb. 29 : Term paper topic, check data first.
March 21 : Literature Survey ( at least 5 pages)
April 25: Empirical Model, Basic Statistics, Results
June 13: 12:00 noon, 完整報告紙本交至
經濟系辦公室 三樓系上 Jin-Tan Liu的信箱.
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預期每週課後學習時數 |
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參考書目 |
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評量方式
(僅供參考) |
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