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課程名稱 |
計量專題研究
Topics on Econometrics |
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開課學期 |
102-1 |
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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 |
林建甫 |
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課號 |
ECON7152 |
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課程識別碼 |
323 M3710 |
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班次 |
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學分 |
2 |
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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 |
星期二7,8(14:20~16:20) |
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上課地點 |
經會議室 |
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備註 |
限碩士班以上
總人數上限：12人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1021toe |
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課程簡介影片 |
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核心能力關聯 |
本課程尚未建立核心能力關連 |
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課程大綱
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課程概述 |
This is a survey course in time series econometrics with focus on applications in macroeconomics, international finance, and finance. We will cover univariate and multivariate models of stationary and nonstationary time series in the time domain. The goals of the course are threefold: (1) develop a comprehensive set of tools and techniques for analyzing various forms of univariate and multivariate time series, and for understanding the current literature in applied time series econometrics; (2) survey some of the current research topics in time series econometrics; (3) show how to use EVIEWS, GAUSS, MATLAB, S-PLUS and R to estimate time series models. |
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課程目標 |
The field of time series econometrics has exploded in the last decade and there is not enough time in a quarter course to comprehensively cover all of the important contributions. Consequently, we will often discuss and present results without formal proofs. Most of the gory details, however, are supplied in the textbook by Hamilton, and in the references on the reading list. |
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課程要求 |
Midterm,
Final exam,
Term paper |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
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參考書目 |
1. Introductory Econometrics for Finance, 2 edition, by Chris Brooks, Cambridge University Press, 2008
2. Analysis of Financial Time Series. by Ruey S. Tsay, Wiley, 2nd, edition, 2005.
3. Time Series Analysis, by James D. Hamilton, Princeton University Press, 1994.
4. Time Series for Macroeconomics and Finance, by John Cochrane, unpublished lecture notes, updated 2005. Available from Cochrane's web site in Adobe Acrobat
5. Applied Econometric Time Series, Second Edition, by Walter Enders, John Wiley & Sons, 1995.
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評量方式
(僅供參考) |
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