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課程名稱 |
計量經濟理論一
Econometric Theory (Ⅰ) |
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開課學期 |
100-1 |
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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 |
陳釗而 |
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課號 |
ECON7014 |
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課程識別碼 |
323EM6140 |
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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 |
必修 |
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上課時間 |
星期三3,4(10:20~12:10) |
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上課地點 |
經大講堂 |
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備註 |
本課程以英語授課。需修過統計學。
限碩士班以上
總人數上限：60人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1001metrics_I |
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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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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This course focuses mainly on the specification and estimation of
the linear regression model and extremum estimators.
Advanced topics include generalized method of moments,
instrumental variables, qualitative response models, quantile regression,
and econometric methods for panel data relevant for empirical research in economics.
Course Outline:
1. Introduction (B 1, A 1&2)
2. Least Squares Regression (H 1, B 5, A3)
3. Asymptotic Theory for Least Squares ( H 2.1-2.9, B 6)
4. Single-Equation GMM (H 3, B 11&13, A 4.1-4.2, Newey and McFadden 1994)
5. Extremum Estimators (H 7, W 12, A 7, Newey and McFadden 1994)
6. Binary Response Models (H 8.1, W 15.1-15.6)
7. Panel Data Models (W 10, A 5) |
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課程目標 |
The intention of this course is to provide a foundation for applied research in economics. Econometric Theory (II) in the following semester will be more focused on time series analysis and its applications. |
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課程要求 |
The course grade will be based on weekly problem sets, a midterm, and a final.
The assignments will consists of both theoretical and programming exercises
which can be done in Matlab, Gauss, R, or any other econometric software.
Students should be prepared in matrix algebra and mathematical statistics
at the level of Econ7009 or equivalent. This course will be taught in English.
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預期每週課後學習時數 |
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Office Hours |
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參考書目 |
Required textbooks:
1. Hayashi, F. (2000): Econometrics, Princeton (H)
2. Hansen, B. (2011): Econometrics, available online at
http://www.ssc.wisc.edu/~bhansen/econometrics/ (B)
Other References:
3. Angrist J. and J. Pischke (2009): Mostly Harmless Econometrics, Princeton (A)
4. Wooldridge, J. (2010): Econometric Analysis of Cross Section and Panel Data, 2nd ed., MIT (W)
5. Newey, W., and D. McFadden (1994): Large Sample Estimation and Hypothesis Testing,
Handbook of Econometrics, vol. IV, Elsevier (via Sciencedirect)
6. Koenker, R. (2005): Quantile Regression, available online to members of the Econometric Society
via http://www.econometricsociety.org/monograph.asp
7. van der Vaart, A. (1998): Asymptotic Statistics, Cambridge.
The van der Vaart book is a good source for a more technical treatment of
asymptotic theory in statistics if you are interested in theoretical econometrics,
but for this class I'll mostly use references which are written more specifically for
economists and econometricians. |
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指定閱讀 |
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評量方式
(僅供參考) |
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