課程資訊
課程名稱
計量經濟理論一
Econometric Theory (Ⅰ) 
開課學期
103-1 
授課對象
社會科學院  經濟學研究所  
授課教師
李宗穎 
課號
ECON7014 
課程識別碼
323EM6140 
班次
 
學分
全/半年
半年 
必/選修
必修 
上課時間
星期三3,4(10:20~12:10) 
上課地點
社科406 
備註
本課程以英語授課。
限碩士班以上
總人數上限:70人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1031ECON7014 
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課程概述

This course focuses mainly on the identi cation, speci cation, estimation and inference of econometric models. Linear regression and quantile regression are introduced fi rst and discussed in detail. Advanced topics include generalized method of moments, instrumental variables, and econometric methods for panel data relevant for empirical research in economics and finance. 

課程目標
1. Introduction (A1&2)
2. Least Squares and Quantile Regression (H1, A3)
3. Finite-sample Properties of Least Squares; Bootstrap and Subsampling
4. Asymptotic Theory for Least Squares and Regression Quantiles (H2.1-2.9)
5. Semiparametric Efficiency: Least Squares
6. Endogeneity and Instrumental Variables (A4, Angrist and Pischke 2010, Roberts and Whited 2011)
7. Building Blocks of Time Series Models
8. Single-Equation Linear GMM (H3)
9. GMM: Consumption-based Asset Pricing (H7, C5, Newey and McFadden 1994)
10. Discrete Response Models
11. Panel Data Econometrics (W10, C8, Petersen 2009) 
課程要求
The course grade will be based on weekly problem sets, a midterm, and a nal. The assignments will consist of both theoretical and programming exercises which can be done in Matlab, Stata, R, or any other econometric software. Students should be prepared in matrix algebra and mathematical statistics at the level of Econ7009 or equivalent. 
預期每週課後學習時數
 
Office Hours
每週二 09:30~11:00 
參考書目
See syllabus 
指定閱讀
 
評量方式
(僅供參考)
   
課程進度
週次
日期
單元主題
無資料