課程名稱 |
計量經濟學二 Econometrics(Ⅱ) |
開課學期 |
108-2 |
授課對象 |
社會科學院 經濟學系 |
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 |
教師授課3小時(AM9:00~12:00),助教實習課1小時,限修過1年統計學。 限學士班三年級以上 或 限碩士班以上 總人數上限:40人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1082ECON5164_ |
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.Nonlinear Regression Models
Gujarati: Chapter 14,
Maddala: Chapter 2,
Greene: Chapter 9.
6. 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
7. 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.
8. 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.
|
課程目標 |
待補 |
課程要求 |
平時作業 (20%)
期中考 (30%),Open Book Test
期末考 (30%),Open Book Test
期末報告 (20%), Empirical research paper (team members: 1-3人)
March 5: Term paper topic, check data first.
April 9: Literature Survey (4 pages, check Econlit, google)
April 23: Data and Empirical Model
May 21 Empirical Results
July 2 (Thursday), 12:00 noon, 完整報告紙本交至三樓系上老師的信箱
|
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. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
2 James H. Stock and Mark W. Watson (2003), Introduction to Econometrics, Addison Wesley.
3. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
4. Jack Johnston and John DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
5. William Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
6. Joshua D. Angrist and J.S. Pischke (2009), Mostly Harmless Econometrics, Princeton University Press.
7. Kenneth G. Stewart (2005), Introduction to Applied Econometrics, Thomson Brooks/Cole.
8. Ani Katchova, Econometrics Academy;
www.youtube.com/user/econometricsacademy
9. Matthew A. Masten, Duke University, Duke Mod. U
|
評量方式 (僅供參考) |
No. |
項目 |
百分比 |
說明 |
1. |
Homework |
20% |
|
2. |
Midterm Test |
30% |
|
3. |
Final Test |
30% |
|
4. |
Empirical Report |
20% |
|
|
週次 |
日期 |
單元主題 |
第1週 |
3/5 |
GLS |
第2週 |
3/12 |
Panel Data, Random Effect Model (GLS) |
第3週 |
3/19 |
MLE |
第4週 |
3/26 |
Lag Variables |
第5週 |
4/02 |
Simultaneous Equations |
第6週 |
4/09 |
Meta Regression |
第7週 |
4/16 |
Discrete Dependent Variable |
第8週 |
4/23 |
Limited Dependent Variables |
第9週 |
4/30 |
Administrative Data, Empirical Research |
第10週 |
5/07 |
Time Series |
|