課程資訊
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_ 
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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% 
 
 
課程進度
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