課程名稱 |
計量經濟學二 Econometrics(Ⅱ) |
開課學期 |
107-2 |
授課對象 |
社會科學院 經濟學研究所 |
授課教師 |
劉錦添 |
課號 |
ECON5164 |
課程識別碼 |
323 U4220 |
班次 |
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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 |
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 總人數上限:40人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1072ECON5164_ |
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 |
課程大綱
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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.
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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 7: Term paper topic, check data first.
April 11: Literature Survey (4 pages, check Econlit, google scholar )
May 2: Data and Empirical Model
May 30: Empirical Results
June 28 (Friday), 12:00 noon, 完整報告紙本交至三樓系上信箱 |
預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
1. Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill.
2. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
3. James H. Stock and Mark W. Watson (2003), Introduction to Econometrics, Addison Wesley.
4. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
5. Jack Johnston and John DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
6. William Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
7. Joshua D. Angrist and J.S. Pischke (2009), Mostly Harmless Econometrics, Princeton University Press.
8. Kenneth G. Stewart (2005), Introduction to Applied Econometrics, Thomson Brooks/Cole.
9. Ani Katchova, Econometrics Academy;
www.youtube.com/user/econometricsacademy
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參考書目 |
1. Damodar N. Gujarati (2003), Basic Econometrics, McGraw Hill.
2. Jeffrey M. Wooldridge (2006), Introductory Econometrics: A Modern Approach, South-Western College.
3. James H. Stock and Mark W. Watson (2003), Introduction to Econometrics, Addison Wesley.
4. G. S. Maddala (1983), Limited-dependent and Qualitative Variables in Econometrics. New York: Cambridge University.
5. Jack Johnston and John DiNardo (1997), Econometric Methods, 4th ed. New York: McGraw Hill.
6. William Greene (2003), Econometric Analysis, New Jersey: Prentice Hall.
7. Joshua D. Angrist and J.S. Pischke (2009), Mostly Harmless Econometrics, Princeton University Press.
8. Kenneth G. Stewart (2005), Introduction to Applied Econometrics, Thomson Brooks/Cole.
9. Ani Katchova, Econometrics Academy;
www.youtube.com/user/econometricsacademy
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評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
第1週 |
2/21 |
GLS-AR(1), Hetroscedasticity |
第2週 |
2/28 |
GLS-SURE |
第3週 |
3/07 |
GLS-Panel Data |
第4週 |
3/14 |
Dynamic Model, Lagged Variables |
第5週 |
3/21 |
Simultaneous Equations, IV |
第6週 |
3/28 |
MLE |
第9週 |
4/18 |
Discrete Choice Model |
第10週 |
4/25 |
Limited Dependent Variables |
第11週 |
5/02 |
How to do empirical economics |
第13週 |
5/16 |
Meta Regression |
第14週 |
5/23 |
Time Series |
第15週 |
5/30 |
Experiments and Quasi-Experiment |
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