授課教師： 徐 世 勳 教授 (Shih-Hsun Hsu)
電 話： (02) 2365-6329 或 2363-7372 (助理)
傳 真： (02) 2362-8496
辦 公 室： 臺灣大學農業綜合館103A室
電子信箱： m577@ntu.edu.tw
個人網頁網址： http://www.agec.ntu.edu.tw/faculty/hsu/

`One cannot be sure, though at the very least it is often argued that (ceteris paribus) those who have numbers will win the debate against those lacking them. Again (ceteris paribus), those who have better numbers can expect to win.`
Alan A. Powell and Richard H. Snape (1993)
( 2005/1/20更新 )

課程名稱 應用計量經濟學
(APPLIED ECONOMETRICS) 學 分 3 學 分
必、選修 半 年 必 修 課
授課對象 非常歡迎有興趣於計量模型推估、政策模擬、預測及其相關應用的碩士班及相關研究單位專家學者
課 號 627 M2240
授課時間 星期五 上午 9:10 - 12:20
(註：台灣大學第二學期上課開始日為2005年2月21日星期一)
授課地點 農業綜合館二樓會議室

課程目的
1) 計量經濟學基本概念的介紹及其應用
2) 熟悉線性、非線性迴歸模型的設定、推定與檢定
3) 熟悉聯立方程式的設定、推定及其實例的應用
4) 介紹計量模型在政策模擬、基線預測的實例應用
5) 熟悉SAS, SHAZAM相關軟體程式的操作及其在計量經濟學的應用
先修課程 無
授 課大 綱

I. The Basics of Regression Analysis:
1. Introduction to the Regression Model
Curve Fitting
Derivation of Least Squares
2. Elementary Statistics: A Review
Random Variables
Estimation
Desirable Properties of Estimators
Probability Distributions
Hypothesis Testing and Confidence Intervals
Descriptive Statistics
3. The Two-Variable Regression Model
The Model
Best Linear Unbiased Estimation (BLUE)
Hypothesis Testing and Confidence Intervals
Analysis of Variance and Correlation
4. The Multiple Regression Model
The Model
Regression Statistics
F test, , and Corrected
Multicollinearity
Standardized Coefficients and Elasticities
Partial Correlation and Stepwise Regression


II. Single-Equation Regression Model:
1. Using the Multiple Regression Model
The General Linear Model
Use of Dummy Variables
The Use of t and F Tests for Hypotheses Involving More Than One Parameter
Piecewise Linear Regression
The Multiple Regression Model with Stochastic Explanatory Variables
2. Serial Correlation and Heteroscedasticity
Heteroscedasticity
Serial correlation
3. Instrumental Variables and Model Specification
Correlation between An Independent Variable and the Error Term
Errors in Variables
Specification Error
Regression Diagnostics
Specification Tests
4. Forecasting with a Single-Equation Regression Model
Unconditional Forecasting
Forecasting with Serially Correlated Errors
Conditional Forecasting
5. Single-Equation Estimation: Advanced Topics (Optional)
Distributed Lags
Tests for Causality
Missing Observations
Pooling of Cross-Section and Time-Series Data
Nonlinear Estimation
Maximum-Likelihood Estimation
6. Models of Qualitative Choice (Optional)
Binary-Choice Models
Multiple-Choice Models
Censored Regression Models


III. Multi-Equation Simulation Models:
1. Simultaneous-Equation Estimation
Introduction to Simultaneous-Equation Models
The Indentification Problem
Consistent Parameter Estimation
Two-Stage Least Squares
Simultaneous-Equation Estimation with Serial Correlation and Lagged Dependent Variables
More Advanced Estimation Methods
2. Introduction to Simulation Models
The Simulation Process
Evaluating Simulation Models
A Simulation Example
Model Estimation
Nonstructural Models－Vector Autoregressions
Modeling with Limited Data
3. Dynamic Behavior of Simulation Models
Model Behavior: Stability and Oscillations
Model Behavior: Multipliers and Dynamic Response
The Impulse Response Function and Vector Autoregressions
Tuning and Adjusting Simulation Models
Stochastic Simulation

IV. Time-Series Models: (Optional)
1. Smoothing and Extrapolation of Time Series
2. Properties of Stochastic Time Series
3. Linear Time-Series Models
4. Estimating and Forecasting with Time-Series Models
5. Applications of Time-Series Models


教科書

Pindyck, Robert S. and Daniel L. Rubinfeld, Econometric Models and Economic Forecasts, Fourth Edition, McGraw-Hill, 1998. [HB3730.P54] http://www.mhhe.com/catalogs/0079132928.mhtml
【雙葉書廊代理，Tel: 02-2368-4198或 2368-7467或2368-7084】

SAS, Econometric Modeling, Simulation, and Forecasting, SAS/ETS User`s Guide, Version 8, First Edition. SAS Institute Inc., 1999.

SHAZAM Users Reference Manual Version 9.0, McGraw-Hill, 2001.

參考用書
陳超塵編著，計量經濟學原理，臺灣商務印書館，1992。
陳超塵編著，統計學原理，大中國圖書公司，1981。
Berndt, Ernst R., The Practice of Econometrics: Classic and Contemporary, Reading: Addison-Wesley Publishing Company, 1991.
Ghosh, Sukesh K., Econometrics: Theory and Applications, Englewood Cliffs, NJ: Prentice-Hall, 1991.
Greene, William H., Econometric Analysis, MacMillian Publishing Company, Inc. Fourth Edition, 2000.
Hill, R. C., W.E. Griffiths, and Judge, G.G., Undergraduate Econometrics, Second Edition, John Wiley & Sons, 2001.
Johnston, Jack. and John Dinardo, Econometric Methods, Fourth Edition, McGraw-Hill Book Company, 1997.
Kmenta, Jan, Elements of Econometrics, MacMillian Publishing Company, Inc. Second Edition, 1986.
Maddala, G. S., Introduction to Econometrics, Third Edition, John Wiley & Sons, 2001.

評分方式 (1) 習題作業佔學期總分 20%
(2) 期中考試佔學期總分 40%
(3) 期末考試佔學期總分 40%
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