授課教師：張宏浩 教授 (Hung-Hao Chang)
電 話： (02) 3366-2656
辦 公 室： 臺灣大學農業綜合館217室
電子信箱： changhunghao@ntu.edu.tw


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
課 號 627 M2240
授課時間 星期二 上午 9:10 - 12:10
授課地點 農業綜合館二樓會議室

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

評分方式
(1) 習題作業佔學期總分 30%
(2) 期中考試佔學期總分 35%
(3) 期末考試佔學期總分 35%
備 註