課程名稱 |
應用計量經濟學 APPLIED ECONOMETRICS |
開課學期 |
99-1 |
授課對象 |
生物資源暨農學院 農業經濟學研究所 |
授課教師 |
張宏浩 |
課號 |
AGEC7035 |
課程識別碼 |
627 M2240 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
必帶 |
上課時間 |
星期二2,3,4(9:10~12:10) |
上課地點 |
農經會議室 |
備註 |
總人數上限:25人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/991jelly |
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 |
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
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課程目標 |
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STATA軟體程式的操作及其在計量經濟學的應用
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課程要求 |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
Michael Murray (2006), Econometrics: A Modern Introduction. |
參考書目 |
Damodar Gujarati (1995), Basic Econometrics. |
評量方式 (僅供參考) |
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