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課程名稱 |
計量經濟學一
ECONOMETRICS(I) |
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開課學期 |
98-1 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
管中閔 |
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課號 |
Fin8036 |
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課程識別碼 |
723ED6000 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
必修 |
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上課時間 |
星期一6,7,8(13:20~16:20) |
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上課地點 |
管二204 |
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備註 |
本課程以英語授課。
總人數上限：15人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/981econometrics |
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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 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This is the first course in econometric theory for Ph.D. students; well prepared
Master students are also welcome to take this course. The prerequisite of this course includes the basic knowledge of linear (matrix) algebra and multivariate statistics;undergraduate econometrics is not required, however. Those who are not familiar with these concepts must read my lecture notes: Elements of Matrix Algebra and/or the first two chapters of Introduction to Econometric Theory; you may also consult related textbooks, e.g., Appendices A and B of Greene (2008).
In this course, I will follow my own lecture notes; other textbooks are assigned as
complementary reading. Unlike most econometrics textbooks that are organized according to models, my notes are categorized by theories or methods, such that each theory (method) is readily applied to existing models. What I hope is that, by introducing econometric theory in this way, students will learn not only various models but also how an econometric method is derived and why it works.
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課程目標 |
In this course, I will focus on the classical and asymptotic least squares theories.
In the asymptotic theory part, some non-conventional methods, including unit-root tests and co-integration, will also be discussed. Depeding on the time we have at the end of this semester, I will try to cover two additional methods that are related to the topics in this course: (1) hypothesis testing without a consistent covariance matrix estimator, and (2) bootstrap. The lectures will be in English; students may ask questions in Mandrin though. Our homeworks will include programming exercises; a TA will introduce basic ideas of programming in R (it is okay if you choose to use matlab or anything similar). Auditors are welcome; yet please be advised that no one really learns econometrics without doing homeworks and programming by himself. |
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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 |
另約時間 備註： Tuesday 3–5 and by appointment |
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指定閱讀 |
Required Reading
1. Kuan, C.-M., Introduction to Econometric Theory, Lecture Notes, available at
ceiba.ntu.edu.tw/981econometrics or homepage.ntu.edu.tw/ckuan (please constantly check for new versions). |
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參考書目 |
Supplemental Reading
1. Greene, W. H., Econometric Analysis, 6th ed., Pearson Prentice Hall, 2008.
2. Hayashi, F., Econometrics, Princeton University Press, 2000 (recommended).
3. Kuan, C.-M., Elements of Matrix Algebra, Lecture Notes, also available at
ceiba.ntu.edu.tw/981econometrics or homepage.ntu.edu.tw/ckuan.
4. White, H., Asymptotic Theory for Econometricians, revised ed., Academic Press,1999. |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
One midterm |
40% |
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2. |
One final |
45% |
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3. |
Homework |
15% |
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週次 |
日期 |
單元主題 |
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第1週 |
9/14 |
Ch2: Statistical Concepts (2009/9/29),
Ch1: Linear and Matrix Concepts (2009/9/29),
Elements of Matrix Algebra (2009/9/7), Syllabus (2009/9/7, new file)
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第3週 |
9/28 |
Ch 3: Classical Least Squares Theory (2009/09/29);
Ch 4: Generalized Least Squares Theory (2009/11/02 Update);
Ch 5: Elements of Probability Theory (2009/11/03, Update) |
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第4週 |
10/05 |
R_Note_Fall 2009 (2009/10/05) |
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第8週 |
11/02 |
Update Lectures (Ch4 & Ch 5 & R_Note_Fall 2009); R_Exercises_Fall 2009 (2009/11/04)
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第11週 |
11/23 |
Ch6: Asymptotic Least Squares Theory: Part I (2009/12/21 Update) |
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第14週 |
12/14 |
Ch7: Asymptotic Least Squares Theory: Part II (2009/12/14 Update ) |
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