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課程名稱 |
計量經濟學二
ECONOMETRICS(II) |
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開課學期 |
98-2 |
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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 |
Fin8037 |
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課程識別碼 |
723ED6100 |
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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 |
星期二6,7,8(13:20~16:20) |
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上課地點 |
管二201 |
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備註 |
本課程以英語授課。
總人數上限：20人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/982econometrics2 |
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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 |
Course Outline
1. Review of the Least Squares Theory
2. Nonlinear Least Squares (NLS) Theory
2.1 Nonlinear specifications
2.2 NLS estimator
2.3 Asymptotic properties of the NLS estimator
2.4 Large sample tests
3. Quasi-Maximum Likelihood (QML) Theory
3.1 Kullback-Leibler information criterion
3.2 Asymptotic properties of the QML estimator
3.3 Information matrix equality
3.4 Large sample tests – Nested
3.5 Large sample tests – Non-nested
3.6 Applications: Microeconometric models
3.7 Applications: ARMA models
3.8 Applications: Volatility models
4. Generalized Method of Moment (GMM)
4.1 GMM estimation
4.2 Asymptotic properties of the GMM estimator
4.3 Over-identifying restrictions test
4.4 Other GMM estimators
4.5 Estimation of conditional moment restrictions
4.5 Applications: |
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課程目標 |
This is the second course in econometric theory for Ph.D. students; well prepared Master students are also welcome to take this course. As a prerequisite, students are expected to have completed Econometric Theory I at Ph.D. level or something equivalent. In this course, we will follow my own lecture notes and focus on three leading econometric methods:
nonlinear least squares method, quasi-maximum likelihood method, and generalized method of moment. As in the first course, I will not provide “recipes” for these methods. Instead, I hope students will learn from this course how an econometric method is derived and why it works. All lectures will be in English; students are encouraged to participate classroom discussion which is a crucial part of the Ph.D. training. |
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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 |
備註： Wednesday 3–5 or by appointment |
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指定閱讀 |
Reading
1. Cameron, A. Colin and P. K. Trivedi, Microeconometrics: Methods and Applications, New York, NY: Cambridge University Press, 2005.
2. Lecture notes, available at ceiba.ntu.edu.tw/982econometrics2, or
homepage.ntu.edu.tw/ckuan; please constantly check for new versions.
3. White, H., Estimation, Inference and Specification Analysis, New York, NY: Cambridge
University Press, 1994. |
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參考書目 |
Supplemental Reading
1. Davidson, R. and J. G. MacKinnon, Estimation and Inference in Econometrics, New York, NY: Oxford University Press, 1993.
2. Greene, W. H., Econometric Analysis, 6th ed., Upper Saddle River, NJ: Pearson Prentice Hall, 2008.
3. Hamilton, J., Time Series Analysis, Princeton, NJ: Princeton University Press, 1994. |
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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. |
Homework |
15% |
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2. |
Midterm |
40% |
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3. |
Final |
45% |
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週次 |
日期 |
單元主題 |
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第1週 |
2/23 |
Ch1: Linear and Matrix Algebra
Ch2: Statistical Concepts
Ch3: Classical Least Squares Theory
Ch4: Generalized Least Squares Theory
Ch5: Elements of Probability Theory
Ch6: Asymptotic Least Squares Theory: Part I
Ch7: Asymptotic Least Squares Theory: Part II
Ch8: Nonlinear Least Squares Theory (2010/3/17 Update)
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第3週 |
3/09 |
Ch8: Nonlinear Least Squares Theory (2010/3/17 Update) |
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第4週 |
3/16 |
修正：作業 9.1, 題目中 for all 應該是 for some. |
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第6週 |
3/30 |
Quasi Maximum Likelihood Theory (2010/04/27) |
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第10週 |
4/27 |
Quasi Maximum Likelihood Theory (2010/04/27) |
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第12週 |
5/11 |
Quasi Maximum Likelihood Theory (2010/05/12 14:12 Update)； Introduction to Time Series Analysis (2010/5/25 19:00 Update) |
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第15週 |
6/01 |
Generalized Method of Moment |
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第16週 |
6/08 |
Generalized Method of Moment (2010/5/8 Updated) |
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第17週 |
6/15 |
Generalized Method of Moment (2010/6/18 Updated, 最新修正版)
Quasi Maximum Likelihood Theory (2010/6/18 Updated, 最新修正版) |
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