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課程名稱 |
計量經濟學二
Econometrics (Ⅱ) |
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開課學期 |
104-2 |
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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 |
黃景沂 |
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課號 |
Fin8037 |
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課程識別碼 |
723 D6100 |
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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 |
星期一3,4(10:20~12:10)星期五2,3,4(9:10~12:10) |
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上課地點 |
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備註 |
本課程中文授課,使用英文教科書。週一34實習課。教室：社科研606。與張勝凱合開
限博士班 且 限本系所學生(含輔系、雙修生)
總人數上限：15人 |
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課程網頁 |
http://homepage.ntu.edu.tw/~chingihuang/teaching/Metrics2011 |
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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 |
另約時間 |
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指定閱讀 |
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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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