財務計量經濟學
Financial Econometrics
| 節 | 週一 | 週二 |
|---|---|---|
2 09:00–09:50 | 財務計量經濟學 M102 2 節連堂 | |
3 10:10–11:00 | ||
8 16:30–17:20 | 財務計量經濟學 M102 |
* 根據陽明交大上課時間表所列
The goal of this course is to familiarize the students with the practice of financial econometrics. Students will learn how to conduct empirical data analysis and explain analysis results. The course will cover the regression analysis, interval estimation, hypothesis testing, indicator variables, heteroscedasticity, and so on. Both theoretical and applied econometrics will be discussed. Data analysis with textbook data using R programming will be demonstrated.
Statistics, Mathematical Statistics
TA: 許至妤 Office hour 2-4 pm on Monday. Or by appointment via ammahsu16@gmail.com Information such as data, course materials, homework assignments, and grading scores will be uploaded in E3. Students are responsible to check the announcements and updates in E3.
1. Participation and Quizzes: Quizzes will be given occasionally. Students are encouraged to present some additional topics in class. 2. Homework Assignments: Homework will be assigned mostly weekly base, but students are not required to submit the homework. TA will post homework solutions for reference in E3. 3. Exams: Three exams (in class and closed-book) will be given. 4. Evaluation and Grading Policy: Participation and Quizzes (10%), Exam 1 (30%), Exam 2 (30%), Exam 3 (30%)
| 週次 | 主題 |
|---|---|
| 第 1 週 | Chinese New Year Break. |
| 第 2 週 | Introduction to Econometrics. Probability Primer. |
| 第 3 週 | Introduction to R |
| 第 4 週 | Simple Linear Regression model |
| 第 5 週 | Estimating nonlinear relationship |
| 第 6 週 | Interval estimation |
| 第 7 週 | Exam 1 |
| 第 8 週 | Hypothesis testing |
| 第 9 週 | Prediction, Goodness fit and Modeling |
| 第 10 週 | The multiple regression |
| 第 11 週 | Sampling properties of the least square estimators |
| 第 12 週 | Exam 2 |
| 第 13 週 | Further inference in the multiple regression model |
| 第 14 週 | Using indicator variables |
| 第 15 週 | Heteroskedasticity |
| 第 16 週 | Advanced topics |
| 第 17 週 | Exam 3 |
| 第 18 週 | Dragon Boat Festival |
Principles of Econometrics, R. Carter Hill, William E. Griffiths and Guay C. Lim, 4rd Ed, Sourth-Western, 2012. Textbook webpage: http://principlesofeconometrics.com/poe4/poe4.htm
- 地點
- M415
- 時間
- by appointment via venteng@gmail.com (Wednesday 10 - 12)
- 聯絡方式
- email: venteng@gmail.com