財務計量經濟學
Financial Econometrics
| 節 | 週二 |
|---|---|
5 13:20–14:10 | 財務計量經濟學 M101 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 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 and data analysis tools in advanced levels.The course will cover multiple regression model, regression with time-series data, random regressors, moment-based estimation, simultaneous equations models, vector error correction, time-varying volatility models, panel data models, qualitative and limited dependent variable data, and etc. Applications with textbook data from textbook using R programming will be demonstrated.
Statistics, Mathematical Statistics (or related courses)
TA: 虞丹騮. Office hour by appointment via dvhare_yu@mail.fcu.edu.tw TA: 孫佑嘉. Office hour by appointment via rockon8765.ms02g@g2.nctu.edu.tw 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, Quizzes, and Presentations: Students will present related issues raised in class. Attendance is required. 2. Homework Assignments: Assignments will be given mostly weekly base. Students do not need to submit homework. TA will post solutions in T3. 3. Exam: 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 | Break. |
| 第 2 週 | Introduction to Econometrics. |
| 第 3 週 | Introduction to R. |
| 第 4 週 | Simple linear regression model. |
| 第 5 週 | Estimating nonlinear relationship |
| 第 6 週 | Interval estimation and hypothesis testing |
| 第 7 週 | Exam 1 |
| 第 8 週 | Prediction, Goodness fit and Modeling |
| 第 9 週 | The multiple regression |
| 第 10 週 | Sampling properties of the least square estimators |
| 第 11 週 | Further inference in the multiple regression model |
| 第 12 週 | Exam 2. |
| 第 13 週 | Panel data models |
| 第 14 週 | Fixed and random effects models |
| 第 15 週 | Qualitative and limited dependent variable models |
| 第 16 週 | Models for count data |
| 第 17 週 | Exam 3 |
| 第 18 週 | Discussions |
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 (I will be in my office mostly Wednesday BC)
- 聯絡方式
- venteng@gmail.com