財務計量經濟學
Financial Econometrics
| 節 | 週一 | 週二 |
|---|---|---|
3 10:10–11:00 | 財務計量經濟學 M102 | |
5 13:20–14:10 | 財務計量經濟學 M102 2 節連堂 | |
6 14:20–15:10 |
* 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. Specifically, students will learn how to conduct empirical data analysis and explain analysis results. Both theoretical and applied econometrics will be discussed. The course will cover simple regression analysis, hypothesis testing, interval estimation, multiple regression, indicator variables and heteroskedasticity. Practical applications with actual financial and economic data using R programming will be demonstrated.
Statistics, Mathematical Statistics
1. Lecture: 1 EF, 2C, M102. 2. Announcements, syllabus, handouts, and scores, will be posted in the new E3. 3. Textbook webpage: http://principlesofeconometrics.com/poe4/poe4.htmTA to be announced. 4. TA: 朱昭憲 5. Course Policies: (1) If you have a University-approved conflict with any of the exams, you must let me know at least one week before the exam. A conflict exam will be scheduled to take place just before or just after the regularly scheduled exam. (2) No make-up exams will be given. (3) Attendance to each class meeting is required and beneficial. Students are responsible for all announcements and supplements given within each lecture and/or via course email/website
1. Participation and Quizzes (5%): Quizzes will be given occasionally. 2. Homework Assignments (20%): Homework will be assigned mostly weekly base. No late homework will be accepted. TA will grade homework and post homework solutions. 3. Exams (75%, 25% each): Three exams (in class and closed-book) will be given. Students are allowed to bring one A4 formula sheet in the exam. Each exam takes from 12-40 - 15:10 on Monday.
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction to Econometrics. |
| 第 2 週 | Probability Primer. |
| 第 3 週 | Introduction to R |
| 第 4 週 | Simple Linear Regression model |
| 第 5 週 | Exam 1 |
| 第 6 週 | Estimating nonlinear relationship |
| 第 7 週 | Interval estimation |
| 第 8 週 | Break (4/8) |
| 第 9 週 | Hypothesis testing, 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 | Discussions |
Principles of Econometrics, R. Carter Hill, William E. Griffiths and Guay C. Lim, 4rd Ed, Sourth-Western, 2012.
- 地點
- Prof. Teng at M415 TA will book a different room for the office hours
- 時間
- Teng, 4CD or by appointment 朱昭憲, 1CD or by appointment
- 聯絡方式
- Prof. Teng venteng@gmail.com 朱昭憲