財務計量經濟學
Financial Econometrics
| 節 | 週二 |
|---|---|
2 09:00–09:50 | 財務計量經濟學 M-b09 3 節連堂 |
3 10:10–11:00 | |
4 11:10–12:00 |
* 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. This course will cover multiple regression model, moment-based estimation, simultaneous equations 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)
1. Lecture: 2BCD, M-b09 2. All course information, such as handouts, solutions, scores, will be posted in the new E3 system. 3. Textbook webpage: http://principlesofeconometrics.com/poe4/poe4.htm 4. TA: 李育賢, 方雅嫻 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
A. Participation and Quizzes (5%) Quizzes may be given occasionally B. Homework Assignments (25%): Homework assignments will be given mostly weekly base. No late homework will be accepted. TA will grade homework and post solutions in the new E3. C. 2 Exams (70%, 35% each). Closed-book. But students are allowed to bring one A4 formula sheet.
| 週次 | 主題 |
|---|---|
| 第 1 週 | Ch 1: Introduction to econometric models. |
| 第 2 週 | Ch 2: The simple linear regression model |
| 第 3 週 | Ch 3: Interval estimation and hypothesis testing |
| 第 4 週 | Ch 4: Prediction, goodness-of-fit, and modeling issues. |
| 第 5 週 | Ch 5: Multiple regression models. |
| 第 6 週 | Ch 5: Multiple regression models. |
| 第 7 週 | Ch 8: Heteroskedasticity |
| 第 8 週 | Exam 1 |
| 第 9 週 | Ch 10: Random regressor and moment-based estimation |
| 第 10 週 | Ch 10: Estimators based on the method of moments |
| 第 11 週 | Ch 10: Specification tests |
| 第 12 週 | Ch 11. Simultaneous Equation models |
| 第 13 週 | Ch 11: Two stage models |
| 第 14 週 | Ch 15. Panel data models |
| 第 15 週 | Ch 15. Panel data models |
| 第 16 週 | Ch 15. Fixed and random effects models |
| 第 17 週 | Exam 2 |
| 第 18 週 | Discussions |
Introduction to Econometrics, R. Carter Hill, William E. Griffiths and Guay C. Lim, 5th Ed, John Wiley & Sons, 2018.
- 地點
- M415
- 時間
- Prof. Teng 1EF or by appointment 助教 李育賢 5EF or by appointment 助教 方雅嫻 2EF or by appointment
- 聯絡方式
- Prof. Huei-Wen Teng venteng@gmail.com 助教 李育賢 k8508011@gmail.com 助教 方雅嫻 joan468468@yahoo.com.tw