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. This course will be split into two parts. In the first part, we will review statistics and cover multiple regression models. In the second part, we will go through moment-based estimation, simultaneous equations models, and panel data models. Applications with textbook data using R programming will be demonstrated.
Statistics, Mathematical Statistics (or related courses)
1. Lecture: Tuesday 567, M-101 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 R code webpage: https://bookdown.org/ccolonescu/RPoE4/ 4. TA: 龐睿琪 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 or quizzes 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 (30%) B. 2 Exams (70%, 35% each). Closed-book. But students are allowed to bring one A4 formula sheet. C. Homework assignments will be given mostly weekly base.
| 週次 | 主題 |
|---|---|
| 第 1 週 | Ch 1: Introduction to econometric models. |
| 第 2 週 | Ch 2.1-2.4: The simple linear regression model |
| 第 3 週 | Ch 2.5-2.9: The probability distribution of of the least squares estimator. |
| 第 4 週 | Ch 3: Interval estimation and hypothesis testing |
| 第 5 週 | Ch 4: Prediction, goodness-of-fit, and modeling issues. |
| 第 6 週 | Ch 5: Multiple regression models. |
| 第 7 週 | No class (校際活動) |
| 第 8 週 | Exam 1 |
| 第 9 週 | Ch 8: Heteroskedasticity |
| 第 10 週 | Ch 10.1-3: Random regressor and moment-based estimation |
| 第 11 週 | Ch 10.3-5: Specification tests |
| 第 12 週 | Ch 11. Simultaneous Equation models |
| 第 13 週 | Ch 15.1-3: Panel data model |
| 第 14 週 | Ch 15.4. The random effects estimator |
| 第 15 週 | Review |
| 第 16 週 | Exam 2 |
| 第 17 週 | Discussions and remedial teaching |
| 第 18 週 | Discussions and remedial teaching |
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 Tuesday 4:30 - 5:30 or by appointment TA 龐睿琪: Wednesday 10:10 - 12:00 pm or by appointment
- 聯絡方式
- Prof. Huei-Wen Teng Email: venteng@gmail.com or hwteng@nycu.edu.tw TA 龐睿琪 Email: p912630264@gmail.com