財務計量經濟學

Financial Econometrics

學期

111-2

學分

3 學分

當期課號

537702

永久課號

MGIF30060

開課單位

資訊管理與財務金融系財務金融碩博士班

授課教師

鄧惠文

校區

光復

類別

必修

上課時間表

節	週五
2 09:00–09:50	財務計量經濟學 M101 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

概述

The goal of this course is to familiarize students with econometrics and data analysis tools using R programming in advanced levels. This course will be split into three parts. In the first part, we will review statistics and multiple regression models. In the second part, we will cover time series anaylsis. In the third part, we will go through moment-based estimation, simultaneous equations models, and panel data models.

先修科目

Statistics, Mathematical Statistics (or related courses)

教學方式

1. All course information, such as handouts, solutions, scores, will be posted in the new E3 system. 2. TA: 宋忻組 3. 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

評分方式

Homework, Participation, and Quizzes (30%) Presentation (15%) Exam 1 (25%) Exam 2 (30%)

週次計畫

週次	主題
第 1 週	Ch 1: Introduction Ch 2: The simple linear regression 2.1 ~ 2.3
第 2 週	Ch 2: The simple linear regression 2.4 ~ 2.9
第 3 週	Ch 3: Interval Estimation and Hypothesis Testing 3.1 ~ 3.4
第 4 週	Ch 3: Interval Estimation and Hypothesis Testing 3.5 ~ 3.6
第 5 週	Ch 4: Prediction 4.1 ~ 4.6
第 6 週	Ch 5: The multiple regression 5.1 ~ 5.5
第 7 週	Exam 1
第 8 週	Ch 8: Heteroskedasticity 8.1 ~ 8.6
第 9 週	Ch 10: Endogeneity 10.1 ~ 10.2
第 10 週	Ch 10: Endogeneity 10.3 ~ 10.4
第 11 週	Ch 11: Simultaneous equations 11.1 ~ 11.5
第 12 週	Ch 15: Panel data 15.1 ~ 15.3
第 13 週	Ch 15: Panel data 15.4
第 14 週	Review and presentations
第 15 週	Review and presentations
第 16 週	2023 PBFEAM
第 17 週	Exam 2
第 18 週	Discussions

教科書

Introduction to Econometrics, R. Carter Hill, William E. Griffiths and Guay C. Lim, 5th Ed, John Wiley & Sons, 2018.

Office Hours

地點: M415 or online meeting
時間: by appointment
聯絡方式: Prof. Huei-Wen Teng Email: venteng@gmail.com