國立臺北大學九十一學年度第一學期課程綱要
課程名稱︰應用數量方法-Applied
Quantitative Method (經濟學系碩博士班)
課程內容︰
This
course covers advanced topics in the theory of econometrics and the uses of
advanced techniques in applications to empirical problems. Emphasis
is on the specification and estimation of production functions, supply
functions, demand functions, inventory stock and price determination
relations. As well emphasis is on
the use of econometric models for structural analysis, forecasting, and
simulation. Data issues and
software packages (such as SHAZAM, TSP, and SAS) are also noteworthy topics.
授課目的︰
The
principal objectives are twofold: (1) to help students acquire and develop
quantitative, statistical, and analytical skills. Such
skills are requirements for economic analysts, agricultural economists,
statisticians, and econometricians; and (2) to enhance capabilities for
critical appraisal of problems, models, and research techniques.
授課方式︰
Lectures,
discussions, readings, homework problem sets, mini-project.
參考書︰
Baltagi,
B., Econometrics, Springer-Verlag, 1998.
Berndt,
E. R., The Practice of Econometrics: Classic and Contemporary,
Addison-Wesley Publishing Co., 1991.
Chotikapanich,
D., and W. E. Griffiths, Learning SHAZAM: A Computer Handbook for
Econometrics, John Wiley & Sons , Inc., 1993.
Draper,
N. and H. Smith, Applied Regression Analysis, Second Edition, John
Wiley & Sons, Inc., 1981.
Enders,
W., Applied Econometric Time Series, John Wiley&Sons, Inc., 1995.
Fomby,
T. B. R., C. Hill, and S. R. Johnson, Advanced Econometric Methods,
Springer-Verlag, 1984.
Green,
W.H. Econometric Analysis, Prentice-Hall, Inc., 3rd ed., 1997.
Griffiths,
W. E., R. C. Hill, and G. G. Judge, Learning and Practicing Econometrics,
John Willey & Sons, Inc., 1993.
Grilches,
Z. and M. D. Intriligator, ed., Handbook of Econometrics, Vol. I-III,
North-Holland, 1986.
Gujarati,
D., Basic Econometrics, McGraw-Hill, 2nd Edition, 1988.
Gujarati,
D., Essentials of Econometrics, McGraw-Hill, 2nd Edition, 1999.
Harvey,
A. C., The Econometric Analysis of Time Series, 1981.
Hill,
R. C., Learning SAS: A Computer Handbook for Econometrics, John Wiley
& Sons, Inc., 1993.
Hsiao,
C., Analysis of Panel Data, Cambridge University Press, 1992.
Intriligator,
M. D., R. Bodkin, and C. Hsiao, Econometric Models, Techniques, and
Applications, 2nd ed. Prentice-Hall, Inc., 1996.
Johnson,
Jr. A. C., M. B. Johnson, and R. C. Buss, Econometrics: Basic and Applied,
Macmillan Publishing Company, 1987.
Johnston,
J. and J. DiNardo, Econometric Methods, McGraw-Hill Co.,
4th ed., 1997.
Judge,
G. G., W. E. Griffiths, R. C. Hill, and T-C Lee, The Theory and Practice of
Econometrics, 2nd ed., John Wiley & Sons, 1985.
Judge,
G., R. C. Hill, W. Griffiths, H. Lutkepohl, T-C Lee, Introduction to the
Theory and Practice of Econometrics, John Wiley & Sons, Inc., 1982.
Kmenta,
J., Elements of Econometrics, MacMillian Publishing Co.,
2nd ed., 1986.
Maddala,
G. S. Limited-dependent and Qualitative Varables in Econometrics,
Cambridge Univerity Press, 1983.
Mirer,
T. W., Economic Statistics and Econometrics, 3rd ed.,
Prentice Hall, 1995.
Myers,
R. H., Classical and Modern Regression with Applications, Duxbury
Press, 1986.
Pindyck,
R. S., and D. L. Rubinfeld, Econometric Models and Economic Forecasts,
4th ed., McGraw-Hill, 1998.
Ramanathan,
R., Introductory Econometrics with Applications, Dryden Press, 3rd
ed., 1989.
Spanos,
A., Statistical Foundations of Econometric Modeling, Cambridge
University Press, 1986.
Thomas,
R. L., Modern Econometrics: An Introduction, Addison-Wesley Co., 1996.
LIMDEP
User's Manual,
Version 7.0, Econometric Software, Inc., 1995.
SAS/ETS
User's Guide,
Version 5, SAS Institute, Inc., 1984.
SAS
User's Guide: Basics,
Version 5, SAS Institute, Inc., 1985.
SAS
User's Guide: Statistics,
Version 5, SAS Institute, Inc., 1985.
SHAZAM
User's Reference Manual,
Version 7.0, McGraw-Hill Book Co., 1993.
TSP
User's Guide,
Version4.2, TSP International, 1993.
TSP
Reference Manual,
Version 4.2, TSP International, 1993.
上課時間︰Tuesday
1:10-4:00 P.M. (Tentative)
上課地點︰莊敬301教室
作業︰
Each
student will be responsible for approximately 7 homework problem sets.
These homework problem sets will give the student the needed experience
and familiarity with the concepts and theory discussed in the classroom.
If allowed, each student will also be responsible for one mini-project.
The purpose of the mini-project is to give the student some additional
experience in working with the concepts and tools we will be discussing.
To successfully apply econometric techniques, a systematic framework
for model design, hypothesis testing, and estimate choice is necessary.
Importantly, the applied researcher must be able to interpret and
communicate research results in an intelligible manner.
Problem
sets will be handed out on a more or less regular basis.
At the time problem sets or mini-project is assigned, due dates will be
set.
學期成績計算方式︰
Grades
in this course will be based on the various homework problem sets and
mini-project.
授課教師︰
簡明哲老師（台北市合江街68號，莊敬大樓三樓309室）
(Voice/Ans)
2500-9888
(Voice/Fax) 2517-0162
E-mail:
mcchien@mail.ntpu.edu.tw
Home
Page: http://web.ntpu.edu.tw/~mcchien/
課
程 大 綱
I.
General Aspects
A.
The
Nature of Econometrics
B.
The
Multiple Regression Model
C.
Least
Squares
D.
Interpretation
of Regression Coefficients
E.
Use of Dummy Variables
F.
Non-spherical
Disturbances
G.
Serial Correlation
H.
Time
Series Analysis
II.
Single-Equation
Estimation: Advanced Topics
A.
Collinearity
B.
Influence
Diagnostics
C.
Distributed
Lag Models
D.
Pooling
of Cross-section and Time-series Data
E.
Nonlinear Regression
F.
Qualitative and
Censored Response Model
III.
Multi-Equation Estimation
A.
Multi-equation
Models
B.
Identification
Issues
C.
Common
Methods of Estimation
D.
Three-stage
Least Squares
E.
Structural Analysis