Type of Credit: Required
Credit(s)
Number of Students
此課程不加簽。
This course is application-driven. We will introduce basic econometric methods to details, but only limited amount of derivation will be included.
能力項目說明
This course will introduce basic econometric methods which are used to analyze data in finance and other social sciences. The purpose of this course is to equip students with ability to understand empirical analyses presented to them and to conduct empirical research of their own.
Week 1 Introduction
Week 2 Simple Regression Model
Week 3 Simple Regression Model; Multiple Regression Analysis: Estimation
Week 4 Multiple Regression Analysis: Inference
Week 5 Qualitative Information
Week 6 Heteroskedasticity
Week 7 Panel Data Models
Week 8 Limited Dependent Variable Models
Week 9 Midterm Exam
Week 10 Regression with Time Series Data
Week 11 Further Time Series Issues
Week 12 Serial Correlation and Heteroskedasticity in OLS
Week 13 Serial Correlation and Heteroskedasticity in OLS
Week 14 IV and 2SLS
Week 15 IV and 2SLS
Week 16 Final Exam
Midterm Exam 50%: computer exam
Final Exam 50%: computer exam
Textbook:
Wooldridge (2020) Introductory Econometrics: A Modern Approach, the 7th edition
Reference:
Brooks (2008) Introductory Econometrics for Finance, 2nd Edition.
Boehmer, Broussard and Kallunki (2002) Using SAS in Financial Research
| 書名 Book Title | 作者 Author | 出版年 Publish Year | 出版者 Publisher | ISBN | 館藏來源* | 備註 Note |
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Please see the course page on Moodle.