-
首页
-
教学项目展开 / 收起
教学项目
sidenav header background
sidenav background
计量经济学1班——2014年春季学期双学位课程介绍
发布日期：2014-02-11 07:00 来源：北京大学国家发展研究院
课程简介: 学习基础的计量经济和软件应用。
上课地点: 理教207
上课时间：星期二：11-12节（19:40-21:30）; 星期日：11-12节
习题课: 星期日：9-10节, 理教207.
指定教材: Stock, James and Mark Watson: Introduction to Econometrics. Shanghai University of Finance &Economics Press.
考核标准: 平时成绩(30%)，期中考（30%），期末考（40%）
课程规则:
1 This course is NOT graded by curve. (课程分数完全透明, 且不调分)
2 Copying homework and cheating in the exam are strictly prohibited. Any violation will be reported to the university. (严格规定不得有作业抄袭与考试作弊的情事. 违反者将移送校方按校规处理).
3 No make-up exam except for medical emergency. Research field trip, taking GRE or TOFEL etc. is NOT a legitimate excuse.
重要事项：
1 期中考：4月8日，19:40-21:30
2 期末考：6月1日，TBA
3 4月6日停课。2月23日和3月2日的课18:40开始。
教学内容:
Part I Linear Regression with One Regressor (Chapter 4 and 15)
Model specification, estimation and Goodness of fit. (4-1,4-2, 4-8) Assumptions and Gauss-Markov Theorem (4-3, 15-5) Sampling distribution and Interval estimation (4-4, 4-6) Statistical Inference: t test. (4-5, 15-4) Consistency and Asymptotic normality (15-1, 15-2, 15-3) Heteroskedasticity and Weighted least squares. (4-9, 15-6)Part II Linear Regression with Multiple Regressors (Chapter 5 and 16)
OLS and LS assumptions (5-3,5-4, 16-1) Sampling distribution of OLS (5-5,16-2) Test for individual coefficients (5-6, 16-4) Tests of Joint Hypothesis (5-7, 5-8, 16-4) GLS and HSK-robust standard errors (16-2, 16-6) Omitted Variable Bias (5.1,5.11) Threats to internal validity (7.1, 7.2)Part III Nonlinear Regression Function (Chapter 6)
Log linear models (6-2) Polynomials (6.1, 6.2) Dummy variable and Interaction terms (6-3) Specification errors.Part IV Time Series Regression (Chapter 12)
Autoregressions (12-3) Autoregressive distributed lag Model (12-4, 12.5) Nonstationary Time series: Stochastic Trend and Unit root test (12-6) Nonstationary Time series: Breaks (12.7)Part V Dynamic Causal Effects (Chapter 13)
Causal effects and Erogeneity (13.2) Estimation with distributed lag Model (13-3) HAC standard errors (13-4) Estimation with strictly exogenous variables (13.5).Remark:
Review of Chapter 2 is strongly suggested.
国家发展研究院官方微信
Copyright© 1994-2012 北京大学 国家发展研究院 版权所有, 京ICP备05065075号-1
保留所有权利，不经允许请勿挪用
-
首页
-
教学项目展开 / 收起
教学项目
sidenav header background
sidenav background
计量经济学1班——2014年春季学期双学位课程介绍
发布日期：2014-02-11 07:00 来源：北京大学国家发展研究院
课程简介: 学习基础的计量经济和软件应用。
上课地点: 理教207
上课时间：星期二：11-12节（19:40-21:30）; 星期日：11-12节
习题课: 星期日：9-10节, 理教207.
指定教材: Stock, James and Mark Watson: Introduction to Econometrics. Shanghai University of Finance &Economics Press.
考核标准: 平时成绩(30%)，期中考（30%），期末考（40%）
课程规则:
1 This course is NOT graded by curve. (课程分数完全透明, 且不调分)
2 Copying homework and cheating in the exam are strictly prohibited. Any violation will be reported to the university. (严格规定不得有作业抄袭与考试作弊的情事. 违反者将移送校方按校规处理).
3 No make-up exam except for medical emergency. Research field trip, taking GRE or TOFEL etc. is NOT a legitimate excuse.
重要事项：
1 期中考：4月8日，19:40-21:30
2 期末考：6月1日，TBA
3 4月6日停课。2月23日和3月2日的课18:40开始。
教学内容:
Part I Linear Regression with One Regressor (Chapter 4 and 15)
Model specification, estimation and Goodness of fit. (4-1,4-2, 4-8) Assumptions and Gauss-Markov Theorem (4-3, 15-5) Sampling distribution and Interval estimation (4-4, 4-6) Statistical Inference: t test. (4-5, 15-4) Consistency and Asymptotic normality (15-1, 15-2, 15-3) Heteroskedasticity and Weighted least squares. (4-9, 15-6)Part II Linear Regression with Multiple Regressors (Chapter 5 and 16)
OLS and LS assumptions (5-3,5-4, 16-1) Sampling distribution of OLS (5-5,16-2) Test for individual coefficients (5-6, 16-4) Tests of Joint Hypothesis (5-7, 5-8, 16-4) GLS and HSK-robust standard errors (16-2, 16-6) Omitted Variable Bias (5.1,5.11) Threats to internal validity (7.1, 7.2)Part III Nonlinear Regression Function (Chapter 6)
Log linear models (6-2) Polynomials (6.1, 6.2) Dummy variable and Interaction terms (6-3) Specification errors.Part IV Time Series Regression (Chapter 12)
Autoregressions (12-3) Autoregressive distributed lag Model (12-4, 12.5) Nonstationary Time series: Stochastic Trend and Unit root test (12-6) Nonstationary Time series: Breaks (12.7)Part V Dynamic Causal Effects (Chapter 13)
Causal effects and Erogeneity (13.2) Estimation with distributed lag Model (13-3) HAC standard errors (13-4) Estimation with strictly exogenous variables (13.5).Remark:
Review of Chapter 2 is strongly suggested.
访问学者申请
EMAIL
北京大学
ENGLISH
