中级计量经济学1班——2011年春季学期双学位课程介绍

发布日期:2011-02-21 06:17    来源:北京大学国家发展研究院

2011年 北京大学国家发展研究院 双学位计量经济学一班

 

课程简介: 学习基础的计量经济原理

上课地点: 理教213

上课时间:星期二:7-8节(15:10-17:00); 星期六:9-10节(17:40-19:30)

习题课: 星期六:11-12节(19:40-21:30), 理教213.

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%)

课程时间的微调:

2月26, 3月5日, 3月12日, 3月19日的上课时间为: 9-11节.

课程规则:

1 Generally, this course is NOT graded by curve. However, transparent grading policy is upheld. (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.

 

教学内容:

Part I Linear Regression with One Regressor (Chapter 4 and 15)

(a)    Model specification, estimation and Goodness of fit. (4-1,4-2, 4-8)

(b)   Assumptions and Gauss-Markov Theorem (4-3, 15-5)

(c)    Sampling distribution and Interval estimation (4-4, 4-6)

(d)   Statistical Inference: t test. (4-5, 15-4)

(e)    Consistency and Asymptotic normality (15-1, 15-2, 15-3)

(f)    Heteroskedasticity and Weighted least squares. (4-9, 15-6)

 

Part II Linear Regression with Multiple Regressors (Chapter 5 and 16)

(a)    OLS and LS assumptions (5-3,5-4, 16-1)

(b)   Sampling distribution of OLS (5-5,16-2)

(c)    Test for individual coefficients (5-6, 16-4)

(d)   Tests of Joint Hypothesis (5-7, 5-8, 16-4)

(e)    GLS and HSK-robust standard errors (16-2, 16-6)

(f)    Omitted Variable Bias (5.1,5.11)

(g)   Threats to internal validity (7.1, 7.2)

 

Part III Nonlinear Regression Function

(a)    Log linear models (6-2)

(b)   Polynomials (6.1, 6.2)

(c)    Dummy variable and Interaction terms (6-3)

(d)   Specification errors.

 

Part IV Time Series Regression

(a)    Autoregressions (12-3)

(b)   Autoregressive distributed lag Model (12-4, 12.5)

(c)    Nonstationary Time series: Stochastic Trend and Unit root test (12-6)

(d)   Nonstationary Time series: Breaks (12.7)

 

Part V Dynamic Causal Effects

(a)    Causal effects and Erogeneity (13.2)

(b)   Estimation with distributed lag Model (13-3)

(c)    HAC standard errors (13-4)

(d)   Estimation with strictly exogenous variables (13.5).

 

Remark:

Review of Chapter 2 is strongly suggested.