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sidenav header background计量经济学一班—2010年春季学期双学位课程介绍
发布日期：2010-03-01 12:28 来源：北京大学国家发展研究院
2010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117
上课时间：星期一：11-12节（19:10-21:00）; 星期六：7-8节（14:40-16:30）
实习课: 星期六：9-10节（16:50-18:40）, 理教117.
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 Generally, this course is NOT graded by curve. Transparent grading policy is upheld.
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.
教学计划
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.
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教学项目展开 / 收起
sidenav background教学项目
sidenav header background计量经济学一班—2010年春季学期双学位课程介绍
发布日期：2010-03-01 12:28 来源：北京大学国家发展研究院
2010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117
上课时间：星期一：11-12节（19:10-21:00）; 星期六：7-8节（14:40-16:30）
实习课: 星期六：9-10节（16:50-18:40）, 理教117.
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 Generally, this course is NOT graded by curve. Transparent grading policy is upheld.
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.
教学计划
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.
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