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“计量经济学：发展前沿与应用实践”

系列讲座

我们很荣幸地邀请到美国宾夕法尼亚州立大学于晓华前来我院，讲授计量经济学的发展前沿以及应用实践。欢迎各位研究生参与听讲。具体安排如下：

时间：2007年5月31日-6月3日

地点：明德主楼505室 农业与农村发展学院实验室

主讲：美国宾夕法尼亚州立大学 于晓华

讲座内容：1、5月31日 晚上 18：00-20：00

Review of the classical regressions and some extensions

2、6月01日 晚上18：00-20：00

MLE and Tests

3、6月02日 上午09：00-11：00

Techniques of Model Adjustment

4、6月02日 下午14：00-16：00

GLS and Panel Data

5、6月03日 上午09：00-11：00

Discrete Choice Models and Limited Dependent Models

中国人民大学农业与农村发展学院曾寅初研究室

2007年5月28日

Applied Econometrics

This is an application-oriented course, designed for the graduate level students in the School of Agricultural Economics & Rural Development at Renmin University of China at the end of May, 2007. Therefore, some prerequisite of basic econometrics and mathematics is assumed to be satisfied. Application-oriented means that the course does not pay much attention on the econometric theories, such as proof of the efficiency of estimators, but focuses on the application to the economic analysis: How to construct a good model? How to estimate it? How to test it and how to explain it?

In order to understand the course materials better, learning-by–doing is considered a necessary and good tool. We will use computational software, mainly Stata 8.0 and Eviews 4.0, to construct some appropriate econometric models with some Chinese data as examples in the classes.

Text Books:

1, Greene William H., Econometric Analysis (5^th Edition), Prentice Hall.2003.

2, Pindyck Robert and Danial Rubinfeld, Econometric Models and Economic Prediction (4^th edition), McGraw-Hill Companies, Inc. 1998.

3, Sadoulet Elisabeth and Janvry Alain de, Quantitative Development Policy Analysis, The Johns Hopkins University Press, Baltimore and London, 1995.

4, Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, MIT Press, 1995.

5, 赵国庆 《计量经济学(第二版)》 中国人民大学出版社, 2006。

Internet Resources:

１Professor Guido Imbens, UC Berkeley

http://are.berkeley.edu/courses/ARE213/spring2006/

2 Professor Herman Bierens (Penn State),

http://econ.la.psu.edu/~hbierens/LECNOTES.HTM

3 Professor Bruce Hansen (Wisconsin)

http://www.ssc.wisc.edu/~bhansen/notes/Econometrics2006.pdf

Course Outline

0 Perspectives of Modern Economics and Frontiers of Applied Economics

1 Review of the classical regressions and some extensions

1.1 Assumptions of OLS

(Gauss –Markov)

1.2 Hypothesis tests (t-test ,F-test and Chow Test)

1.3 Frisch-Waugh Theorem

1.4 Partially Linear Model　

（Application to Environmental Kuznets Curve and Industrial Organization）

1.5 Production Functions

(Cobb-Douglas, Translog and CES, )

1.6 Stochastic Frontier Function

(Technical Efficiency Measure and Productivity Economics)

1.7 Demand Analysis

(Log linear, LES, AIDS)

　References: Greene, Chapter 2,3,4,6,

2 MLE and Tests

2.1 The Likelihood Function and Identification of the Parameters

2.2 Efficient Estimation

2.3 Properties of MLE

2.4 MLE of Linear Regression Model

2.5 Three Asymptotically Equivalent Tests

References: Greene, Chapter 17

3 Techniques of Model Adjustment

3.1 Multicolliearity

3.2 Missing Observations

3.3 Measuring Errors and Instrumental-Variable Estimation

3.4 Omitting Variables and Presence of Irrelevant Variables

3.5 Nonlinearity

3.6 Ramsay Reset

References: Greene, Chapter 4; Pindyck & Rubinfeld Chapter 4, 7.

4 GLS and Panel Data

4.1 GLS

4.2 Panel Data: Fixed Effects

4.3 Random Effects and Hausman Tests

4.4 Variable-coefficient models

References: Greene, Chapter 10, 11, 13, 14

5 Discrete Choice Models and Limited Dependent Models

6.1 Binary Choice Model

6.2 Multivariate Choice Model

6.3 Censored and truncated Model

6.4 Tobit and Heckman 2-step estimation

6.5 Duration and Count Data

References: Greene, Chapter 21, 22

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