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上海交通大学研究生高级计量经济学课件
适用于硕士及博士研究生学习
上海交通大学高级计量经济学课件
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Shanghai Jiaotong UniversityPostgraduate Syllabus
Ⅰ、Course Basic Information
Course No.：C120738
Course Name：Advanced Econometrics II
Credits/teaching Hours： 3/51 Discussion Hours：
Experiment Hours： Course Season：Spring
Course Level：degree course; doctor course
Department：Antai College of Economics and Management
Prerequisites：advancedeconometrics I; linear algebra
Object Student：economics
Ⅱ、Course Description
This course is the main part in a Ph.D. econometrics sequence. Itprovides theory and methods of modern econometrics.
Econometrics is statistical analysis of economic and financial data. Itis widely applied to estimate economic relationship, test economic theory andevaluate government and business policies. It has also been applied tomanagement, marketing, sociology, etc.
The course develops acoherent set of econometric theory and methods for economic models. It covers discussionssuch as general regression analysis, asymptotic theory, instrumental variable(IV) estimation, generalized method of moments (GMM),and maximum likelihood estimation (MLE). Widely used econometric models,such as simultaneous equation models, panel data models and discrete choicemodels, are introduced as well. The course emphasizes the understanding ofideas and intuitions of econometric theory. At the end of the course, it isexpected that students will be able to master the theory and methods ofeconometrics, as well as to critically evaluate econometric and otherstatistical evidence.
Ⅲ、Outline of the course (tentative and subject to change)
Week 1 Introduction and reviewof prerequisites
Week 2-4 The classical multiplelinear regression model
Week 5 Asymptotic theory oflinear regression models
Week 6 Generalized regressionmodel and heteroskedasticity
Week 7 Models for panel data
Week 8 Nonlinear Regression
Week 9 Midterm exam
Week 10 Instrumental variablesestimation and 2SLS
Week 11 Simultaneous equationmodels
Week 12 Generalized method ofmoments
Week 13 Maximum likelihoodestimation
Week 14 Serial correlation
Week 15 Models for discretechoice
Week 16 Truncation, censoringand sample selection
Ⅳ、Course Requirements & Grading Policy
There will be two exams, midterm and final, 3-4homework assignments.
The course grade will be based on homeworkassignments, and both exams. The weights are: homework 30%; midterm 30%; Final40%.
Ⅴ、Recommended Textbooks
1. William H. Greene，Econometrics Analysis, Pearson Prentice Hall, 6th edition.
2. J. M. Wooldridge, Econometric Analysis ofCross Section and Panel Data, MIT Press, 2002.
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