“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:
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、
Review of the classical regressions and some extensions
2、
MLE and Tests
3、
Techniques of Model Adjustment
4、
GLS and Panel Data
5、
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
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 (5th Edition), Prentice Hall.2003.
2, Pindyck Robert and Danial Rubinfeld, Econometric Models and Economic Prediction (4th 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 (
http://econ.la.psu.edu/~hbierens/LECNOTES.HTM
3 Professor Bruce Hansen (
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
[此贴子已经被作者于2007-5-30 20:16:14编辑过]