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Institute of Business and Management

National Chiao Tung University

Course ID


Course Name


Credit hours



Jin-Li Hu




Ramanathan, R. (2002), Introductory Econometrics with Applications, 5th ed., Mason (Ohio): South-Western.


1.      Maddala, G.S. (2001), Introduction to Econometrics, 3rd ed., New York: John Wiley & Sons, LTD.

2.      Intriligator, M., R. Bodkin, and C. Hsiao (1996), Econometric Models, Techniques, and Applications, New Jersey: Prentice-Hall.

3.      Maddala, G.S. (1986), Limited-Dependent and Qualitative Variables in Econometrics, Cambridge: Cambridge University Press.

4.      Hsiao, C. (1986), Analysis of Panel Data, Cambridge: Cambridge University Press.

5.      TSP, International,, with Downloadable Reference Manuals.

6.      TSP examples built by Stanford University,

7.      WINKS Basic Statistics,


Objective of the Course

This course emphasizes how to correctly apply econometrics to management and financial studies. NCTU has bought a permanent site license of TSP 4.5 in 2004 which allows students to practice econometric skills on campus.


1.      Introduction of econometrics

2.      The basic linear regression model

3.      Extensions of the simple linear regression model

4.      Applications to firms; production functions and cost functions

5.      Applications to households; demand analysis

6.      Estimation of simultaneous-equations Systems: 2SLS, 3SLS, SUR

7.      Regression topics: Maximum likelihood, Tobit, Logit, Probit

8.      Stochastic Frontiers

9.      Time series analysis: #060;/span>AR1, ARMA, ARIMA, ARCH, GARCH, VAR

10.  Estimation of panel data

11.  Applications: capital asset pricing model, CAPM

12.  Applications: estimating a fundís performance

13.  Applications: event study

14.  Applications: equity markets

15.  Application: investment strategy

16.  Applications to industrial analysis

Course requirements

Class attendance (30%), homework (30%), oral presentation (20%), term paper (20%)