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Institute of Business and Management

National Chiao Tung University

Course ID

IBM6013

Course Name

Econometrics

Credit hours

3

Instructor

Jin-Li Hu

Prerequisites

Statistics

Textbooks

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

References

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, http://www.tspintl.com/, with Downloadable Reference Manuals.

6.      TSP examples built by Stanford University, http://www.stanford.edu/~clint/tspex/.

7.      WINKS Basic Statistics, http://www.texasoft.com/tutindex.html.

 

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.

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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%)

Correspondence

E-mail: jinlihu@yahoo.com

URL: http://jinlihu.tripod.com