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

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.