FIN
411: ECONOMETRICS
Spring 2000
Professor Pin-Huang Chou
choup@cc.ncu.edu.tw
886-3-4227151 ext 6270
http://www.mgt.ncu.edu.tw/~chou
Introduction
This is a course in introductory econometrics. This means
that it will cover statistical topics that are of interest in econometrics
and probably other related fields. Basically it will cover linear regression
analysis of single-equation and multiple-equation models. The course in
intended as an introduction to econometric models, and to be a useful prerequisite
to further study in advanced (theoretical) econometrics, especially that
is of interest to (empirical) study in finance.
The prerequisites for the course include a basic knowledge
of calculus and statistics. Students should have had at least one semester
course in statistics.
There will be a midterm on Tuesday, April 25, and a final
exam on Tuesday, June 20. There will also be some problem sets to do during
the semester, and hopefully some that require computing with certain econometric
softwares (such as SAS and Eview). I will introduce the use of SAS software
and hand out some sample programs in class. In addition, there may be a
group-project to be due and presented. I shall discuss with you in class.
Textbooks
The textbook for this course is Hill, Griffiths, and Judge,
1997, {\it Undergraduate ECONOMETRICS}, John Wiley and Sons.
Grading
| Midterm exam |
30% |
| Final exam |
30% |
| Assignments |
10% |
| Project |
20% |
| Class participation |
10% |
Class Hours: Tuesday, 2:00 -- 5:00 PM.
Old Exams
Midterm
1999
Midterm
1999 (Makeup test)
Final
1999
Sample Programs
1. DW.sas
2. Heter1.sas
3. ARIMA.sas
4. Chowtest.sas
5. Autoreg.sas
6. Probit.sas
Final Exam
* (Take home exam, 25 points) Fit an appropriate ARIMA
model for the S&P 500 index using daily data from 1990 to 1995 .
Download the Standard & Poor's 500 index level:
Click
here to download the file: SP500.prn