FIN 605: ECONOMETRICS
Fall 2022
Professor Pin-Huang Chou
choup@cc.ncu.edu.tw
886-3-4227151 ext 66270
http://www.mgt.ncu.edu.tw/~chou
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 are a basic knowledge of statistics and
a little bit of matrix algebra. Students should have had at least one semester
course in statistics. There is no requirement for linear algebra, but some
familiarity with matrices is necessary.
There will be a midterm and a final exam, the dates of which will be
announced later. There will also be some problem sets to do during the semester, and hopefully some that require computing with certain
econometric software (e.g., SAS, EViews, R, Matlab); being familiar with some econometric software(s) will be
very helpful when you are in the stage of writing a thesis.
Textbook：Pin-Huang Chou, 2022, Econometeics:
Theory, Concept and Applications, Yehyeh Publishing
Co.
1.
Introduction
2.
Review of Statistics (1):
Probability
3.
Review of Statistics (2):
Estimation and hypothesis testing
4.
Matrix algebra
5.
Classical linear regression
models
6.
Additional topics on CLRM
7.
Dummy variables
8.
Analysis under non-spherical
disturbances
9.
Heteroscedasticity
10.
Autocorrelation
11.
Generalized method of moments
12.
Discrete and limited-dependent variables
models: A premier