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Econometrics

Econometrics. Course Syllabus. Personal Information. Instructor Name: Ming-Yuan Leon Li Instructor Tel: Ext 53421 E-mail: lmyleon@mail.ncku.edu.tw Office Hours: Monday: 10:30-12:00 AM Thursday: 2:00-3:30 PM Office Number: 63315. Personal Information. Current Position:

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Econometrics

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  1. Econometrics Course Syllabus

  2. Personal Information • Instructor Name: Ming-Yuan Leon Li • Instructor Tel: Ext 53421 • E-mail: lmyleon@mail.ncku.edu.tw • Office Hours: • Monday: 10:30-12:00 AM • Thursday: 2:00-3:30 PM • Office Number: 63315

  3. Personal Information • Current Position: • Associate Professor, Department of Accountancy and Institute of Finance and Banking, National Cheng Kung University (NCKU), Taiwan • Past position: • Associate Professor and Chair, Department of Banking and Finance, National Chi Nan University (NCNU), Taiwan

  4. Personal Information • Research interests: • Financial Risks Estimation • Stochastic Volatility • Empirical Study of Capital Asset Pricing • International Portfolio Management • International Finance

  5. Personal Information • Publications: • No. of papers published in SSCI international journals: 7 (5 of them are single-authored) • No. of papers published in Taiwan’s SSCI journals: 6 • Two papers are now under review in the 2nd round in two A-level SSCI journals

  6. Course Descriptions/Objectives • Help students to better understand the topics related to "Econometrics" by textbook studying and extra handouts in the class. • The goals of this course are the following ： • (1) Formulation of econometrics, that is, formulation of economic (or financial) models in an empirically testable form. Usually there are several ways of formulating the econometric model from an economic model because we have to choose the functional form, the specification of the stochastic structure of the variables, and so on. This part constitutes the specification aspect of the econometric work. • (2) Estimation and testing of these models with observed data • (3) Use of these models for prediction and policy purposes

  7. Grading • 1st Exam (25%): held in the 7th week (April, 1 to 7) • 2nd Exam (25%): held in the 13th week (May, 13 to 19) • 3rd Exam (30%): held in the 19th week (June, 24 to 30) • Class participation (20%)

  8. Grading • Class participation • Homework • Writing and oral reports • Participation rate • Since It is a Ph.D. training course, you are encouraged to participate actively in classroom discussion. In order to maximize your learning and to receive credit for your classes, you must attend at least 80% of classes. • Teacher will follow the textbook to present the related important topics of Econometrics. It is expected that every student attend all classes and take all examinations when scheduled.

  9. Textbook • Maddala, G.S., Introduction to Econometrics • Two Supplements • Hamilton, J.D., Time Series Analysis • Judge, G.G. et. al., Introduction to the Theory and Practice of Econometrics

  10. Course Calendar/Schedule • Before 1st Exam: • The Linear Regression Model (Ch 1 to Ch 4) • Chapter 5 Heteroskedasticity • Chapter 6 Autocorrelation • Between 1st and 2nd Exam: • Chapter 7 Multicollinearity • Chapter 8 Dummy variables and truncated models • Chapter 9 Simultaneous equations models • After 2nd Exam: • Chapter 13 Introduction to time-series analysis • Chapter 14 Vector autoregressions, unit roots, and cointegration • Chapter 15 Panel Data Analysis

  11. Course Calendar/Schedule • Introduction to three nonlinear models: Markov-switching, Threshold and Quantile models • Computer Programs: E-views, Gauss

  12. Slides • The slides in PowerPoint • How to find them • My personal homepage • http://140.116.51.3/chinese/faculty/mingyuan/myweb11/index.htm • Some suggestions • Download them and study them before the class

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