担当教員一覧
詳細情報
授業の目的／Course Objective The goal of this class is to have knowledge of elementary econometrics in graduate level. After taking this class, students can study more advanced econometrics for themselves.
履修条件・受講条件／Requirement / Prerequisite This class is based on Statistics and Econometrics, which are provided by Department of Economics, and Econometrics I, provided by Graduate School of Economics.
講義内容／Course Content To achieve the above goal, the following contents are lectured. We aim to learn basic concepts of econometrics and apply them.
1. Simple Regression (Review of Econometrics for undergraduate
2. Multiple Regression using Matrix
3. Review of Matrix
4. Multiple Regression
5. Restricted OLS
6. F Distribution (Restricted and Unrestricted OLS)
7. Generalized OLS (GLS)
8. MLE
9. Asymptotic Theory
10. Consistency and Asymptotic Normality of OLS
11. Instrumental Variable
12. Large Sample Test
13. Heteroscedasticity
14. Auto-correlation
15. Specification Error
16. Multi-collinearity
17. Time Series Analysis
18. Unit Root and Co-integration
19. GMM (Generalized Method of Moments)
We proceed the above contents in order. However, they are planned for now. We change the contents of the class by progress.
教科書／Textbooks The handouts are distributed.
参考文献／Reference W.H. Greene (2012), Econometric Analysis (7th ed.)
J.D. Hamilton (1994), Time Series Analysis
成績評価／Grading Policy The grade is based on the final exam and some homework.
コメント／Other Remarks If you are absent from the class, you will not be able to understand at all.
