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2014 年秋季：

計量經濟理論三：國際企業所，經濟所

計量經濟學一：財金所

時間：星期一 (A, B, C) 18:30 - 21:15

地點：管一402

 Course Syllabus (2014/09/10)

Lectures:  

          1. Ch1: Linear and Matrix Algebra (2014/09/20)

          2. Ch2: Statistical Concepts (2014/09/10)

          3. Ch3: Classical Least Squares Theory (2014/09/10)

          4. Ch4: Generalized Least Squares Theory (2014/09/10)

          5. Ch5: Elements of Probability Theory (2014/09/10)

          6. Ch6: Asymptotic Least Squares Theory: Part I (2014/09/10)

          7. Ch8: Nonlinear Least Squares Theory (2014/09/10)

          8. Ch9: Quasi-Maximum Likelihood Theory (2014/09/10)

          9. Ch10: Quasi-Maximum Likelihood: Applications (2014/09/10)

Slides:

           Analysis of Economic Data (2014/09/15)

          1. Classical Least Squares Theory (2014/10/20)

          2. Elements of Probability Theory  (2014/10/20)

          3. Asymptotic Least Squares Theory (2014/10/27)

         Sample Exam (2014/11/03)

          4. Nonlinear Least Squares Theory (2014/11/25)

          5. Quasi Maximum Likelihood Theory (2014/12/01)

          Lecture on Bootstrap-新版 (2014/12/11)

          6. Introduction to Time Series Analysis (2014/12/29)

R:

       Data set (2014/09/29)     

       Data set (2014/09/29)        

      1. Introduction_to_R.R (2014/10/15)

      2. Introduction (2014/10/15)

      3. Regression_and_simulation.R (2014/10/15)

      4. Hiebeler-matlabR (2014/10/15)

     

　

2013 年秋季：

計量經濟理論三：國際企業所，經濟所

計量經濟學一：財金所

時間：星期一 (A, B, C) 18:30 - 21:15

地點：教室異動通知 (2013/09/11)

 Course Syllabus (2013/09/09)

R:

           1. Outline (2013/0913)

           2. Hiebeler-matlabR(1) (2013/09/13)         

.          3. Introduction (2013/09/11)

           4. Unemployment_Data (2013/10/01)

           5. Introduction_to_R.R (2013/10/7)

           6. Announcement (2013/10/07)

           7. Simulations_and_Statistical_Power (2013/10/07)

Lectures:  

          1. Ch1: Linear and Matrix Algebra (2013/09/02)

          2. Ch2: Statistical Concepts (2013/09/02)

          3. Ch3: Classical Least Squares Theory (2013/09/02)

          4. Ch4: Generalized Least Squares Theory (2013/09/02)

          5. Ch5: Elements of Probability Theory (2013/09/02)

          6. Ch6: Asymptotic Least Squares Theory: Part I (2013/09/02)

          7. Ch8: Nonlinear Least Squares Theory (2013/09/02)

          8. Ch9: Quasi-Maximum Likelihood Theory (2013/09/02)

          9. Ch10: Quasi-Maximum Likelihood: Applications (2013/09/02)

Slides:

          1. Classical Least Squares Theory (2013/09/02)

          2. Elements of Probability Theory (2013/09/02)

          3. Asymptotic Least Squares Theory (2013/09/02)

          4. Nonlinear Least Squares Theory (2013/09/02)

          5. Quasi Maximum Likelihood Theory (2013/09/02)

          6. Introduction to Time Series Analysis (2013/09/02)

　

2012 年秋季：

計量經濟理論三：國際企業所，經濟所

計量經濟學一：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：教室異動通知

          期末考地點通知

Course Syllabus (2012/09/09)

R:

R Installation Instructions (2012.09.09)

Getting started with R (2012.09.09)

lecture (set up) (2012.09.17)

code (2012.09.17)

Homework 1 of R (2012.09.17)

Homework 2 of R (2012.09.24)

Data of suicide rate & other variables

code (2012.09.24)

Homework 3 of R (2012.10.15)

code (2012.10.15)

　

Lectures:

          1. Ch1: Linear and Matrix Algebra (2012/09/17)

          2. Ch2: Statistical Concepts (2012/09/17)

          3. Ch3: Classical Least Squares Theory (2012/09/17)

          4. Ch4: Generalized Least Squares Theory (2012/09/17)

          5. Ch5: Elements of Probability Theory (2012/09/17 )

          6. Ch6: Asymptotic Least Squares Theory: Part I (2012/09/17)

          7. Ch8: Nonlinear Least Squares Theory (2012/10/08)

          8. Ch9: Quasi-Maximum Likelihood Theory (2012/10/08)

          9. Ch10: Quasi-Maximum Likelihood: Applications (2012/10/08)

Slides:

          1. Classical Least Squares Theory (2012/10/15 update)

          2. Elements of Probability Theory (2012/09/17)

          3. Asymptotic Least Squares Theory (2012/09/17)

          4. Nonlinear Least Squares Theory (2012/10/08)

          5. Quasi Maximum Likelihood Theory (2012/10/08)

          6. Introduction to Time Series Analysis (2012/12/03)

Exam-ET_2010 (2012/12/24)
Exam-ET_2011 (2012/12/24)

　

2011 年秋季：

計量經濟理論三：國際企業所，經濟所

計量經濟學一：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院一號館 2F 203 教室

Course Syllabus (2011/09/18)

          Lectures:

          1. Ch1: Linear and Matrix Algebra (2011/09/18)

          2. Ch2: Statistical Concepts (2011/09/18)

          3. Ch3: Classical Least Squares Theory (2011/09/18)

          4. Ch4: Generalized Least Squares Theory (2011/09/18)

          5. Ch5: Elements of Probability Theory (2011/11/07 )

          6. Ch6: Asymptotic Least Squares Theory: Part I (2011/11/12)

          7. Ch8: Nonlinear Least Squares Theory (2011/11/28)

          8. Ch9: Quasi-Maximum Likelihood Theory (2011/12/12)

          9. Ch10: Quasi-Maximum Likelihood: Applications (2011/12/26)

          Slides:

          1. Linear Algebra (2011/09/26 update)

          2. Classical Least Squares Theory (2011/10/24)

          3. Elements of Probability Theory (2011/11/07)

          4. Asymptotic Least Squares Theory (2011/12/05)

          5. Nonlinear Least Squares Theory (2011/11/28)

          6. Quasi Maximum Likelihood Theory (2011/12/12)

          7. Introduction to Time Series Analysis (2011/01/04)

　

          Exercises for Practice in Linear Algebra (2011/09/26)

          自殺率與相關變數的資料 (Data of suicide rate & other variables)  

        R Installation Instructions

        Getting started with R (Correction at p.17) (2011/11/14)

        Homework 1 of R (2011/10/24)

        R code (2011/10/24)

        Homework 2 of R (2011/11/02)

         Homework 3 of R (2011/11/22)

         LLN& CLT (example code) (2011/11/22)

         Exam-ET_2009 (2012/01/04)

         Exam-ET_2010 (2012/01/04)

        

         

         

　

2011 年春季：

財務計量專題一：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院 貳號館 203 

Course Syllabus (2011/02/21)

        Lectures:

        1.  Lecture on Time Series Diagnostic Tests (2011/03/07)

        2.  Lecture on the Markov Switching Model (2011/03/21 update)

        3.  Lecture on Bootstrap (2011/04/18)

        4. Term Paper and Presentation Requirements (2011/04/18)

       Slides:

        1. Introduction to Time Series Analysis (2011/03/29 update)

        2. Lecture on the Markov Switching Model (2011/04/11 update)

        3. Introduction to Time Series Diagnostic Tests (2011/03/29 update)

        4. Reading list no. 2 (2011/04/18 update) 

        5. Slides: Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence (2011/04/26 update) 

        6.  Lecture on Bootstrap (2011/04/18)

        7. Large-Scale Multiple Testing without Data Snooping Bias: Methods and Applications (2011/05/02 update) 

        8. Generalized Method of Moment (2011/05/30 update)

        9. Introduction to Quantile Regression  (2011/06/13 update)

       

　

        Note:  R Installation Instructions (2011/03/07)

                  Getting Started With R (2011/03/14)

                  Homework 1 (2011/03/21 update)

                  Homework 2 (2011/03/29)

                  Homework 2: reference document (2011/03/29)

                  Homework 3 (2011/04/25)

                  Homework 4 (2011/05/02)

                 

                 

                 

2010 年秋季：

計量經濟理論三：國際企業所，經濟所

計量經濟學一：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院貳號館 204

Course Syllabus (2010/09/11 Update)

          Lectures:

          1. Ch1: Linear and Matrix Algebra (2010/09/11)

          2. Ch2: Statistical Concepts (2010/09/11)

          3. Ch3: Classical Least Squares Theory (2010/10/19 Update)

          4. Ch4: Generalized Least Squares Theory (2010/10/19 Update)

5. Ch5: Elements of Probability Theory (2010/10/19 Update)

6. Ch6: Asymptotic Least Squares Theory: Part I (2010/11/01 Update)

7. Ch8: Nonlinear Least Squares Theory (2010/11/29)

8. Ch9: Quasi-Maximum Likelihood Theory (2010/12/27 Update)

9. Ch10: Quasi-Maximum Likelihood: Applications  (2010/12/27)

          Slides:

          1. Classical Least Squares Theory (2010/09/23 Update)

Note: the changes are mainly in the section of GLS

2. Elements of Probability Theory (2010/10/04)

3. Asymptotic Least Squares Theory (2010/10/19 Update)

4. Nonlinear Least Squares Theory (2010/11/22)

5. Quasi Maximum Likelihood Theory (2010/12/20 Update)

6. Introduction to Time Series Analysis (2011/1/10 Update)

HW:

1. R_HW_20101011 (2010/10/12 Update) (有程式碼提示)

2. R_HW_20101101 (2010/11/02 Update)

 Note: R (2010/10/01 Update) 講義更新的部分是example 6以及習題第四題

　

2010 年春季：

財務應用實證：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院貳號館 204

Course Syllabus (2010/02/22)

           Lectures:

           1. Lecture on Basic Time Series Models  (2010/02/22)

           2. Lecture on Time Series Diagnostic Tests (2010/03/12 Update)

           3. Lecture on the Markov Switching Model (2010/5/17 12:15)

           Slides:

           1. Introduction to Time Series Analysis (2010/5/25 19:00 Update)

           2. The Markov Switching Model (2010/5/18 10:00)

           3. Introduction to Quantile Regression (2010/05/31 13:00)

          

              

  

計量經濟學二：財金所

時間：星期二 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院貳號館 201

Course Syllabus (2010/02/22)

          1. Ch1: Linear and Matrix Algebra (2010/02/22)

          2. Ch2: Statistical Concepts (2010/02/22)

          3. Ch3: Classical Least Squares Theory (2010/02/22)

          4. Ch4: Generalized Least Squares Theory (2010/02/22)

          5. Ch5: Elements of Probability Theory (2010/02/22)

          6. Ch6: Asymptotic Least Squares Theory: Part I (2010/02/22)

          7. Ch7: Asymptotic Least Squares Theory: Part II (2010/02/22)

          8. Ch8: Nonlinear Least Squares Theory (2010/3/17 Update)

          9. Quasi Maximum Likelihood Theory (2010/6/18 15:30 最新修正版)

         10. Introduction to Time Series Analysis (2010/5/25 19:00)

         11. Generalized Method of Moment (2010/6/18 15:30 最新修正版)

          

  修正：作業 9.1, 題目中 for all 應該是 for some.

       

　

         

2009 年秋季：

計量經濟學一：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:20

地點：台大管理學院貳號館 204

Course Syllabus (2009/09/07)

           1. Elements of Matrix Algebra (2009/09/07)

           2. Ch1: Linear and Matrix Algebra (2009/09/28)

           3. Ch2: Statistical Concepts (2009/09/28)

           4. Ch3: Classical Least Squares Theory (2009/09/28)

           5. Ch4: Generalized Least Squares Theory (2009/11/02 Update)

           6. Ch5: Elements of Probability Theory (2009/11/03 Update)

           7. Ch6: Asymptotic Least Squares Theory: Part I (2009/12/21 Update)

           8. Ch7: Asymptotic Least Squares Theory: Part II (2009/12/14 Update)

　

R_Note_Fall 2009 (2009/11/04 Update)

R_Exercises_Fall 2009 (2009/11/04)

　

2009 年春季：

財務應用實證：財金所

時間：星期一 (5, 6, 7) 13:20 - 16:20

地點：台大管理學院壹號館第一會議室

Course Syllabus (2009/04/20)

           1. Time Series Diagnostic Tests

           2. Lecture on Bootstrap (2009/05/22)

           3. Lec-HAC_0802 (2009/04/20)

R_Note

　

2007 年春季：

計量經濟理論（四）：經濟所、國際企業所; 計量經濟學（二）：財金所

時間：星期一 (6, 7, 8) 14:20 - 17:10

地點：台大管理學院貳號館 202 教室

Course Syllabus

ET: Introduction to Econometric Theory

Contents

1. Linear and Matrix Algebra

2. Statistical Concepts

3. Classical Least Squares Theory

4. Generalized Least Squares Theory

5. Elements of Probability Theory  

6. Asymptotic Least Squares Theory (2007/3/2)

7. Asymptotic Least Squares Theory : Part II (2007/3/22)

8. Nonlinear Least Squares Theory  (2007/4/27)

9. The Quasi-Maximum Likelihood Method: Theory   (2007/5/21)

10. Quasi-Maximum Likelihood: Applications  (2007/5/25)

KS1: Lecture Notes on Robust Tests (2007/2/26)

KS2: Lecture Notes on Basic Time Series Analysis  (2007/5/28)

KS3: Lecture Notes on Quantile Regression

KS4: Lecture Notes on Time Series Diagnostic Tests (2007/6/4)

Demostration of R (2007/6/6)

Introduction to R

Simulation (2007/3/3)

Slides: HAC Estimation and KVB Approach (2007/3/12)

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2004 年秋季：

計量經濟理論（一）：財金系; 計量經濟理論（三）：經濟系

時間：星期一 (6, 7, 8) 14:20 - 17:10

地點：台大管理學院貳號館 301 教室

Course Syllabus

Lecture Notes

I. Elements of Matrix Algebra

II. Introduction to Econometric Theory

Contents

1. Linear and Matrix Algebra

2. Statistical Concepts

3. Classical Least Squares Theory

4. Generalized Least Squares Theory

5. Elements of Probability Theory

6. Asymptotic Least Squares Theory

7. Asymptotic Least Squares Theory : Part II 

8. Nonlinear Least Squares Theory 

9. The Quasi-Maximum Likelihood Method: Theory (2004/12/27)

III. Supplemental Reading

A Note on Robust Hypothesis Testing 

Basic Time Series Analysis  (2005/1/2)

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2003 年秋季: 計量經濟理論（一）

時間：星期一 (6, 7, 8)

地點：台大管理學院管壹 204 教室

Course Syllabus

Lecture Notes

I. Elements of Matrix Algebra

II. Introduction to Econometric Theory

Contents

1. Linear and Matrix Algebra

2. Statistical Concepts

3. Classical Least Squares Theory

4. Generalized Least Squares Theory

5. Elements of Probability Theory

6. Asymptotic Least Squares Theory

7. Asymptotic Least Squares Theory : Part II

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2003 年春季：應用財務計量經濟學

Course Syllabus

Guidelines for Term Papers

Lecture Notes

I. Lecture on Basic Time Series Models (March 6, 2003)

II. Lecture on the Markov Switching Model (March 8, 2003)

III. Lecture on Time Series Diagnostic Tests (March 26, 2003)

IV. A Note on Robust Hypothesis Testing

V. An Introduction to Quantile Regression

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