後期 水曜日 ４講時 経済学部第３講義室. 単位数/Credit(s): 2. 担当教員/Instructor: KO IAT MENG. 対象学年/Eligible Participants: 3・4. 履修年度: 2024. 科目ナンバリング/Course Numbering: EAL-ECO391E. 使用言語/Language Used in Course: English.
Advanced Econometrics(Special Lectures)II
ＫＯ ＩＡＴ ＭＥＮＧ
This course is one-semester advanced level econometrics. The prerequisites are Econometrics I, II, and Advanced Econometrics I. This course should be regarded as the second PhD level econometrics course and will cover various asymptotic theories, with an emphasis in dependent samples. Time series econometric models will be covered.
The students are expected to have a much deeper understanding of modern econometrics. The topics covered in this course are essential for rigorous economic research either empirically or theoretically.
Asymptotic Theory with Dependent Sample (Hayashi Chapter 2; Hansen Chapter 14; Hong Chapter 5
- Stationary and Ergodicity
- Martingale and Martingale Difference
- WLLN and CLT for ergodic time series
Linear Time Series Regression Models (Hansen Chapter 14; Hong Chapter 5)
- Static, (Autoregressive) Distributed Lag
- Granger Causality
ARMA Linear Processes & GARCH (Hamilton Chapter 3–5, 21; Hansen Chapter 14; Hayashi Chapter 6; Hong Chapter 9)
- Wold decomposition
- GARCH
- MLE & QMLE
Dynamic Panel Data Model (Hayashi Chapter 3; Hansen Section 17.36–17.42)
- Generalized method of moment
- Anderson-Hsiao, Arellano-Bond
- Blundell-Bond
VAR Model (Hamilton Chapter 11; Hansen Chapter 15)
Unit-Root Econometrics (Hamilton Chapter 17; Hansen Chapter 16; Hayashi Chapter 9)
- Unit root test
Cointegration (Hamilton Chapter 19; Hansen Chapter 16; Hayashi Chapter 10)
Note: We may not be able to cover all topics due to time constraints. The contents will be adjusted accordingly.
Assignments (40%)
Mid-term exam (30%)
Final exam (30%)
Google Classroom: omwezm5
Lecture slides will be distributed. No single textbook will be exactly followed. Selected chapters from different textbooks will be listed as reading materials.