Econometrics

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Econometrics

• Course Syllabus

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Personal Information

• Instructor Name Ming-Yuan Leon Li
• Instructor Tel Ext 53421
• E-mail lmyleon_at_mail.ncku.edu.tw
• Office Hours
• Monday 1030-1200 AM
• Thursday 200-330 PM
• Office Number 63315

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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

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Personal Information

• Research interests
• Financial Risks Estimation
• Stochastic Volatility
• Empirical Study of Capital Asset Pricing
• International Portfolio Management
• International Finance

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Personal Information

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

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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

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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)

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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.

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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

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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

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Course Calendar/Schedule

• Introduction to three nonlinear models
  Markov-switching, Threshold and Quantile models
• Computer Programs E-views, Gauss

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Slides

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

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