本研究室很荣幸地邀请到美国宾夕法尼亚州立大学的于晓华前来讲授计量经济学的发展前沿以及应用实践。于晓华本科毕业于我院，毕业后赴日本京都大学留学并获得硕士学位，后前往美国留学，现在是宾夕法尼亚州立大学农业经济与农村社会学系的博士研究生。本次系讲座于晓华将主要结合其在日本和美国的所学课程和研究经历，讲授计量经济学的新进展以及具体应用过程中存在的问题和解决方法，欢迎各位青年教师和研究生参与听讲。具体安排如下：

时间：2007年5月31日-6月3日

地点：明德主楼505室 36365线路检测中心实验室

主讲：美国宾夕法尼亚州立大学 于晓华

讲座内容：

1、5月31日 晚上 18：00-20：00

Review of the classical regressions and some extensions

2、6月01日 晚上18：00-20：00

MLE and Tests

3、6月02日 上午09：00-11：00

Techniques of Model Adjustment

4、6月02日 下午14：00-16：00

GLS and Panel Data

5、6月03日 上午09：00-11：00

Discrete Choice Models and Limited Dependent Models

36365线路检测中心曾寅初研究室

2007年5月28日

注意：希望得到讲座讲义和演示用数据的，请登录曾寅初研究室网站中的本系列讲座网页下载。

附：详细讲座内容

Applied Econometrics

This is an application-oriented course, designed for the graduate level students in the School of Agricultural Economics & Rural Development at Renmin University of China at the end of May, 2007. Therefore, some prerequisite of basic econometrics and mathematics is assumed to be satisfied. Application-oriented means that the course does not pay much attention on the econometric theories, such as proof of the efficiency of estimators, but focuses on the application to the economic analysis: How to construct a good model? How to estimate it? How to test it and how to explain it?

In order to understand the course materials better, learning-by–doing is considered a necessary and good tool. We will use computational software, mainly Stata 8.0 and Eviews 4.0, to construct some appropriate econometric models with some Chinese data as examples in the classes.

Text Books:

1, Greene William H., Econometric Analysis (5th Edition), Prentice Hall.2003.

2, Pindyck Robert and Danial Rubinfeld, Econometric Models and Economic Prediction (4th edition), McGraw-Hill Companies, Inc. 1998.

3, Sadoulet Elisabeth and Janvry Alain de, Quantitative Development Policy Analysis, The Johns Hopkins University Press, Baltimore and London, 1995.

4, Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, MIT Press, 1995.

5, 赵国庆 《计量经济学(第二版)》 中国人民大学出版社, 2006。

Internet Resources:

1Professor Guido Imbens, UC Berkeley

http://are.berkeley.edu/courses/ARE213/spring2006/

2 Professor Herman Bierens (Penn State),

http://econ.la.psu.edu/~hbierens/LECNOTES.HTM

3 Professor Bruce Hansen (Wisconsin)

http://www.ssc.wisc.edu/~bhansen/notes/Econometrics2006.pdf

Course Outline

0 Perspectives of Modern Economics and Frontiers of Applied Economics

1 Review of the classical regressions and some extensions

1.1 Assumptions of OLS

(Gauss –Markov)

1.2 Hypothesis tests (t-test ,F-test and Chow Test)

1.3 Frisch-Waugh Theorem

1.4 Partially Linear Model

(Application to Environmental Kuznets Curve and Industrial Organization)

1.5 Production Functions

(Cobb-Douglas, Translog and CES, )

1.6 Stochastic Frontier Function

(Technical Efficiency Measure and Productivity Economics)

1.7 Demand Analysis

(Log linear, LES, AIDS)

References: Greene, Chapter 2,3,4,6,

2 MLE and Tests

2.1 The Likelihood Function and Identification of the Parameters

2.2 Efficient Estimation

2.3 Properties of MLE

2.4 MLE of Linear Regression Model

2.5 Three Asymptotically Equivalent Tests

References: Greene, Chapter 17

3 Techniques of Model Adjustment

3.1 Multicolliearity

3.2 Missing Observations

3.3 Measuring Errors and Instrumental-Variable Estimation

3.4 Omitting Variables and Presence of Irrelevant Variables

3.5 Nonlinearity

3.6 Ramsay Reset

References: Greene, Chapter 4; Pindyck & Rubinfeld Chapter 4, 7.

4 GLS and Panel Data

4.1 GLS

4.2 Panel Data: Fixed Effects

4.3 Random Effects and Hausman Tests

4.4 Variable-coefficient models

References: Greene, Chapter 10, 11, 13, 14

5 Discrete Choice Models and Limited Dependent Models

6.1 Binary Choice Model

6.2 Multivariate Choice Model

6.3 Censored and truncated Model

6.4 Tobit and Heckman 2-step estimation

6.5 Duration and Count Data

References: Greene, Chapter 21, 22