《金融计量学（双语）》教学大纲

第页《金融计量学（双语）》教学大纲课程编号：06180702英文名称：FinancialEconometrics（Bilingual）学分：2+2学时：总学时96时，其中理论32时，实践64时先修课程：经济学原理,概率论与数理统计课程类别：专业方向课（选修）授课对象：应用统计学专业学生教学单位：商学院修读学期：第7学期一、课程描述和目标本课程是应用统计学学生的专业方向课程，具有理论与实践紧密结合的特点。金融计量学是应用数学方法和统计推理等计量技术，根据实际统计资料，对经济理论提出的经济关系进行数量分析的一门经济学科。教学的主要目的在于向学生介绍现代金融计量学的基础理论、模型和方法，培养学生在经济金融理论的基础上，借助计量分析软件建立金融计量模型的能力，拓宽学生分析、研究现实经济金融问题的思路，增强学生的数量分析和实际动手能力，从而为对我国金融市场和经济分析进行实证研究打下坚实的基础。通过本课程的学习，使学生在金融计量学理论知识、数理计量分析能力及经济分析实践应用等方面达到专业人才培养目标。课程目标1：素质目标。通过本课程的学习，使学生具备良好的金融行业从业人员及研究人员基本的职业道德素质，遵守金融法律法规，理解诚信立人的重要性，培养学生的团队合作意识，面使学生具备金融及研究领域的综合理论和业务素质。课程目标2：知识目标。通过本课程的学习，使学生掌握金融计量学领域的基础理论知识，具备建立模型并进行分析的操作技能，掌握计量分析软件工具的选择与使用，形成较为完整的运用数量分析理论和方法研究经济现象和解读经济政策的知识结构。课程目标3：能力目标。通过上机操作、建模分析、案例分析等多种手段使学生能够运用所学金融计量学原理解决实际问题，最终能够选择和组合合适的分析工具进行金融和经济领域的实证研究，培养学生运用相关知识解决金融和经济领域中的实际问题的综合能力。二、课程目标对毕业要求的支撑关系毕业要求指标点课程目标权重1-4.系统学习西方经济学、货币金融学、管理学、金融计量学、应用计量经济学、证券投资分析等课程，具有扎实的经济学、金融学、管理学知识。课程目标216-1.能够基于金融、经济、人文社会科学等领域的相关背景，为“数据治堵”提出解决办法，承担应有的社会责任。课程目标319-1.在实践类课程的学习过程中，合理分工，服从管理，养成通过相互学习不断提升自身能力，共同完成任务的团队意识。课程目标11三、教学内容、基本要求与学时分配序号教学内容基本要求学时教学方式对应课程目标1Introduction1-1WhatisEconometrics?1-2StepsinEmpiricalEconomicAnalysis1-3ThestructureofEconomicData?Understandthecontentandstructureofthecourse,masterthelearningmethods,objectivesandrequirementsofthecourse,andunderstandtheteachinginteractionmodeandevaluationsystemdesignofthecourse.2集中讲授1.22RegressionAnalysis–TheSimpleRegressionModel2-1DefineandDerivingtheOrdinaryLeastSquares(OLS)Estimates2-2PropertiesofOLS2-3TheEffectofchangingunitofmeasurementonOLSStatistics2-4ExpectedvaluesandvariancesoftheOLSestimatesDefinecross-sectionaldata.Understandthedefinitionofsimpleregressionmodel.LearnhowtoderiveOLSestimatesandexplaintheunitmeasurementonOLSstatistics.4集中讲授案例分析1.23RegressionAnalysis–TheMultipleRegressionModel3-1Whyusingmultipleregression?3-2MechanicsandinterpretationofOLS:Betacoefficient3-3ExpectedvaluesandvariancesoftheOLSestimates3-4EfficiencyofOLS:TheGauss-MarkovTheoremUnderstandthebasicfactsofthemultipleregressionanalysis.UnderstandtheMechanicsandinterpretationofOLS.ExplaintheclassicalassumptionsandprovethepropertiesofOLSestimatesUnderstandandproveGauss-MarkovTheorem4集中讲授案例分析1.24MultipleRegressionAnalysisInference4-1SampledistributionofOLSestimators4-2TestingHypotheses:ThetTest4-3Confidenceintervals4-4Testingmultiplelinearrestrictions:TheFTest4-5ReportingregressionresultsUnderstandthestatisticdistributionofOLSestimatorsTesthypothesesusingttestandFtestandunderstandtherelationshipbetweenthem.Leanhowtocalculatep-valueandF-valueforFtest.UnderstandwhatisR-SquareandhowtoReportregressionresults4集中讲授案例分析1.2.35FurtherIssues5-1EffectsofdatascalingonOLSStatistics5-2DifferentFunctionalForm:logarithmic,QuadraticsfunctionalformsandInteractionterms5-3MoreonGoodnessoffitandselectionofregressors5-4PredictionandresidualanalysisLearnhowthebetacoefficientschangewithresponsetoadifferentscaleofdata.Understandtheusingoflogarithmic/QuadraticsfunctionalformsandInteractiontermsMastertheskillofPredictionandresidualanalysis4集中讲授案例分析1.2.36Binary(orDummy)variables6-1DescribingQualitativeinformation6-2Defineandusingdummyvariablesformultiplecategories6-3interactionsinvolvingdummy6-4policyanalysisandprogramevaluation6-5interpretingregressionresultswithdummyvariablesMastertheusingofdummyvariablesforhypothesistest,interactionswithothervariablesandinterpretation.4集中讲授案例分析小组讨论1.2.37Heteroskedastictiyandspecificationofmodels7-1ConsequencesofHeteroskedastictiyforOLSandhowtotestit7-2WeightLeastSquaresEstimation7-3Functionalformmisspecification7-4UsingProxyvariablesforunobservedexplanatroryvariables7-5Measurementerror,Missingdata,nonrandomsamplesandoutlyingobservationsUnderstandtheConsequencesofHeteroskedastictiyforOLSandhowtotestitModifymodelsbyusingWLSModifymisspecificationofmodelsbyapplyingtests.MasterskillstocorrecttheMeasurementerror,Missingdata,nonrandomsamplesandoutlyingobservations4集中讲授案例分析小组讨论1.2.38Introductiontoregressionanalysiswithtimeseriesdata8-1Thenatureoftimeseriesdata8-2Examplesoftimeseriesregressionmodels8-3TrendsandseasonalityUnderstandwhatistimeseriesdataandthedifferencefromcrosssectionaldata.LearnhowtoapplyOLSfortimeseriesdata.Analyzethetrendsandseasonality.4集中讲授案例分析1.2.39FurtherissuesinusingOLSwithTimeSeriesData9-1Stationaryandweaklydependenttimeseries9-2AsymptoticPropertiesofOLS9-3UsinghighlypersistenttimeseriesinregressionanalysisUnderstandwhatisstationaryandnonstationarytimeseriesDefineandunderstandthedifferencebetweenweaklydependenttimeseriesandhighlypersistenttimeseriesMasterthetransformationonhighlypersistenttimeseries2集中讲授案例分析1.2.3合计32序号实验项目实验内容与要求学时类型对应课程目标1IntroductiontoStataBasictoolsandfunctionsofStataDatamanagement1.Stataisanextremelyrobustandpopulargeneralstatisticalsoftwareprogram.StudentshouldunderstandthestructureofeconomicdataandthebasictoolsofStata.2.UnderstandtheStataenvironment,howtoimportandexportdatafromdifferentformats,howStata'sintuitivesyntaxworks,datamanagementinStata,matchingandmerging,howtoanalyzesubgroupsofdata.12演示、验证1.2.32MultiplelinearRegressionwithStata2-1Datadescription2-2EstimatemultiplelinearregressionwithStata2-3UnderstandtheStataoutput1.Conductpreliminarydataexamination.LearnhowtogetdescriptivestatisticsusingStataprogramming.2.EstimatemultiplelinearregressionwithStataandunderstandtheStataoutputofR-squares,F-value,SSR,SSE,SST.3.Applyhypothesistestandexplainwhatist-value,P-value,F-valueandtheconfidenceinterval.12演示、验证、综合、设计1.2.33Modelspecification3-1ValidationofClassicalAssumption3-2Modificationsofmodels3-3Predictionsandhypothesistest1.TestforclassicalassumptionsusingStata:normality,homoskedasticityandcollinearity.2.Fixtheproblemofomittedvariables,measurementerror,missingdata,nonrandomsamplesandoutlyingobservations.3.LearnhowtousedummyvariablesinStata.4.UsingStataforpredictionandsolverealworldproblems.12演示、验证、综合、设计1.2.34Regressionontimeseriesdata4-1Timeseriesdatamodification4-2Stationaryandweaklydependenttimeseries4-3AsymptoticPropertiesofOLS4-4Usinghighlypersistenttimeseriesinregressionanalysis1.Understandwhatistimeseriesdataandthedifferencefromcrosssectionaldata.2.LearnhowtoapplyOLSfortimeseriesdata.3.Analyzethetrendsandseasonality.4.Usinghighlypersistenttimeseriesinregressionanalysis12演示、验证、综合、设计1.2.35Applyregressionanalysistoanempiricaleconomicresearchproject