計量経済学特論

(1)秋学期2単位・講義および演習
(2)設置「計量経済学中級」を履修済であるか，もしくはそれと同程度のレベルの知識を前提とする。講義，履修者の報告，補足説明，コンピュータあるいはパソコン演習の形式を，春学期，秋学期とも採り入れる。

(3): (a)定常過程
(b)単位根検定
(c)共和分EG テスト
(d)共和分Johansen 検定
(e) ARCH モデル

(4)
1.蓑谷千凰彦『計量経済学の理論と応用』（日本評論社）
2. Greene, W. H., Econometric Analysis, 4th ed., Prentice Hall, 2000.

(5)
1. Judge, G. G., Hill, R. C., Griffiths, W.E., Lutkepohl, H., Lee, T. C., Introduction to the Theory and Practice of Econometrics, 2nd ed., John Wiley & Sons, 1988
2. 1と同じ著者達による
The Theory and Practice of Econometrics, 2nd ed., John Wiley & Sons, 1985
3. Davidson, R., Mackinnon, J. G., Estimation and Inference in Econometrics, Oxford Uni-versity Press, 1993
4. Griffiths, W. E., Hill, R. C., Judge, G. G., Learning and Practicing Econometrics, John Wiley & Sons, 1993
5. Spanos, A., Statistical Foundations of Eco-nometric Modelling, Cambridge University Press, 1986
6. Hendry, D. F., Dynamic Econometrics, Ox-ford University Press, 1995
7. Banerjee, A., Dolado, J., Galbraith, J. W., Hendry, D. F., Co integration, ErrorCorrec-tion, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, 1993
8. Hamilton, J. D., Time Series Analysis, Princeton University Press, 1994
9. Charemza, W. W., Deadman, D. F., New Directions in Econometric Practice, 2nd. ed., Edward Elgar, 1997
10. Baltagi, B. H., Econometrics, Springer, 1998
11. Rund, P. A., An Introduction to Classical Econometric Theory, Oxford University Press, 2000.
12. Patterson, K., An Introduction to Applied Econometrics ―A Time Series Approach, Macmillan Press, 2000.

講義一覧へ