1 扩展的单方程计量经济学模型.pdf

Advanced Econometrics for Graduates 12/15/2005 -- : • • • • • Email: bchyang@ 12/15/2005 -- 1 • 32 • • • • 12/15/2005 -- 1. 2000 2. 2005 3. 2002 4. Gujarati D., Basic Econometrics3 McGraw-Hill 2000 5. R S Pindyck and D L Rubinfeld, Econometric models and economic forecasts, McGraw-Hill Companies Inc.. 1999.11 6. Dynamic econometrics, Hendry D. F. 1998.4. 7. 19998 8. .C. 2002. 9. 1997Box G.E.P and Jenkins G. M., Time Series Analysis, Forecasting and Control, Holden-day Inc. 1994. 12/15/2005 -- 2 • 1. (Chow , , ) • 2 AR(p), MA(q), ARMA(p, q), ARIMA(p, d, q) • 3DF (DFADF • 4 Granger) • *5. VAR VECM • 6ARCH GARCH 12/15/2005 -- • TSP (Time Series Processor) V. 4.3 (Palo Alto, California,USA) • EViews (Econometric Views) 3.0, 4.0, 5.0 QMS • PcGive (Personal Computer, General Instrumental Variable Estimation) V. 8.0, 9.0, 10.0, (J.A. Doomik and D.F. Hendry) • PcFiml (Personal Computer, Full Information Maximum Likelihood Estimation) V. 9.0, 10.0 • RATS (ARCH, GARCH) • Microfit (H. Pesaran and B. Pesaran, Oxford University) • Mathematica V. 3.0, 3.1, 4.0 • S-PLUS V. 5.0 • Ox V. 1.11, • GAUSS V. 3.2.19 (Kent, Washengton, USA) • SPSS, SAS 12/15/2005 -- 3 • • • /mii/hyzw • • • APEC .sg • IBM/investor • • • /dataset/yearbook 12/15/2005