计量经济学考试说明2010级.pdf

计量经济学考试说明 2010 级数理经济与数理金融 考试内容共分三部分：part A, part B, part C Part A, Basic Concepts 基本概念，共30 分 Example: Q ：Types of data for economic analysis A ：Time series data, cross-section data, pooled data and panel data 或：时间序列数据，横截面数据，混合数据和面板数据 Ten assumptions underlying the method of least squares Gauss-Markov Theorem Coefficient of determination Test of significance Decision rules for t test Decision rule for the F test Multicollinearity Heteroscedasticity Four steps of White’s General Heteroscedasticity The method of Generalized Least Squares Autocorrelation Durbin-Watson d test Dummy variable The non-nested F test Dynamic econometric model The granger causality test Nonstationary processes Cointegration 该部分主要考察基本知识，有些课本上没有答案，需要自己理解。考试时将从上面题目中选 取，题数约为8-10 题。 Part B, Questions(来自课后习题Questions 部分，以Basic Econometrics, Fifth Edition 为 准) ，共40 分 Example Q：2.3 A ：Stochastic error term is the random or nonsystematic component which is a surrogate for all those variables that are omitted from the model but that collectively affect Y. The residual term is analogous to stochastic error term, and can be regarded as an estimate of stochastic error term. 或，随机误差项是计量模型中随机或非系统性的因素，用来代表影响被解释变量 Y 但在模 型中被忽略的的那些因素（变量）。 残差项类似与误差项，用来作为对随机扰动项的估计。 2.9/2.10/2.11/2.12 3.1/3.9/3.10 5.8 7.1/7.8 8.5/8.7/8.8 9.2/9.5/9.8/9.9/9.11 10.2/10.24 11.6/11.9 12.3 13.11 13.18 17.5 17.12 17.18 该部分综合考察知识与运用能力。考试将从上述题目中选取8-10 题。 Part C Empirical analysis (经验分析，共30 分) （题目取材来自课后习题empirical questions 部分或课本中举的例子，题目可能与课文相同，可能有修改） 课后习题： 3.19/3.21 5.14 7.20 8.17/8.27 11.16/11.22 12.34/12.35 17.31 21.23 21.26 课本中重要例子 Child mortality Teachers’ salaries Consumption expenditure Income-money supply model The demand for money in Canada Causality between money and interest rate in Canada Income inequality and economic growth 该部分主要考察分析能力，两道大题，每题 15 分。课后习题数量已尽量删减，不过不推荐 花过多的时间在上面。课本中这几个重要例子请多花时间复习，注意每