1
课程详述
COURSE SPECIFICATION
以下课程信息可能根据实际授课需要或在课程检讨之后产生变动。如对课程有任何疑问，请联
系授课教师。
The course information as follows may be subject to change, either during the session because of unforeseen
circumstances, or following review of the course at the end of the session. Queries about the course should be
directed to the course instructor.
1.
课程名称 Course Title
计量经济学 Econometrics
2.
授课院系
Originating Department
数学系 Department of Mathematics
3.
课程编号
Course Code
FMA301
4.
课程学分 Credit Value
3
5.
课程类别
Course Type
专业核心课 Major Core Courses
6.
授课学期
Semester
春季 Spring
7.
授课语言
Teaching Language
中英双语 English & Chinese
8.
授课教师、所属学系、联系方
式（如属团队授课，请列明其
他授课教师）
Instructor(s), Affiliation&
Contact
（For team teaching, please list
all instructors）
杨燕，数学系
第一教学楼 313
yangy3@sustc.edu.cn
0755-8801-5914
Yan Yang, Department of Mathematics
Rm313, The first Teaching Building
yangy3@sustc.edu.cn
0755-8801-5914
9.
实验员/助教、所属学系、联系
方式
Tutor/TA(s), Contact
Grader: 赵恒煜，慧园 3 栋 516，zhaohy@mail.sustc.edu.cn
10.
选课人数限额(可不填)
Maximum Enrolment
（Optional）
授课方式
Delivery Method
讲授
Lectures
习题/辅导/讨论
Tutorials
实验/实习
Lab/Practical
其它(请具体注明)
Other（Please specify）
总学时
Total
11.
学时数
Credit Hours
48
复习、考试（2 周） 6
Revision & Exam (2
weeks) 6-hours
48
2
12.
先修课程、其它学习要求
Pre-requisites or Other
Academic Requirements
数理统计（MA204）（或概率论与数理统计（MA212））
Mathematical Statistics(MA204) (or Probability and Statistics(MA212))
13.
后续课程、其它学习规划
Courses for which this course
is a pre-requisite
金融风险管理(FMA304)，金融统计，
Financial risk management, Financial statistics
14.
其它要求修读本课程的学系
Cross-listing Dept.
教学大纲及教学日历 SYLLABUS
15.
教学目标 Course Objectives
The main objectives of the course are to introduce students to basic econometrics techniques and to prepare them to do
their own applied work. Students are encouraged to think of the course as a preparation toward their thesis research
project.
16.
预达学习成果 Learning Outcomes
The completion of this course would help students to be familiar with some basic econometrics models and techniques
of analysis such as The Simple Regression Model, Multi-variate Regression Analysis, Inference in the Multi-variate
Regression Model, Asymptotic Properties of OLS, Heteroscedasticity, Instrumental Variables and two stage least
square, Introduction to Panel Data Methods, Maximum Likelihood, Limited Dependent Variable Models. This course will
train students to develop abilities to conduct some research in econometrics.
17.
课程内容及教学日历 （如授课语言以英文为主，则课程内容介绍可以用英文；如团队教学或模块教学，教学日历须注明
主讲人）
Course Contents (in Parts/Chapters/Sections/Weeks. Please notify name of instructor for course section(s), if
this is a team teaching or module course.)
Chapter 1 The Nature of Econometrics and Economic Data (2 hours)
第 1 章 计量经济学的性质与经济数据(2 小时)
PART 1: Regression Analysis with Cross-Sectional Data
第一篇：横截面数据的回归分析
Chapter 2 The Simple Regression Model (4 hours)
第 2 章 简单回归模型(4 小时)
Chapter 3 Multiple Regression Analysis: Estimation (4 hours)
第 3 章 多元回归分析：估计(4 小时)
Chapter 4 Multiple Regression Analysis: Inference (2 hours)
第 4 章 多元回归分析：推断(2 小时)
Chapter 5 Multiple Regression Analysis: OLS Asymptotics (2 hours)
第 5 章 多元回归分析：OLS 的渐进性(2 小时)
3
Chapter 6 Multiple Regression Analysis: Further Issues (2 hours)
第 6 章 多元回归分析：深入专题(2 小时)
Chapter 7 Multiple Regression Analysis with Qualitative Information: Binary (or Dummy)
Variables (2 hours)
第 7 章 含有定性信息的多元回归分析：二值(或虚拟)变量(2 小时)
Chapter 8 Heteroskedasticity ( 4 hours)
第 8 章 异方差性(4 小时)
Chapter 9 More on Specification and Data Issues (3 hours)
第 9 章 模型设定和数据问题的深入探讨(3 小时)
Midterm examination (2 hours)
期中考试(2 小时)
PART 2: Regression Analysis with Time Series Data
第二篇 时间序列分析数据的回归分析
Chapter 10 Basic Regression Analysis with Time Series Data (3 hours)
第 10 章 时间序列数据的基本回归分析(3 小时)
Chapter 11 Further Issues in Using OLS with Time Series Data (3 hours)
第 11 章 OLS 用于时间序列的其他问题(3 小时)
Chapter 12 Serial Correlation and Heteroskedasticity in Time Series Regressions (3 hours)
第 12 章 时间序列回归中序列相关和异方差性 (3 小时)
PART 3: Advanced Topics
第三篇 高级专题
Chapter 13 Pooling Cross Sections Across Time: Simple Panel Data Methods (2 hours)
4
第 13 章 跨时横截面的混合：简单面板数据方法 (2 小时)
Chapter 14 Advanced Panel Data Methods (4 hours)
第 14 章 高级面板数据方法 (4 小时)
Chapter 15 Instrumental Variables Estimation and Two Stage Least Squares (4 hours)
第 15 章 工具变量估计与两阶段最小二乘法(4 小时)
Chapter 16 Simultaneous Equations Models (2 hours)
第 16 章 联立方程模型(2 小时)
18.
教材及其它参考资料 Textbook and Supplementary Readings
参考教材 Textbook：
Introductory Econometrics A Modern Apporach, Jeffrey.M. Wooldridge, 6e, Cengage Learning,2015
其他参考资料 Supplementary Readings：
Basic Econometrics(5e), Damodar Gujarati, Dawn Porter, Mcgraw, 2017
计量经济学(第 4 版)，李子奈、潘文卿，高等教育出版社，2015
课程评估 ASSESSMENT
19.
评估形式
Type of
Assessment
评估时间
Time
占考试总成绩百分比
% of final
score
违纪处罚
Penalty
备注
Notes
出勤 Attendance
课堂表现
Class
Performance
小测验
Quiz
10%
课程项目 Projects
20%
平时作业
Assignments
20%
期中考试
Mid-Term Test
20%
期末考试
Final Exam
30%
5
期末报告
Final
Presentation
其它（可根据需要
改写以上评估方
式）
Others (The
above may be
modified as
necessary)
20.
记分方式 GRADING SYSTEM
A. 十三级等级制 Letter Grading
B. 二级记分制（通过/不通过） Pass/Fail Grading
课程审批 REVIEW AND APPROVAL
21.
本课程设置已经过以下责任人/委员会审议通过
This Course has been approved by the following person or committee of authority
