大二下计量课件chapter

1、ECONOMETRICSLichao WUXianiversity1主讲教师授课教师：武力超国际经济与贸易系，助理教授办公地点：经济学院B107电子邮件: 助教：余丽丽2简介课程特点：1 侧重于实际应用，侧重于案例教学。理论以阐明结论为主，不过分强调理论的证明与推导。培养用计量经济学方法解决实际问题的能力。2 介绍本学科研究成果。计量经济学定义：用定量的方法研究经济活动规律及其应用的科学。是经济学与统计学，数学相结合的交叉学科。英文：Econometrics。中文：计量经济学，经济计量学。在 1998 年教育部审定的学科分类中属三级学科。经济学（02）应用经济学（0202）数量经济学（0202

2、09）。数量经济学中包括计量经济学，投入产出，数理经济学及运筹学的一部分内容（线性规划，优化，决策理论和风险分析等）。What is EconometricsFrisch（1933）:Ragnar“The(econometric)society. main object shall be to promote studiestaimataunificationofthetheoretical-ive and empirical-ive approach toeconomicconstructiveproblemstarepenetratedbyt.”andrigorousthinkingsim

3、ilartowhich has come to dominatehe natural scienEconometricsisnotjusteconomicssistics, noreconomic theory, nor application of mathematics toeconomics. It is the unification of the three.4Why study Econometrics?Rareineconomics(andmanyotherareaswithoutlabs!) to have experimental dataNeedtousenonexperi

4、mental(sometimescalledobservational data,retrospective data),or observational,dao make inferenImportant to be able to apply economic theory to real world data5Why study Econometrics?An empiricalysis uses dao tesheory orto estimate a relationshipA formal economic mcan be testedTheorymay beambiguousas

5、totheeffectofsome policy change can use evaluate the programeconometrics to6What can Econometrics do for us?Testing economic theoriesExplain behaviorst are of economic natureExplain behaviors disguised not to be of economic naturePolicy evaluationOverall, we use econometrics to explain phenomenaof e

6、conomic nature, make policy and make forecasts about the future.mendations7What can Econometrics do for us?An Exley=f(x1,x2,x3,x4,x5,x6,x7)y : hours spent in criminal activityx1 :”wage” of the criminal activityx2: hourly wage in legal employmentx3:e othern from crime or employmentx4: Probability of

7、getting caught.x5: Probability of being convicted if caughtx6: Expected sentence if convictedx7: Age8What can Econometrics do for us?Another Exlewage=0+ 1educ+ 2 exper+3training+wage:educ: exper: training:hourly wageyears of formal education years of workforce experienceks spent in job training9The

8、structure of economic dataCross Section dataA cross-sectional data set consists of a sle ofHereindividualsatagivenpoime.individuals are considered in broader sense.Cross-sectionaldataareinwidelyfieldsusedineconomics,espellylikelaboreconomics, health economics, urban economics,etc.10The structure of

9、economic dataNotice variables the future.tcross-sectionaldanincludet describes situationshe past or inhis course we will mainly discuss theysisofcross-sectionaldata, sinceitsdatastructuremptionoftenmakesrandomslingareasonable.Pooledcrosssectiondata,similartoanormalcrosssection.justneedtoaccountforti

10、medifferen.11121314The structure of economic dataTime Series dataA Time Series donsists of observations ona variable or several variables over time.Time series data has a separate observation for each time period e.g. stock priSince not a random s to considerle, different problemsTrends and seasonal

11、ity will be important15The structure of economic dataTime Series data has three important differen from cross-sectional data.Theorderingofobservationsimeseriesdata is meaningful.Observations are often correlated.Data frequency needs spel attention.1617The structure of economic dataPanel DataPanel da

12、ta is a sets of time-series observations for a group of individuals.HerotherEnglishnames:longitudinaldata,time-series cross-section s: 面板数据，板块数据，HerChi综列数据。1819Steps in Empirical EconometricysisFormulatethequestionoferestcarefully, sotitisspecificenoughtobeabletobeanswered by the data and a

13、nd through usingeconometric techniques available.Collect needed data for the question oferest.20Steps in Empirical EconometricysisUsebasiceconomictoolstoformulateaneconomicmtdescribestherelationsbetUsingn the main variables oferest.specificationknowledgeaboutmtoantransformaneconomicmoeconometric man

14、d prediction.t is readyfor estimation21Steps in Empirical EconometricysisMake important amptions before estimation ofparameters oferest.The ceteris paribus AmptionApromesotherthingsbeingequalysis.duringthes of the econometricWhen carefully appd, econometric methodscan simulate a ceteris paribus expe

15、riment.22Steps in Empirical EconometricysisSpecifyhypothesisoferestermsoftheunknown parameters .Useeconometricmethodstoestimatetheparameters and formally test the hypothesizes oferest .23Steps in Empirical Econometricysis-Chiexplanation我可以使用什么类型的数理知识来支根据的资源，通过散点图得出初步结论和猜想我需要研究什么？ 可以和哪 些经济学 知识联系？与经济学

16、原理相结合，通过科学的验证将结果总结出来，提炼出来，为一开始的研究问题服务。最终完成对研究问题的论证持法想24设定，估计，、检验模型，分析回归参数，。画变量散点图收集数据确定研究对象The Question of CausalitySimplyestablishingarelationshipbetnvariables is rarely sufficientWant to the effect to be considered causalIfwevetrulycontrolledforenoughothervariables, then the estimated ceteris pari

17、bus effectcan often be considered to be causalCan be difficult to establish causality25Exle: Returns to EducationAmof humancapitalinvestmentimpsgettingearningsmoreeducationshouldleadtohigherhe simplest case, this imps an equation likeEarnings 01education u26Exle: (continued)The estimate of b1, is th

18、e return to education, but can it be considered causal?While the error term, u, includes other factors affecting earnings, want to control for as much assibleSome things are stil problematicobserved, which can be27software1. EViews (Econometric Views) V. 4.0, 5.0, 6.0, 7.0（品）QMS公司的产2.TSP (Time Serie

19、s Prosor) V. 4.3 (Palo Alto, California,USA)3.PcGive ( 8.0, 9.0, 10.0,al Computer, General Instrumental Variable Estimation) V.4.PcFiml(alComputer,FullInformationumLikelihoodEstimation) V. 9.0, 10.0RATS (时间序列分析，协整分析，ARCH, GARCH模型，画图)Microfit (H. Pesaran and B. Pesaran, Oxford University)7.Mathematic

20、a V. 3.0, 3.1, 4.0（处理各种数算）8.S-PLUS V. 5.0（包括回归分析、方差分析、判别分析、聚类分析、试验设计、非参数方法、生存分析、时间序列分析、谱分析、投影寻踪等。）9.Ox V. 1.11, （多用于10.GAUSS V. 3.2.19（多用于模拟）模拟）(Kent, Washengton, USA)11.SPSS, SAS，SA（主要用于一元和多元统计分析）website中国国家：经合组织数据库：统计/tj1j/index.htm#gwtjwz普查局：http:/会馆：网：商业部：htt亚洲东盟：国家外汇管理局：C：息：hyzwIBM公司：r国信：经济杂志网：

21、纳斯达克网：中：http:/搜索：中国国家馆：http英文书搜索：国际金组织数据库：journals1. Econometrica*, 双刊。经济计量学会主办，1933年创，2. Journal of刊。Econometrics*, 双，1973年创，3. JournalofAppdEconometrics*，双John，Wiley&Sons，1986年创刊。Theory, 每年五期，英国4. Econometric大学，1985年创刊。5.Oxford Bulletin of Econometrics and Sistics*, 季刊主办，1936年创刊。，牛津大学经济与统计6.Journal of the American Sistical Assotion*, 季刊主办，1888年创刊。，统计7. the American Economic Review,8. 数量经济技术经济研究，中国数量经济学会主办例：检验关于边际消费倾向(MPC)理论，或利用该理论进行经济控制或经济政策制定。理论人们的消费支出随收入的增加而增加，但消费支出的增加小于收入的增加。即边际消费倾向MPC大于零而小于1。（定性）。注: Marginal Propensity to Consume(MPC)MPC是西方经济学(宏观)的消费理论之一，表示: 每增减一元国民收入所引起的消费变化建立数学模型， 假