计量经济学绪论课程名称

3 主讲教师：课程信箱:Password:及参考书 《BasicEconometrics》(fifthedition),DamodarN. ，H·

4学时 ）：15课堂出勤/表现 期末考核（闭卷）：70 §1.2*经典计量经济学模型的 §1.1三* 世 150001000050000

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应用计量研究数占6050403020100 5%

理论分析经验分析计量经济学模型(Econometric△⼴义计量经济学和狭义计量经济学 经典计量经济学（Classical/CanonicalEconometrics）依据某种已存在的经济理论或已律的某种解释、设定模型的总体结构和结构，即 —Lucas(1976)、Sarget(1976)、 PanelData 2

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theetherlandsTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1973"forthedevelopmentoftheinput-outputmethodandforitsapplicationtoimportanteconomicTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1980"forthecreationofeconometricmodelsandtheapplicationtothe ysisofeconomicfluctuations nomicTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1984"forhavingmadefundamentalcontributionstothedevelopmentofsystemsofnationalaccountsandhencegreatlyimprovedthebasisempirical GreatBritainTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1989"forhisclarificationoftheprobabilityfoundationsofeconometricsand ysessimultaneouseconomic Stone TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000"forhisdevelopmentoftheoryandmethodsyzingselectiveJamesJHeckmanTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000"forhisdevelopmentoftheoryandmethodsfor yzingdiscretechoice"TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003"formethodsof yzingeconomictimeserieswithcommontrends(cointegration)"TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003"formethods yzingeconomictimewithtime-varyingvolatility§1 建立计量经济学模型的步骤和要点⼀、理论模型的设计（建模）二、样本数据的收集（采样）三、模型参数的估计（估计）四*、模型的检验（检验） i ,g inedordependent natoryorindependent 经济学理论强调“简单”VS 般”。MultipleLinearRegressionModel)为对象：YYi=b0+b1X1i+b2X2i++bkXki+mii=1,2,Cross-sectionalTime-seriesPanelCross-sectionalStochasticSamplingLimitedSamplingDurationDiscreteTime-seriesStationaryTimeNonstationaryTimePanel LS,LeastSquaresOLS,GLS,2SLS, umLikelihoodML,CML,LIML,MM,Methodof 价格)+0.8ln(其它商品价格)价格)+0.8ln(其它商品价格(Endogeneity) §1