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1 INTERMEDIATEECONOMETRICSEconomicsDoubleMajor YanShen CCERFall 2005 2 Outline WhatiseconometricsWhatcaneconometricsdoforusData TheInputStepsinEmpiricalAnalysisWhatWillbeCoveredinThisCourse 3 Whatiseconometrics RagnarFrisch 1933 The econometric society mainobjectshallbetopromotestudiesthataimataunificationofthetheoretical quantitativeandempirical quantitativeapproachtoeconomicproblemsthatarepenetratedbyconstructiveandrigorousthinkingsimilartothatwhichhascometodominateinthenaturalsciences 4 Whatiseconometrics Econometricsisnotjusteconomicsstatistics noreconomictheory norapplicationofmathematicstoeconomics Itistheunificationofthethree 5 Whatcaneconometricsdoforus TestingeconomictheoriesExplainbehaviorsthatareofeconomicnatureExplainbehaviorsdisguisednottobeofeconomicnaturePolicyevaluation 6 Whatcaneconometricsdoforus AnExampley f x1 x2 x3 x4 x5 x6 x7 y hoursspentincriminalactivityx1 wage ofthecriminalactivityx2 hourlywageinlegalemploymentx3 Incomeotherthanfromcrimeoremploymentx4 Probabilityofgettingcaught x5 Expectedsentenceifgotcaughtx6 Agex7 Discriminationdegreereceivedincities 7 Whatcaneconometricsdoforus Overall weuseeconometricstoexplainphenomenaofeconomicnature makepolicyrecommendationsandmakeforecastsaboutthefuture 8 Data TheInput Cross SectiondataAcross sectionaldatasetconsistsofasampleofindividualsatagivenpointintime Hereindividualsareconsideredinbroadersense Cross sectionaldataarewidelyusedineconomics especiallyinfieldslikelaboreconomics healtheconomics urbaneconomics etc 9 10 Data TheInput Noticethatcross sectionaldatacanincludevariablesthatdescribessituationsinthepastorinthefuture Inthiscoursewewillmainlydiscusstheanalysisofcross sectionaldata sinceitsdatastructureoftenmakesrandomsamplingassumptionreasonable 11 Data TheInput Time SeriesdataATime Seriesdataconsistsofobservationsonavariableorseveralvariablesovertime 12 13 Data TheInput TimeSeriesdatahasthreeimportantdifferencesfromcross sectionaldata TheorderingofobservationsinTimeseriesdataismeaningful Observationsareoftencorrelated Datafrequencyneedsspecialattention 14 Data TheInput PanelDataPaneldataisasetsoftime seriesobservationsforagroupofindividuals HerotherEnglishnames longitudinaldata time seriescross sectiondata HerChinesenames 面板数据 板块数据 综列数据 15 16 StepsinEmpiricalEconometricAnalysis Formulatethequestionofinterestcarefully sothatitisspecificenoughtobeabletobeansweredbythedataathandandthroughusingeconometrictechniquesavailable Collectneededdataforthequestionofinterest 17 StepsinEmpiricalEconometricAnalysis Usebasiceconomictoolstoformulateaneconomicmodelthatdescribestherelationsbetweenthemainvariablesofinterest Usingknowledgeaboutmodelspecificationtotransformaneconomicmodelintoaneconometricmodelthatisreadyforestimationandprediction 18 StepsinEmpiricalEconometricAnalysis Makeimportantassumptionsbeforeestimationofparametersofinterest TheceterisparibusAssumptionAssumesotherthingsbeingequalduringtheprocessoftheeconometricanalysis Whencarefullyapplied econometricmethodscansimulateaceterisparibusexperiment 19 StepsinEmpiricalEconometricAnalysis Specifyhypothesisofinterestintermsoftheunkno
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