2008级西方经济学、产业经济学等各专业研究生计量经济学1-绪论

1、拿起计量经济的武器Econometrics: Your Weapon李春涛School of Economics and Finance, the University of Hong KongEmail: chtlecon.hku.hk 计量经济学家林少宫n1944年毕业于中央大学经济系 n1947年到美国，师从Herwicz和Modigliarnin伊利诺伊大学获得经济学博士学位 n任教于俄亥俄州立大学n1954年，他谢绝了当时统计学界、经济学界、数学界公认的大师霍特林(Hotelling)教授的工作邀请，放弃了国外优越的生活条件，毅然返回祖国，向教育部报到 计量经济学家林少宫n现代经济学

2、一直被视为是“庸俗”的、为资本主义制度进行诡辩的资产阶级学科，经济学出身的林老师回国后不能教现代经济学，也就只好被分配到华中工学院数学教研室从事数理统计的教学和研究工作n其间钱学森教授曾力邀林老师去北京工作，被爱才如命的教育家朱九思老校长强留下来n 田国强、艾春荣、时寿勇、宋敏、谭国富、徐殿庆、方振民、杨小凯、文梅、刘安平、黄晓东等School of InformationnWhat is information？Insider information?n李国宝的朋友梁启雄的女儿梁家安和丈夫王勤兢在4月13日至30日期间购买41.5万股道琼斯公司股份，价值1500万美元。新闻集团收购意图公开后

3、，道琼斯股票价格急升58%，王勤兢夫妇所掌 握的股票价值升至2300万美元，利润高达818万美元。Rumors？Fortune or sin?nApril 19, 2007Stock market reaction before macro-data releasenThe (trilogy) film MatrixInformation is data collection and its processingData miningAttributes of Information nMathematical modeling nData collection nComputer scien

4、ce nData mining (Econometrics Methods)What the school has missed?nMore focus on Econometrics?nA econometrics department?Your Merits nSolid background in Mathematics nTrainings in Statistics and Probability theorynIntensive Skills in Computer ProgrammingnSome basic knowledge of Economics What the job

5、 market is recruiting？nQuantitative analysis for financial industrynEmpirical researchers for social science Opportunities for younFinancial InstitutionsnResearch Assistant nGraduate Program, domestic and abroadnOsama bin Laden RecommendationsnStatisticsnEconometrics nEconomics TheorynSoftware nData

6、 sourcesOutline nWhat is Econometrics?nWhere to use it?nClassical Econometrics CasesnSoftware IntroductionnDatabases within arms lengthnSuggestions for your thesisThe Emerging of EconometricsnIdeal Theoretical Models: too idealBased on ideal hypothesis Too simple compared with real worldnMulti-facto

7、r in CausalityOwnership may affect firm performanceFirm size, legal environment etc may also have effectsModels cannot be inclusive enoughnTwo-Direction CausalityComplexity in DatanContinuous measured data nDiscrete data nCross-section data nTime-series data nPanel dataWhat is Econometrics?nEconomet

8、rics is a set of quantitative techniques that are useful for making “economic decisions”neconomic measurementIt is the branch of economics that applies statistical methods and mathematical models to the empirical study of economic theories and relationships InterdisciplinaryMathEconStatisticsMath.Ec

9、on.Math. Stat.Econ. Stat.EconometricsBack to HerwiczEg1： YSaving XIncomeuXYob )(PrTypical Econometrics QuestionsEg2： YVote for Demarcates XSocial Economics CharacteristicsuXY Widely Used in Social SciencenCliometrics the railways in the American economy North, the civil war and the end of the Negro

10、Slaveryeconomic historyLaw Researchn中国“命案必破”是否制造了冤假错案？n2004年2月开始，公安部向各地方公安局下达命令，要求公安部门必须破获一切命案n这个命令没有科学依据n警察不是超人 出动大量的人力物力，造成破案成本上升制造冤假错案n比如，警察找到一个死刑犯，这个人要死了，多顶一个命案的成本不大，于是就会顶替案件，让真正的罪犯逍遥法外研究方法：n收集某一地区2004年2月前后各1年的涉命案例n每个死刑犯背负的命案数量为yn每个刑事犯罪分子的基本特征：年龄、性别、教育程度、职业、收入状况等n时间变量T=1 如果刑犯的审判日期在2004年2月以后，否则为0

11、Model TFarmerTAgeTEduFarmerAgeEduTY*76543210如果beta1显著大于0，则说明命令下达以后，平均每个死刑犯的命案数量增加了，这是冤假错案的信号如果beta7显著大于0,说明命令下达以后,出身为农民的刑事犯罪分子，更可能被迫顶替命案FinancenOwnership Structure and Firm PerformancenEfficient Market HypothesisnEvent StudynCorporate R&D and Corporate GovernancenLaw and FinancePrincipal-Agent P

12、roblemnSeparation between Ownership and ControlnOwners do not manage the firms directlynProfessional Managers are agent for ownersnWith Information Asymmetry and a lacking of effective monitoring, managers will pursuit self interest at the expense of shareholdersLuxury office and Hotel Beautiful Sec

13、taries Business class Tunneling Solution：nInterest Alignmentn理论一：给经理人的股权越多，经理人的利益与股东的利益越一致(interest alignment hypothesis)n理论二：经理人的股权增加了，经理人的位置就稳定了，不怕失业了，不怕被人收购了，所以就不好好工作了（market entrenchment hypothesis）公司委托代理理论n两个理论给出了相反的结论n两个因素可能都存在，但是到底哪一个占优呢n用实证研究来检验：n收集几千家公司的绩效指标和股权结构指标，用股权结构指标对企业绩效作回归，看系数是否为正Ac

14、counting and AuditingnDeterminants of Audit OpinionnEarnings Informativeness and Market ReactionnEarnings management and firm AttributesEarnings informativeness: Evidence from ChinanCorporate disclose their earnings in their annual reports nOn the disclosing date, market react differently for differ

15、ent earnings and different firms nGenerally speaking, the higher the earnings, the higher the stock price jumpsEarnings informativeness:nOther factors may also affect market reactionsLarge firms react less Risky firms react less strongEtc Earnings informativeness:nThis research test the relationship

16、 between market reaction and audit firm sizenOur theory is that, large audit firms are of higher quality, thus the earnings are more reliable nMarket react stronger for reliable earnings nThus market reaction is positively correlated with audit firm sizeMeasure of Market reactionnEvent studynFirm i

17、released its earnings on date 0tdateonreturnsistockisRtdateonreturnindexmarketisRitmtAgenda22titARCARRegression ResultsSoftware nA computer is a computer nIt is designed for computing, not just for chatting nIf youve got a computer, why bother to use the hand calculator?nChoose one, Get prepared, jo

18、bs waiting for youSASnTraditional software in econometrics analysis nExtensive packagesnPopular in industriesnExpensivenProgramming is a little difficultStatanEasy programmingnData friendlynLarge capacity nOutput automaticallynOpen ended softwarenPopular in academic community nPirate CD easily gotSPSSnThat is too easy to use nIt is also too stupid nAvoid itDat