国外伍计量经济学课件ch01

Economics20-Prof.Anderson1etoEconomics20WhatisEconometrics?Economics20-Prof.Anderson2WhystudyEconometrics?Rareineconomics(andmanyotherareaswithoutlabs!)tohaveexperimentaldataNeedtousenonexperimental,orobservational,datatomakeinferencesImportanttobeabletoapplyeconomictheorytorealworlddataEconomics20-Prof.Anderson3WhystudyEconometrics?AnempiricalanalysisusesdatatotestatheoryortoestimatearelationshipAformaleconomicmodelcanbetestedTheorymaybeambiguousastotheeffectofsomepolicychange–canuseeconometricstoevaluatetheprogramEconomics20-Prof.Anderson4TypesofData–CrossSectionalCross-sectionaldataisarandomsampleEachobservationisanewindividual,firm,etc.withinformationatapointintimeIfthedataisnotarandomsample,wehaveasample-selectionproblemEconomics20-Prof.Anderson5TypesofData–PanelCanpoolrandomcrosssectionsandtreatsimilartoanormalcrosssection.Willjustneedtoaccountfortimedifferences.Canfollowthesamerandomindividualobservationsovertime–knownaspaneldataorlongitudinaldataEconomics20-Prof.Anderson6TypesofData–TimeSeriesTimeseriesdatahasaseparateobservationforeachtimeperiod–e.g.stockpricesSincenotarandomsample,differentproblemstoconsiderTrendsandseasonalitywillbeimportantEconomics20-Prof.Anderson7TheQuestionofCausalitySimplyestablishingarelationshipbetweenvariablesisrarelysufficientWanttotheeffecttobeconsideredcausalIfwe’vetrulycontrolledforenoughothervariables,thentheestimatedceterisparibuseffectcanoftenbeconsideredtobecausalCanbedifficulttoestablishcausalityEconomics20-Prof.Anderson8Example:ReturnstoEducationAmodelofhumancapitalinvestmentimpliesgettingmoreeducationshouldleadtohigherearningsInthesimplestcase,thisimpliesanequationlikeEconomics20-Prof.Anderson9Example:(continued)

Theestimateof

b1,

isthereturntoeducation,butcanitbeconsideredcausal?Whiletheerrorterm,u,includesotherfactorsaffec