《计量经济学导论》电子教案英文版（伍德里奇）

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1、《计量经济学导论》电子教案英文版（伍德里奇）WelcometoEconomics20WhatisEconometrics?Economics20-Prof.AndersonWhystudyEconometrics?Rareineconomics(andmanyotherareaswithoutlabs!)tohaveexperimentaldataNeedtousenonexperimental,orobservational,datatomakeinferencesImportanttobeabletoapplyeconomictheorytorealworlddataEconomic

2、s20-Prof.AndersonWhystudyEconometrics?AnempiricalanalysisusesdatatotestatheoryortoestimatearelationshipAformaleconomicmodelcanbetestedTheorymaybeambiguousastotheeffectofsomepolicychange–canuseeconometricstoevaluatetheprogramEconomics20-Prof.AndersonTypesofData–CrossSectionalCross-sectionaldataisa

3、randomsampleEachobservationisanewindividual,firm,etc.withinformationatapointintimeIfthedataisnotarandomsample,wehaveasample-selectionproblemEconomics20-Prof.AndersonTypesofData–PanelCanpoolrandomcrosssectionsandtreatsimilartoanormalcrosssection.Willjustneedtoaccountfortimedifferences.Canfollowthe

4、samerandomindividualobservationsovertime–knownaspaneldataorlongitudinaldataEconomics20-Prof.AndersonTypesofData–TimeSeriesTimeseriesdatahasaseparateobservationforeachtimeperiod–e.g.stockpricesSincenotarandomsample,differentproblemstoconsiderTrendsandseasonalitywillbeimportantEconomics20-Prof.Ande

5、rsonTheQuestionofCausalitySimplyestablishingarelationshipbetweenvariablesisrarelysufficientWanttotheeffecttobeconsideredcausalIfwe’vetrulycontrolledforenoughothervariables,thentheestimatedceterisparibuseffectcanoftenbeconsideredtobecausalCanbedifficulttoestablishcausalityEconomics20-Prof.Anderson

6、Example:ReturnstoEducationAmodelofhumancapitalinvestmentimpliesgettingmoreeducationshouldleadtohigherearningsInthesimplestcase,thisimpliesanequationlikeEconomics20-Prof.AndersonExample:(continued)Theestimateofb1,isthereturntoeducation,butcanitbeconsideredcausal?Whiletheerrorterm,u,includesotherfa

7、ctorsaffectingearnings,wanttocontrolforasmuchaspossibleSomethingsarestillunobserved,whichcanbeproblematicEconomics20-Prof.AndersonTheSimpleRegressionModely=b0+b1x+uEconomics20-Prof.AndersonSomeTerminologyInthesimplelin