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1、IINTRODUCTIONANDBACKGROUNDInthispartweintroducethebasicapproachtoeconometricstakenthroughoutthebookandcoversomebackgroundmaterialthatisimportanttomasterbeforereadingtheremainderofthetext.Studentswhohaveasolidunderstandingofthealgebraofconditionalexpectations,con
2、ditionalvariances,andlinearprojectionscouldskipChapter2,referringtoitonlyasneeded.Chapter3containsasummaryoftheasymptoticanalysisneededtoreadPartIIandbeyond.InPartIIIweintroducead-ditionalasymptotictoolsthatareneededtostudynonlinearestimation.1Introduction1.1Cau
3、salRelationshipsandCeterisParibusAnalysisThegoalofmostempiricalstudiesineconomicsandothersocialsciencesistode-terminewhetherachangeinonevariable,sayw,causesachangeinanothervariable,sayy.Forexample,doeshavinganotheryearofeducationcauseanincreaseinmonthlysalary?Do
4、esreducingclasssizecauseanimprovementinstudentper-formance?Doesloweringthebusinesspropertytaxratecauseanincreaseincityeconomicactivity?Becauseeconomicvariablesareproperlyinterpretedasrandomvariables,weshoulduseideasfromprobabilitytoformalizethesenseinwhichachang
5、einwcausesachangeiny.Thenotionofceterisparibus—thatis,holdingallother(relevant)factorsfixed—isatthecruxofestablishingacausalrelationship.Simplyfindingthattwovariablesarecorrelatedisrarelyenoughtoconcludethatachangeinonevariablecausesachangeinanother.Thisresultisdu
6、etothenatureofeconomicdata:rarelycanwerunacontrolledexperimentthatallowsasimplecorrelationanalysistouncovercausality.Instead,wecanuseeconometricmethodstoe¤ectivelyholdotherfactorsfixed.Ifwefocusontheaverage,orexpected,response,aceterisparibusanalysisentailsestima
7、tingEðyjw;cÞ,theexpectedvalueofyconditionalonwandc.Thevectorc—whosedimensionisnotimportantforthisdiscussion—denotesasetofcontrolvari-ablesthatwewouldliketoexplicitlyholdfixedwhenstudyingthee¤ectofwontheexpectedvalueofy.Thereasonwecontrolforthesevariablesisthatwet
8、hinkwiscorrelatedwithotherfactorsthatalsoinfluencey.Ifwiscontinuous,interestcentersonqEðyjw;cÞ=qw,whichisusuallycalledthepartiale¤ectofwonEðyjw;cÞ.Ifwisdiscrete,wearei
