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1、UNDERSTANDINGMODERNECONOMETRICSYongmiaoHongDepartmentofEconomicsandDepartmentofStatisticalScienceCornellUniversity,U.S.A.andWangYananInstituteforStudiesinEconomics,XiamenUniversity,ChinaEmail:yh20@cornell.eduFebruary2006ThispaperiswrittenbasedonmyteachingexperiencesatCornellUniversity,HongKongUniversityofScienceandTechnology,RenminUniversityofChina,ShandongUniversity,ShanghaiJiaoTongUniversity,TsinghuaUniversityandXiamenUniversity.IthankYingFangandBaoliangLiforhelpfulcommentsandsuggestions.Fina。
2、ncialsupportsfromtheChangjiangScholarshipoftheChineseMinistryofEducationandfromtheNationalScienceFoundationofChinaareacknowledged.ABSTRACTEconometricshasbecomeanintegralpartoftraininginmoderneconomicsandbusiness.Togetherwithmicroeconomicsandmacroeconomics,econometricshasbeentaughtasoneofthethreecorecoursesinmostundergraduateandgraduateeconomicprogramsinNorthAmerica.InChina,theimportanceofeconometricshasbeenincreasinglyrecognizedandeconometrictoolsandmethodshavebeenwidelyemployedinempiricalstudie。
3、sonChineseeconomy.However,thereisasubstantialgapbetweenChineseeconometricsandmoderneconometrics.TherestillexistsconceptualmisunderstandingofeconometricsamongChineseeconomicprofession,andthereexistsomeproblemsinChineseeconometricteachingandresearch.Thispaperdiscussesthephilosophyandmethodologyofeconometrics,therolesandlimitationsofeconometrics,andthedi¤erencesbetweeneconometricsandmathematicaleconomicsaswellasmathematicalstatistics.Avarietyofillustrativeeconometricexamplesaregiven,whichcovervario。
4、us eldsofeconomicsand nanceThepaperalsosuggestshowtoimproveandstrengtheneconometricteachingandresearchinChina.KeyWords:Econometrics,mathematicalEconomics,Mathematicalstatistics,Quantitativeanalysis,Science,Uncertainty.1IntroductionEconometricshasbecomeanintegratedpartofteachingandresearchinmoderneconomicsandbusiness.TheimportanceofeconometricshasbeenincreasinglyrecognizedinChina.Inthisreviewarticle,Iwilldiscussthephilosophyandmethodologyofeconometricsineconomicresearch.First,Iwilldiscussthequali。
5、tativefeatureofmoderneconomics,andthedi¤erencesbetweeneconometricsandmathematicaleconomicsaswellasmathematicalstatistics.ThenIwillfocusontheimportantrolesofeconometricsasafundamentalmethodologyineconomicresearchviaavarietyofillustrativeeconomicexamplesincludingtheconsumptionfunction,marginalpropensitytoconsumeandmultipliers,rationalexpectationsmodelsanddynamicassetpricing,theconstantreturntoscaleandregulations,evaluationofe¤ectsofeconomicreformsinatransitionaleconomy,thee¢cientmarkethypothesis,m。
6、odelinguncertaintyandvolatility,anddurationanalysisinlaboreconomicsand nance.Theseexamplesrangefromeconometricanalysisoftheconditionalmeantotheconditionalvariancetotheconditionaldistributionofeconomicvariablesofinterest.Iwillalsodiscussthelimitationsofeconometrics,duetothenonexperimentalnatureofeconomicdataandthetime-varyingnatureofeconometricstructures.Finally,problemsincurrenteconometricteachingandresearchinChinaarepointedout,andpossiblesolutionsareproposed.2QuantitativeFeaturesofModernEconomi。
7、csModernmarketeconomiesarefullofuncertaintiesandrisk.Wheneconomicagentsmakeadeci-sion,theoutcomeisusuallyunknowninadvanceandeconomicagentswilltakethisuncertaintyintoaccountintheirdecision-making.Moderneconomicsisastudyonscarceresourcealloca-tionsinanuncertainmarketenvironment.Generallyspeaking,moderneconomicscanberoughlyclassi edintofourcategories:macroeconomics,microeconomics, nancialeconomics,andecono-metrics.Ofthem,macroeconomics,microeconomicsandeconometricsnowconstitutethecorecoursesformost。
8、economicdoctoralprogramsinNorthAmerica,while nancialeconomicsisnowmainlybeingtaughtinbusinessandmanagementschools.MostdoctoralprogramsineconomicsintheU.S.emphasizequantitativeanalysis.Quantita-tiveanalysisconsistsofmathematicalmodelingandempiricalstudies.Tounderstandtherolesofquantitativeanalysis,itmaybeusefulto rstdescribethegeneralprocessofmoderneconomicresearch.Likemostnaturalscience,thegeneralmethodologyofmoderneconomicresearchcanberoughlysummarizedasfollows:Step1:Datacollectionandsummaryof。
9、empiricalstylizedfacts.Theso-calledstylizedfactsareoftensummarizedfromobservedeconomicdata.Forexample,inmicroeconomics,1awell-knownstylizedfactistheEngelscurve,whichcharacterizesthattheshareofacon-sumersexpenditureonacommodityoutofherorhistotalincomewilleventuallydeclineastheincomeincreases;inmacroeconomics,awell-knownstylizedfactisthePhillipsCurve,whichcharacterizesanegativecorrelationbetweentheinationrateandtheunemploymentrateinanaggregateeconomy;andin nance,awell-knownstylizedfactabout nan。
10、cialmarketsisvolatilityclustering,thatis,ahighvolatilitytodaytendstobefollowedbyanotherhighvolatilitytomorrow,alowvolatilitytodaytendstobefollowedbyanotherlowvolatilitytomorrow,andbothalternateovertime.Theempiricalstylizedfactsoftenserveasastartingpointforeconomicresearch.Forexample,thedevelopmentofunitrootandcointegrationeconometricswasmainlymotivatedbytheempiricalstudyofNelsonandPlossor(1982)whofoundthatmostmacroeconomictimeseriesareunitrootprocesses.Step2:Developmentofeconomictheories/models.。
本文标题:理解现代计量经济学
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