计量经济学(英文)

1LectureOneMethodologyofEconometrics2立论？结论？立论:要求给出求论的路径。结论:要求说明结论的来源。自以为是的东西并不见得是真我们不是上帝！3我们的习惯是这样的吗？结论来自感觉（象上帝）宏观思考（象战略家）习惯地提出政策建议（象顾问）得争取把一个个的大、小问题搞明白再说吧！4MainstreamAnalysisApproachesNormativeAnalysisPositiveAnalysis(empiricalanalysis)5TheWriterD.N.GujaratiProfessorofeconometricsattheMilitaryAcademyatWestPointMasterofCommerceMBAEditorialrefereeAuthorVisitingProfessor6WhatisEconometricsEmpiricalsupporttothemodelsQuantitativeanalysisofactualeconomicphenomenaSocialscienceinwhichthetoolsofeconomictheory,mathematics,andstatisticalinferenceareappliedtotheanalysis.PositivehelpEconomictheory_____measurements7MethodologyofEconometricsStatementoftheoryorhypothesisObtainingthedataSpecificationofthemathematicalmodelSpecificationoftheeconometricmodelEstimationoftheparametersoftheeconometricmodelHypothesistestingForecastingorpredictionUsingthemodelforcontrolorpolicypurposes8StatementofTheoryorHypothesisPostulate(givesomeexamples)StatementNote:hypothesisisnotthesameasanassumption9ObtainingtheDataNatureSourcesLimitations10TypesofDataTimeseriesdata:quantitative,qualitative(dummyvariable)(SATIONARY)Cross-sectionaldata:(HETEROGENEITY)Pooleddata:(Paneldata)11Sources(Nationalbureauofeconomicresearch)Stats.bls.govNon-experimentalinnatureRound-offsandapproximationsNon-responseSelectivitybiasAggregatelevelConfidentialityTheresultsofresearchareonlyasgoodthequalityofthedata.13SpecificationofthemathematicalmodelYi=b1+b2*Xi0b21YiconsumptionexpenditureXiincomeParametersb1b2,b1intercept,b2slopeConsumptionfunctionSingleequationmodelMultipleequationmodel14TerminologyYiDependentvariableExplainedvariablePredictandRegressandResponseEndogeousTargetvariableXiIndependentvariableExplanatoryvariablePredictorRegressorStimulusvariableExogenousvariableControlvariable15SpecificationoftheeconometricmodelYi=b1+b2*Xi+uiUidisturbance,errorterm,random(stochasticvariable)EconometricmodelLinearregressionmodel16SignificanceofDisturbance:uiSurrogateforallomittedvariablesVaguenessoftheoryUnavailabilityofdataCorevariablesVS.peripheralvariablesIntrinsicrandomnessinhumanbehaviorPoorproxyvariablesPrincipleofparsimonyWrongfunctionalform17LinearRelationshipLinearityinthevariablesE(y|xi)=b1+b2*xi*xiLinearityintheparametersE(y|xi)=b1+root(b2)*xi*xiLRM:linearregressionmodelNLRM:non-linearregressionmodel18RegressionRelationshipsRegressionanalysisisconcernedwiththestudyofthedependenceofYiwithoneormoreXi.Xiisknownorfixed,predictingthemeanofYioftotal.Statisticalvs.deterministicrelationshipsRegressionvs.causationRegressionvs.correlation19EstimationoftheeconometricmodelNumericalestimatesoftheparametersRegressionanalysisisthemaintoolusedtoobtaintheestimatesThehatonYindicatesthatitisanestimate20HypothesisTestingSample-sampleparameter-estimate-estimatordistribution-populationparameter-populationcharacteristicsConfirmationorrefutationofeconomictheoriesonthebasisofsampleevidenceThebasementisstatisticalinference(Hypothesistesting)21ForecastingorPredictionHypothesisortheorybeconfirmedKnownorpredictorvariableXPredictthefuturevaluesofthedependent22UseoftheModelforControlorPolicyPurposesControlvariableXTargetvariableYYi=b1+b2*XiManipulatethecontrolvariableXtoproducethedesiredlevelofthetargetvariableY23AnatomyofClassicalEconometricModelingEconomictheoryMathematicalmodeloftheoryEconometricmodeloftheoryDataEstimationofeconometricmodelHypothesistestingForecastingorpredictionUsingthemodelforcontrolorpolicypurposes24第1章计量经济学研究的方法论4第2-3章基本统计概念，概率分布4第4章估计与假设4第5章双变量模型的基本思想4第6章双变量模型的假设检验4第7章多元回归：估计与假设检验4第8章回归方程的函数形式4第9章虚拟变量的回归模型4第10章多重共线性4第11章异方差性4第12章自相关性4第13章模型选择：标准与检验4实验实验[e-mail]027-62082852Thankyou.26AReviewofSomeStatisticalConceptsLectureTwo27Samplespace、Samplepoints、EventsPopulationisthesetofallpossibleoutcomesofrandomexperiment(samplespace)SamplepointistheeachmemberofthissamplespaceEventisasubsetofthesamplespace28ProbabilityandRandomVariablesP(A)probability(pr;p;pro)Xrandomvariable(rv)Xthevalueofarandomvariable0=P(A)=1P(A+B+…)=1A+B+C+…=samplespaceDiscretevariableContinuousvariable29ProbabilityDensityFunctionDiscreterv:f(x)=P(X=xi)(i=1,2,…)=0(x=/xi)(PDF)Sum(f(x))=1Continuousrv:f(x)=0,-1)(dxxfbabxaPdxxf)()(30CumulativeDistributionFunctionCDFF(X)=P(X=x)(discrete)=(continuous)xdxxf)(31CDFofDiscreteVRPDFCDFXtimesoffaceupf(x)(PDF)ValueofXf(x)(CDF)01/16X=01/1614/16X=15/1626/16X=211/1634/16X=315/1641/16X=4132CDF11/165/1611/1615/161X234033CDFofContinuousVRPDFCDFValueofXtimesf(x)PDF)ValueofXtimesf(x)(CDF)0=X11/16X=01/161=X24/16X=15/162=X36/16X=211/163=X44/16X=315/164=X51/16X=413401CDF35MaincontentsExpectedvalue(propertiesofexpectedvalues)Variance(propertiesofvariance)Covariance(propertiesofcovariance)CorrelationcoefficientMomentSkewnessandKurtosisCharacteristicsofProbabilityDensity36ExpectedValueExpectedvalue(popu