计量经济学(英文版)1905149971

1EconometricsLecturer:李伊WhyEconometrics?ThisisDeterminedbythepropertyofeconometricsandtheit’spositionandaffectontheeconomy.“Onedisciplinenevergoestoperfectunlessmathissuccessfullyinvolved.”——Karl.Marx“EconomygoestotheageofeconometricsafterWorldWarII.”——P.Samuelson“Inmostuniversities,econometricshavebecomemostcanonicalpartineconomycurriculum.——R.Klein2Aim◆Handlethebasictheoryandmethodofeconometrics——BasicofEconometrics◆Capacitytosolveempiricaleconomyproblem——Quantitativeanalysis◆MakeeconometricsanalysisusingE-views——BasicoperationonE-viewsNotice:ReviewStatisticscontentsintermsofyourownbasis34BasicTeachingmaterial：《BasicEconometrics》(FourthEdition)byGujaratiMainReference国家级精品课程主干教材教育部“十一五”国家级规划教材《计量经济学》(2008年第6次印刷)庞皓主编科学出版社出版Teachingmaterialandreference55Thecourseisseparatedto11chapters(54lectures):I.Introduction(3)II.Two-variableregressionmodel(9)III.Multipleregressionmodel(6)IV.DummyVariable(3)V.Multicolinearity(3)VI.Heteroscedasticity(3)VII.Autocorrelation(3)CourseContentsCourseContentsVIII.ModelSpecificationandDiagnostictesting(3)IX.Autoregressiveanddistributedlagmodels(6)X.SimultaneousEquationModels(6)XI.TimeSeriesEconometrics(6)6CourseArrangementandRequirementIndividualMission1:Mostimportant:Chewyourbook!(byyourmind,notyourmouth)2:Secondimportant:followmylecture.(Askmewhy!Don'tbaskonmylecture.)(MylecturewillNOTcoverallthebook)3:Completehomeworkindividually(oneweek,negotiable)(5%)4:Completeexperimenttextbookindividually(makeexperimentathome.Wedon'thavetimeinclass)(submitthetextbookbeforefinal)(5%)5:Preparethefinal(yourcanfollowingmyfinalreviewifyouwanttosavetime;)(Relax,thatiseasy)(60%)CourseArrangementandRequirementTermmission(30%):10termsaregroupedbyyourselves.Eachtermisresponsibleforonechapter(assignrandomly).1.Reviewyourchapter(1)When:atthebeginningofcomingclassafterlectureofeachchapter(Don'tprepareitatthelastsecond)(2)Howlong:20-30minutes(3)Includingrealexampleispreferred(4)Interactionispreferred(5)Freshairispreferred2.Assignthehomework(1)trytocovermostofimportantpartofeachchapter(2)Includerealdataanalysis(3)Don'tbotheryourselvesbytoomuchhomework8CourseArrangementandRequirement3.Gradethehomework(1)useA,BandC;allAarenotacceptable.(2)Nottoodetailed(remember,youneedtograde50homework)(3)Noticethecommonfault(why?thinkaboutit.)4.Commentthehomeworkinclass(1)donotexclude10minutes(2)concentrateonthecommonfault5.Designacoursepaperanddefenseinclass(20%)(1)Duringdefense,claimhowyourteamcooperate(2)Makeppt(3)Defensetimedependsonhowlongwehaveattheendofsemester(4)Submityourpaperbeforefinalexam9ContactInformationPPTdownload:PublicEmail:[e-mail]:fall2011ContactMe:Email:[e-mail]：通博楼B208Officehour：TW1-3pm10ChapterIIntroductionWhychapterI:Seethebigpictureofthiscourse!Contentofchapter:●WhatisEconometrics●Basicresearchmode●Basicconcept—Variable,Parameter,DataandModel111.WhatisEconometrics?FromExampletoTheory——SeesomeCases:Case1：QuantitativeAnalysisOnChineseEconomicGrowth●Howtomeasuretheeconomicgrowth?(MeasureGDP,Growthvelocity,Fluctuation)●AnalysisthefactorsthatimpactGDP？(Investment,Consumption,Exportation…..)●Thewaysofimpact？(Promote,Restrain)●Thequantitativeeffectruleofthosefactors？（DetailedeffectunitstotheGDP）●Howreliableofthatquantitativeanalysis？●PolicyeffectanalysisandforecastingtoGDPgrowth……12Case2：ChinesehouseholdVehicleMarketAnalysis●HowisChinesevehiclemarket？（Measurebysalevolume）●mainaffectfactorontovehiclemarket？（Income,price,fee,roadcondition,policy…）●Impactwaytomarket(positive,negative)●Detailedquantitativerelationshipbetweensalevolumeandfactors？●Reliabilityofconclusion？●Prospectofmarketandhowtodesignthepolicy?1314Case3：SharepriceanalysisofChineseStocks●Howdoessharepricechange?（Measurebystockindex）●Whatisthemaineffectfactorstotheprice?（Fundamental,capital,policy,Interestrate…）●Qualitativerelationshipbetweenstockindexandfactors?（bear,bull）●Whatisthedetailedquantitativerelationship？●Istheanalysisreliableofnot？●Whatisthetrendofthestockindex？Whatisincommonforthecases?●Comeupwithresearchtopicsandmeasurement(GDP,stockindex…）Determinethevariabletobethetargetofeconomicphenomenon●Analyzethemainimpactfactors(fromeconomictheoryandexperience)Selectanumberofvariablesasimpactfactors●AnalyzetherelationshipbetweentargetandfactorsDeterminethemathexpressionoftherelationship●DeterminethequantitativerulebetweentargetandfactorsScientificquantitativemethodisnecessary●AnalyzeandtestthereliabilityofquantitativeconclusionStatistictestingmethodisemployed●Makeeconomicanalysisandforecasting.ApplicationtothequantitativeanalysisConclusion：Weneedhaveadisciplinetomakethegeneralanalysis!15(1)OriginandImprovementofEconometricsOrigin：QuantitativeAnalysistotheeconomicproblemReason：During1930‟s,theEconomicCrisismakethepurequalitativeresearchfailedtosolvetherealproblem,andthequantitativeanalysisbasedonmathandstatisticsaremoreandmorepopular.Frisch(FounderofEconometrics)：Theeconomictheorywhichisonlybasedonqualitativeworkinsteadofmeasureimportanceofimpactfactorsquantitatively,can‟tgetany„conclusion‟.16Pol