Analysis of Cross Section and Panel Data

Ming Lu & Yan ZhangSchool of Economics, Fudan University

CCER, Fudan University

Introductory EconometricsA Modern Approach

Yan ZhangSchool of Economics, Fudan University

CCER, Fudan University

Motivation

Theoretical & Empirical Research Theoretical Research in China

What’s “modern” approach?

Motivation

实证研究的重要性 理论研究与理论研究文章在中国的困境 什么是规范的研究方法 Model 的乐趣 什么是规范的实证研究方法 Modern

计量经济学课程 学与用

Lu’s points

What’s Panel Data （面板数据） ?

Cross-Sectional Data Different units; at a given point in time

Time Series Data Same units; overtime

Panel Data a time series for each cross sectional member

Pooled Cross Sections

Specialties of Different Data Structure

Cross-Sectional Data Random sampling; ordering

Time Series Data Time dependent; Data frequency; Seasonal patter

n Panel Data

Characteristic of cross sectional members Results of govt. policies (Pooled Cross Sections)

Our Focus

Cross-Sectional Data Fundamental approach

Panel Data Pooled Cross Sections; LSDV

Advanced Topics IV and TSLS; Simultaneous Eq. ; Limited Depend

ent Variable Models and Sample Selection Corrections;

Readings

Textbook:

Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach.

References: J.M. Wooldridge, Econometric Analysis of Cross

Section and Panel Data. W.H. Green, Econometric Analysis.

Some Papers

Analysis for Cross Section and Panel Data

Chap 1. The Nature of Econometrics and Economic Data

1.1 What’s Econometrics?

Econometrics is based upon the development of statistical methods for estimating economic relationships, testing economic theories, and evaluating and implementing government and business policy.

Econometrical Analysis MethodsApplications

1.2 The Structure of Economic Data

Nonexperimental Data (Observational data)

Experimental Data

Cross-Sectional Data

De Long and Summers (1991).The ordering of the data does not matter

Time Series Data

最低工资条例对就业的影响；Castillo-Freeman and Freeman(1992)Time dependent; Data frequency; Seasonal pattern

Pooled Cross SectionsPooling cross sections from different years;Effectively analyzing the effects of a new govt. policy;Similar to a standard cross section, except that we often need to account for secular differences in the variables across the time.

Panel or Longitudinal DataThe same cross sectional members;

To control certain unobserved Characteristic of cross sections;To study the importance of lags in behavior or the result of decision making

1.3 Theoretical and Empirical Analysis

E.g. Economics of Crime (Gary Becker, 1968)

Econometric Model How to?

Economic Model Utility maximization

Intuition

1.3.1 Economic Model

Benchmark: choice of labor supply Leisure, labor (legal jobs, illegal crime) Allocation of resource

Economic Model

y hours spent in criminal activities; x1 “wage” for an hour spent

in criminal activity; x2 hourly wage in legal employment; x3

income other than from crime or employment; x4 probability of

getting caught; x5 probability of being convicted if caught; x6

expected sentence if convicted; x7 age

1.3.2 Econometric Model

The relations between economic model and econometric model

f——specification of function form

x——key factors

u——unobserved factors; ambiguities

1.3.3 Other Steps

Data Collecting Carefully; preparations

Estimation of parameters in the ec model Econometric methods

TestImplications——prediction; policy

1.4 Causality and Ceteris Paribus

Ceteris Paribus——others being equal the economist’s goal is to infer that one var. ha

s a causal effect on another var. Questions:

How can we measure the Ceteris Paribus Effects of

Fertilizer on Crop Yield ?

计量经济方法是否可以模拟一个“ Ceteris Paribu

s” 的实验？

结论性评论Feldstein （ 1982a, p.830) 指出“这个故事的重要意义

不在于每个盲人带着片面的、“不正确的”印象而去，而在于聪明的王公（经济学家）研究了这五个盲人的发现

后，能把各部分拼在一起，形成对大象的正确判断，特别是如果他以前曾看到过其他四腿动物的话。”

理论的作用理论的用途之一： 分离出对行为产生重要影响的一小组

变量理论的目的： 尽量简单与抽象化问题，以便抓住问

题的本质计量经济学的不同之处

本部分课程内容参考资料

Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach, Chap 1.

图形

垃圾

河流

捕鱼外部性

产权与效率？

效率损失与解决方法

私人市场无效供给

私人方法 公共方法

如何解决？