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Lecture One

Methodology of

Econometrics

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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！

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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！

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Mainstream Analysis Approaches

Normative Analysis

Positive Analysis (empirical analysis)

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The Writer D.N.Gujarati

Professor of econometrics at the Military Academy at West Point

Master of Commerce MBA Editorial referee Author Visiting Professor

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What is Econometrics

Empirical support to the models Quantitative analysis of actual economic

phenomena Social science in which the tools of economic

theory, mathematics, and statistical inference are applied to the analysis.

Positive help Economic theory _____ measurements

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Methodology of Econometrics Statement of theory or hypothesis Obtaining the data Specification of the mathematical model Specification of the econometric model Estimation of the parameters of the

econometric model Hypothesis testing Forecasting or prediction Using the model for control or policy

purposes

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Statement of Theory or Hypothesis

Postulate ( give some examples )

Statement

Note: hypothesis is not the same as an assumption

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Obtaining the Data

Nature

Sources

Limitations

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Types of Data

Time series data: quantitative ,qualitative (dummy variable)

(SATIONARY)

Cross-sectional data: (HETEROGENEITY)

Pooled data: (Panel data)

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Sources

www.whitehouse.gov/fsbr/esbr.htm www.nber.org

(National bureau of economic research) www.census.gov Stats.bls.gov www.jstor.gov

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Accuracy of Data Non-experimental in nature Round-offs and approximations Non-response Selectivity bias Aggregate level Confidentiality The results of research are only as good

the quality of the data.

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Specification of the mathematical model

Yi=b1+b2*Xi 0<b2<1 Yi consumption expenditure Xi income Parameters b1 b2, b1 intercept ,b2 slope Consumption function Single equation model Multiple equation model

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Terminology

Yi Dependent variable Explained variable Predictand Regressand Response Endogeous Target variable

Xi Independent variable Explanatory variable Predictor Regressor Stimulus variable Exogenous variable Control variable

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Specification of the econometric model

Yi=b1+b2*Xi + u iUi disturbance, error term, random (st

ochastic variable)Econometric modelLinear regression model

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Significance of Disturbance: ui Surrogate for all omitted variables Vagueness of theory Unavailability of data Core variables VS. peripheral variables Intrinsic randomness in human behavior Poor proxy variables Principle of parsimony Wrong functional form

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Linear Relationship

Linearity in the variables

E(y|xi)=b1+b2*xi*xiLinearity in the parameters

E(y|xi)= b1+root(b2)*xi*xi

LRM : linear regression model

NLRM: non-linear regression model

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Regression RelationshipsRegression analysis is concerned with

the study of the dependence of Yi with one or more Xi. Xi is known or fixed , predicting the mean of Yi of total.

Statistical vs. deterministic relationshipsRegression vs. causationRegression vs. correlation

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Estimation of the econometric model

Numerical estimates of the parameters

Regression analysis is the main tool used to obtain the estimates

The hat on Y indicates that it is an estimate

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Hypothesis Testing

Sample->sample parameter->estimate->estimator distribution->population parameter->population characteristics

Confirmation or refutation of economic theories on the basis of sample evidence

The basement is statistical inference (Hypothesis testing)

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Forecasting or Prediction

Hypothesis or theory be confirmed

Known or predictor variable X

Predict the future values of the dependent

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Use of the Model for Control or Policy Purposes

Control variable XTarget variable YYi=b1+b2*XiManipulate the control variable X to

produce the desired level of the target variable Y

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Anatomy of Classical Econometric Modeling

Economic theory Mathematical model of theory Econometric model of theory Data Estimation of econometric model Hypothesis testing Forecasting or prediction Using the model for control or policy purposes

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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 1-6 6

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