1、ECONOMETRICSLichao WUXianiversity1主講教師授課教師：武力超國際經(jīng)濟與貿易系，助理教授辦公地點：經(jīng)濟學院B107電子郵件: 助教：余麗麗2簡介課程特點：1 側重于實際應用，側重于案例教學。理論以闡明結論為主，不過分強調理論的證明與推導。培養(yǎng)用計量經(jīng)濟學方法解決實際問題的能力。2 介紹本學科研究成果。計量經(jīng)濟學定義：用定量的方法研究經(jīng)濟活動規(guī)律及其應用的科學。是經(jīng)濟學與統(tǒng)計學，數(shù)學相結合的交叉學科。英文：Econometrics。中文：計量經(jīng)濟學，經(jīng)濟計量學。在 1998 年教育部審定的學科分類中屬三級學科。經(jīng)濟學（02）應用經(jīng)濟學（0202）數(shù)量經(jīng)濟學（0202

2、09）。數(shù)量經(jīng)濟學中包括計量經(jīng)濟學，投入產出，數(shù)理經(jīng)濟學及運籌學的一部分內容（線性規(guī)劃，優(yōu)化，決策理論和風險分析等）。What is EconometricsFrisch（1933）:Ragnar“The(econometric)society. main object shall be to promote studiestaimataunificationofthetheoretical-ive and empirical-ive approach toeconomicconstructiveproblemstarepenetratedbyt.”andrigorousthinkingsim

3、ilartowhich has come to dominatehe natural scienEconometricsisnotjusteconomicssistics, noreconomic theory, nor application of mathematics toeconomics. It is the unification of the three.4Why study Econometrics?Rareineconomics(andmanyotherareaswithoutlabs!) to have experimental dataNeedtousenonexperi

4、mental(sometimescalledobservational data,retrospective data),or observational,dao make inferenImportant to be able to apply economic theory to real world data5Why study Econometrics?An empiricalysis uses dao tesheory orto estimate a relationshipA formal economic mcan be testedTheorymay beambiguousas

5、totheeffectofsome policy change can use evaluate the programeconometrics to6What can Econometrics do for us?Testing economic theoriesExplain behaviorst are of economic natureExplain behaviors disguised not to be of economic naturePolicy evaluationOverall, we use econometrics to explain phenomenaof e

6、conomic nature, make policy and make forecasts about the future.mendations7What can Econometrics do for us?An Exley=f(x1,x2,x3,x4,x5,x6,x7)y : hours spent in criminal activityx1 :”wage” of the criminal activityx2: hourly wage in legal employmentx3:e othern from crime or employmentx4: Probability of

7、getting caught.x5: Probability of being convicted if caughtx6: Expected sentence if convictedx7: Age8What can Econometrics do for us?Another Exlewage=0+ 1educ+ 2 exper+3training+wage:educ: exper: training:hourly wageyears of formal education years of workforce experienceks spent in job training9The

8、structure of economic dataCross Section dataA cross-sectional data set consists of a sle ofHereindividualsatagivenpoime.individuals are considered in broader sense.Cross-sectionaldataareinwidelyfieldsusedineconomics,espellylikelaboreconomics, health economics, urban economics,etc.10The structure of

9、economic dataNotice variables the future.tcross-sectionaldanincludet describes situationshe past or inhis course we will mainly discuss theysisofcross-sectionaldata, sinceitsdatastructuremptionoftenmakesrandomslingareasonable.Pooledcrosssectiondata,similartoanormalcrosssection.justneedtoaccountforti

10、medifferen.11121314The structure of economic dataTime Series dataA Time Series donsists of observations ona variable or several variables over time.Time series data has a separate observation for each time period e.g. stock priSince not a random s to considerle, different problemsTrends and seasonal

11、ity will be important15The structure of economic dataTime Series data has three important differen from cross-sectional data.Theorderingofobservationsimeseriesdata is meaningful.Observations are often correlated.Data frequency needs spel attention.1617The structure of economic dataPanel DataPanel da

12、ta is a sets of time-series observations for a group of individuals.HerotherEnglishnames:longitudinaldata,time-series cross-section s: 面板數(shù)據(jù)，板塊數(shù)據(jù)，HerChi綜列數(shù)據(jù)。1819Steps in Empirical EconometricysisFormulatethequestionoferestcarefully, sotitisspecificenoughtobeabletobeanswered by the data and a

13、nd through usingeconometric techniques available.Collect needed data for the question oferest.20Steps in Empirical EconometricysisUsebasiceconomictoolstoformulateaneconomicmtdescribestherelationsbetUsingn the main variables oferest.specificationknowledgeaboutmtoantransformaneconomicmoeconometric man

14、d prediction.t is readyfor estimation21Steps in Empirical EconometricysisMake important amptions before estimation ofparameters oferest.The ceteris paribus AmptionApromesotherthingsbeingequalysis.duringthes of the econometricWhen carefully appd, econometric methodscan simulate a ceteris paribus expe

15、riment.22Steps in Empirical EconometricysisSpecifyhypothesisoferestermsoftheunknown parameters .Useeconometricmethodstoestimatetheparameters and formally test the hypothesizes oferest .23Steps in Empirical Econometricysis-Chiexplanation我可以使用什么類型的數(shù)理知識來支根據(jù)的資源，通過散點圖得出初步結論和猜想我需要研究什么？ 可以和哪 些經(jīng)濟學 知識聯(lián)系？與經(jīng)濟學

16、原理相結合，通過科學的驗證將結果總結出來，提煉出來，為一開始的研究問題服務。最終完成對研究問題的論證持法想24設定，估計，、檢驗模型，分析回歸參數(shù)，。畫變量散點圖收集數(shù)據(jù)確定研究對象The Question of CausalitySimplyestablishingarelationshipbetnvariables is rarely sufficientWant to the effect to be considered causalIfwevetrulycontrolledforenoughothervariables, then the estimated ceteris pari

17、bus effectcan often be considered to be causalCan be difficult to establish causality25Exle: Returns to EducationAmof humancapitalinvestmentimpsgettingearningsmoreeducationshouldleadtohigherhe simplest case, this imps an equation likeEarnings 01education u26Exle: (continued)The estimate of b1, is th

18、e return to education, but can it be considered causal?While the error term, u, includes other factors affecting earnings, want to control for as much assibleSome things are stil problematicobserved, which can be27software1. EViews (Econometric Views) V. 4.0, 5.0, 6.0, 7.0（品）QMS公司的產2.TSP (Time Serie

19、s Prosor) V. 4.3 (Palo Alto, California,USA)3.PcGive ( 8.0, 9.0, 10.0,al Computer, General Instrumental Variable Estimation) V.4.PcFiml(alComputer,FullInformationumLikelihoodEstimation) V. 9.0, 10.0RATS (時間序列分析，協(xié)整分析，ARCH, GARCH模型，畫圖)Microfit (H. Pesaran and B. Pesaran, Oxford University)7.Mathematic

20、a V. 3.0, 3.1, 4.0（處理各種數(shù)算）8.S-PLUS V. 5.0（包括回歸分析、方差分析、判別分析、聚類分析、試驗設計、非參數(shù)方法、生存分析、時間序列分析、譜分析、投影尋蹤等。）9.Ox V. 1.11, （多用于10.GAUSS V. 3.2.19（多用于模擬）模擬）(Kent, Washengton, USA)11.SPSS, SAS，SA（主要用于一元和多元統(tǒng)計分析）website中國國家：經(jīng)合組織數(shù)據(jù)庫：統(tǒng)計/tj1j/index.htm#gwtjwz普查局：http:/會館：網(wǎng)：商業(yè)部：htt亞洲東盟：國家外匯管理局：C：息：hyzwIBM公司：r國信：經(jīng)濟雜志網(wǎng)：

21、納斯達克網(wǎng)：中：http:/搜索：中國國家館：http英文書搜索：國際金組織數(shù)據(jù)庫：journals1. Econometrica*, 雙刊。經(jīng)濟計量學會主辦，1933年創(chuàng)，2. Journal of刊。Econometrics*, 雙，1973年創(chuàng)，3. JournalofAppdEconometrics*，雙John，Wiley&Sons，1986年創(chuàng)刊。Theory, 每年五期，英國4. Econometric大學，1985年創(chuàng)刊。5.Oxford Bulletin of Econometrics and Sistics*, 季刊主辦，1936年創(chuàng)刊。，牛津大學經(jīng)濟與統(tǒng)計6.Journal of the American Sistical Assotion*, 季刊主辦，1888年創(chuàng)刊。，統(tǒng)計7. the American Economic Review,8. 數(shù)量經(jīng)濟技術經(jīng)濟研究，中國數(shù)量經(jīng)濟學會主辦例：檢驗關于邊際消費傾向(MPC)理論，或利用該理論進行經(jīng)濟控制或經(jīng)濟政策制定。理論人們的消費支出隨收入的增加而增加，但消費支出的增加小于收入的增加。即邊際消費傾向MPC大于零而小于1。（定性）。注: Marginal Propensity to Consume(MPC)MPC是西方經(jīng)濟學(宏觀)的消費理論之一，表示: 每增減一元國民收入所引起的消費變化建立數(shù)學模型， 假