计量经济学课件

5
What can econometrics do for us?
An Example y=f(x1,x2,x3,x4,x5,x6,,x7) y : hours spent in criminal activity x1 :”wage” of the criminal activity x2,: hourly wage in legal employment x3 : Income other than from crime or employment x4,: Probability of getting caught. x5: Expected sentence if got caught x6,: Age x7: Discrimination degree received in cities
7
Data : The Input

Cross – Section data
A cross-sectional data set consists of a sample of individuals at a given point in time. Here individuals are considered in broader sense. Cross-sectional data are widely used in economics, especially in fields like labor economics, health economics, urban economics, etc.

14
Table 3 Some Variables of Welfare Recipients in State A of country U
time 19994 20001 20002 20003 19983 19993 20001 20002 19984 20004 19982 19993 19994 20001 19991 person 3 3 3 3 7 7 7 7 10 10 18 25 25 25 37 earnings 0 0 0 0 6284.25 0 0 3425.42 345.08 2686.48 226.6 0 289.25 2226.76 412.94 hour 0 0 0 0 471 0 0 280 0 347 44 0 45 259 8 employ 0 0 0 0 1 0 0 1 1 1 1 0 1 1 1 gender F F F F F F F F F F F F F F F
4
What can econometrics do for us?
Testing economic theories Explain behaviors that are of economic nature Explain behaviors disguised not to be of economic nature Policy evaluation

8
Table 1 A Survey of Rural Households’ Income in Province S at Year 2004
户主姓 名 田 杨 何 郭 薛 李 杨 苳 马 史 何 张 贾 李 杜 吴 王 何 王 严 张 姜 张 张 张
2003 年 家 庭 纯 收 入 (元) 10000 8000 10000 7000 7000 8000 7000 6000 7000 5000 6000 8000 10000 10000 8000 10000 9000 12000 10000 30000 15000 20000 30000 3500 1000
Year 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 GDP 100 107.6 116 122 133.3 148.2 170.9 193.5 209.9 234.1 260.5 271.5 283 308.8 352.2 398.4 448.7 489.1 536.8 582.9 628.4 673.5 730 782.6 848.9 Currency 212.27 267.71 346.2 396.34 439.12 529.78 792.11 987.83 1218.36 1454.48 2134.03 2344.02 2644.37 3177.8 4336 5864.7 7288.6 7885.3 8802 10177.6 11204.2 13455.5 14652.7 15688.8 17278 M1 954.7 1208.1 1486.2 1707 1972.9 2291.5 3233 3450.1 4393.8 5173.1 6376.4 6804.6 8133.3 10061.5 14294.5 18167.5 20540.7 23987.1 28514.8 34826.3 38953.7 45837.3 53147.2 59871.6 70881.8
2004 年家庭纯收 入 (元) 12000 11000 12000 11000 8000 10000 9000 8000 10000 8000 7000 10000 10000 10000 10000 15000 17000 15000 20000 20000 30000 25000 38000 4000 2000

2
What is econometrics

Ragnar Frisch （1933）: “The (econometric) society... main object shall be to promote studies that aim at a unification of the theoretical-quantitative and empiricalquantitative approach to economic problems that are penetrated by constructive and rigorous thinking similar to that which has come to dominate in the natural sciences.”

16
Steps in Empirical Econometric Analysis
Use basic economic tools to formulate an economic model that describes the relations between the main variables of interest. Using knowledge about model specification to transform an economic model into an econometric model that is ready for estimation and prediction.
2004 年家庭现金 纯收入 (元) 12000 11000 10000 11000 8000 7000 8000 8000 10000 6000 7000 8000 6000 10000 10000 15000 17000 14000 20000 15000 30000 25000 15000 4000 2000

13
Data : The Input

Panel Data
Panel data is a sets of time-series observations for a group of individuals. Her other English names: longitudinal data, timeseries cross-section data. Her Chinese names: 面板数据，板块数据，综列 数据。

6
What can econometrics do for us?

Overall, we use econometrics to explain phenomena of economic nature, make policy recommendations and make forecasts about the future.
INTERMEDIATE ECONOMETRICS
Economics Double Major
Yan Shen, CCER Fall, 2005
1
Outline
What is econometrics What can econometrics do for us Data: The Input Steps in Empirical Analysis What Will be Covered in This Course
3
What is econometrics
Econometrics is not just economics statistics, nor economic theory, nor application of mathematics to economics. It is the unification of the three.
15
Steps in EmpBaidu Nhomakorabearical Econometric Analysis

Formulate the question of interest carefully, so that it is specific enough to be able to be answered by the data at hand and through using econometric techniques available. Collect needed data for the question of interest.

10
Data : The Input

Time – Series data

A Time – Series data consists of observations on a variable or several variables over time.
11
Table 2 China’s GDP, Currency and M1, 1978 – 2002
打工纯收 入 (元)
其中，外出打工纯收入 (元)
8000 1500 6000 1000 500 3000
1000
5000
4000
4000
10000
10000 10000 24000
3000
9
Data : The Input
Notice that cross-sectional data can include variables that describes situations in the past or in the future. In this course we will mainly discuss the analysis of cross-sectional data, since its data structure often makes random sampling assumption reasonable.
12
Data : The Input

Time Series data has three important differences from cross-sectional data.
The ordering of observations in Time series data is meaningful. Observations are often correlated. Data frequency needs special attention.