计量经济学导论第四版英文完整教学课件

Economics 20 - Prof. Anderson
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The Question of Causality
Simply establishing a relationship between variables is rarely sufficient Want to the effect to be considered causal If we’ve truly controlled for enough other variables, then the estimated ceteris paribus effect can often be considered to be causal Can be difficult to establish causality
Need to use nonexperimental, or observational, data to make inferences
Important to be able to apply economic theory to real world data
Economics 20 - Prof. Anderson
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Why study Econometrics?
An empirical analysis uses data to test a theory or to estimate a relationship
A formal economic model can be tested
Theory may be ambiguous as to the effect of some policy change – can use econometrics to evaluate the program
Earnings 0 1education u
Economics 20 - Prof. Anderson
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Example: (continued)
The estimate of 1, is the 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 as possible Some things are still unobserved, which can be problematic
Economics 20 - Prof. Anderson
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Example: Returns to Education
A model of human capital investment implies getting more education should lead to higher earnings In the simplest case, this implies an equation like
计量经济学导论第四版英文 完整教学课件
Economics 20 - Prof. Anderson
1
Welcome to Economics 20
What is Econometrics?
Econom
Why study Econometrics?
Rare in economics (and many other areas without labs!) to have experimental data
Can follow the same random individual observations over time – known as panel data or longitudinal data
Economics 20 - Prof. Anderson
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Types of Data – Time Series
where y = 0 + 1x + u, we typically
refer to y as the
Dependent Variable, or Left-Hand Side Variable, or Explained Variable, or Regressand
Economics 20 - Prof. Anderson
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Types of Data – Cross Sectional
Cross-sectional data is a random sample
Each observation is a new individual, firm, etc. with information at a point in time
If the data is not a random sample, we have a sample-selection problem
Economics 20 - Prof. Anderson
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Types of Data – Panel
Can pool random cross sections and treat similar to a normal cross section. Will just need to account for time differences.
Economics 20 - Prof. Anderson
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The Simple Regression Model
y = 0 + 1x + u
Economics 20 - Prof. Anderson
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Some Terminology
In the simple linear regression model,
Time series data has a separate observation for each time period – e.g. stock prices
Since not a random sample, different problems to consider
Trends and seasonality will be important