2008級西方經(jīng)濟(jì)學(xué)、產(chǎn)業(yè)經(jīng)濟(jì)學(xué)等各專業(yè)研究生計量經(jīng)濟(jì)學(xué)1-緒論

1、拿起計量經(jīng)濟(jì)的武器Econometrics: Your Weapon李春濤School of Economics and Finance, the University of Hong KongEmail: chtlecon.hku.hk 計量經(jīng)濟(jì)學(xué)家林少宮n1944年畢業(yè)于中央大學(xué)經(jīng)濟(jì)系 n1947年到美國，師從Herwicz和Modigliarnin伊利諾伊大學(xué)獲得經(jīng)濟(jì)學(xué)博士學(xué)位 n任教于俄亥俄州立大學(xué)n1954年，他謝絕了當(dāng)時統(tǒng)計學(xué)界、經(jīng)濟(jì)學(xué)界、數(shù)學(xué)界公認(rèn)的大師霍特林(Hotelling)教授的工作邀請，放棄了國外優(yōu)越的生活條件，毅然返回祖國，向教育部報到 計量經(jīng)濟(jì)學(xué)家林少宮n現(xiàn)代經(jīng)濟(jì)學(xué)

2、一直被視為是“庸俗”的、為資本主義制度進(jìn)行詭辯的資產(chǎn)階級學(xué)科，經(jīng)濟(jì)學(xué)出身的林老師回國后不能教現(xiàn)代經(jīng)濟(jì)學(xué)，也就只好被分配到華中工學(xué)院數(shù)學(xué)教研室從事數(shù)理統(tǒng)計的教學(xué)和研究工作n其間錢學(xué)森教授曾力邀林老師去北京工作，被愛才如命的教育家朱九思老校長強(qiáng)留下來n 田國強(qiáng)、艾春榮、時壽勇、宋敏、譚國富、徐殿慶、方振民、楊小凱、文梅、劉安平、黃曉東等School of InformationnWhat is information？Insider information?n李國寶的朋友梁啟雄的女兒梁家安和丈夫王勤兢在4月13日至30日期間購買41.5萬股道瓊斯公司股份，價值1500萬美元。新聞集團(tuán)收購意圖公開后

3、，道瓊斯股票價格急升58%，王勤兢夫婦所掌 握的股票價值升至2300萬美元，利潤高達(dá)818萬美元。Rumors？Fortune or sin?nApril 19, 2007Stock market reaction before macro-data releasenThe (trilogy) film MatrixInformation is data collection and its processingData miningAttributes of Information nMathematical modeling nData collection nComputer scien

4、ce nData mining (Econometrics Methods)What the school has missed?nMore focus on Econometrics?nA econometrics department?Your Merits nSolid background in Mathematics nTrainings in Statistics and Probability theorynIntensive Skills in Computer ProgrammingnSome basic knowledge of Economics What the job

5、 market is recruiting？nQuantitative analysis for financial industrynEmpirical researchers for social science Opportunities for younFinancial InstitutionsnResearch Assistant nGraduate Program, domestic and abroadnOsama bin Laden RecommendationsnStatisticsnEconometrics nEconomics TheorynSoftware nData

6、 sourcesOutline nWhat is Econometrics?nWhere to use it?nClassical Econometrics CasesnSoftware IntroductionnDatabases within arms lengthnSuggestions for your thesisThe Emerging of EconometricsnIdeal Theoretical Models: too idealBased on ideal hypothesis Too simple compared with real worldnMulti-facto

7、r in CausalityOwnership may affect firm performanceFirm size, legal environment etc may also have effectsModels cannot be inclusive enoughnTwo-Direction CausalityComplexity in DatanContinuous measured data nDiscrete data nCross-section data nTime-series data nPanel dataWhat is Econometrics?nEconomet

8、rics is a set of quantitative techniques that are useful for making “economic decisions”neconomic measurementIt is the branch of economics that applies statistical methods and mathematical models to the empirical study of economic theories and relationships InterdisciplinaryMathEconStatisticsMath.Ec

9、on.Math. Stat.Econ. Stat.EconometricsBack to HerwiczEg1： YSaving XIncomeuXYob )(PrTypical Econometrics QuestionsEg2： YVote for Demarcates XSocial Economics CharacteristicsuXY Widely Used in Social SciencenCliometrics the railways in the American economy North, the civil war and the end of the Negro

10、Slaveryeconomic historyLaw Researchn中國“命案必破”是否制造了冤假錯案？n2004年2月開始，公安部向各地方公安局下達(dá)命令，要求公安部門必須破獲一切命案n這個命令沒有科學(xué)依據(jù)n警察不是超人 出動大量的人力物力，造成破案成本上升制造冤假錯案n比如，警察找到一個死刑犯，這個人要死了，多頂一個命案的成本不大，于是就會頂替案件，讓真正的罪犯逍遙法外研究方法：n收集某一地區(qū)2004年2月前后各1年的涉命案例n每個死刑犯背負(fù)的命案數(shù)量為yn每個刑事犯罪分子的基本特征：年齡、性別、教育程度、職業(yè)、收入狀況等n時間變量T=1 如果刑犯的審判日期在2004年2月以后，否則為0

11、Model TFarmerTAgeTEduFarmerAgeEduTY*76543210如果beta1顯著大于0，則說明命令下達(dá)以后，平均每個死刑犯的命案數(shù)量增加了，這是冤假錯案的信號如果beta7顯著大于0,說明命令下達(dá)以后,出身為農(nóng)民的刑事犯罪分子，更可能被迫頂替命案FinancenOwnership Structure and Firm PerformancenEfficient Market HypothesisnEvent StudynCorporate R&D and Corporate GovernancenLaw and FinancePrincipal-Agent P

12、roblemnSeparation between Ownership and ControlnOwners do not manage the firms directlynProfessional Managers are agent for ownersnWith Information Asymmetry and a lacking of effective monitoring, managers will pursuit self interest at the expense of shareholdersLuxury office and Hotel Beautiful Sec

13、taries Business class Tunneling Solution：nInterest Alignmentn理論一：給經(jīng)理人的股權(quán)越多，經(jīng)理人的利益與股東的利益越一致(interest alignment hypothesis)n理論二：經(jīng)理人的股權(quán)增加了，經(jīng)理人的位置就穩(wěn)定了，不怕失業(yè)了，不怕被人收購了，所以就不好好工作了（market entrenchment hypothesis）公司委托代理理論n兩個理論給出了相反的結(jié)論n兩個因素可能都存在，但是到底哪一個占優(yōu)呢n用實(shí)證研究來檢驗(yàn)：n收集幾千家公司的績效指標(biāo)和股權(quán)結(jié)構(gòu)指標(biāo)，用股權(quán)結(jié)構(gòu)指標(biāo)對企業(yè)績效作回歸，看系數(shù)是否為正Ac

14、counting and AuditingnDeterminants of Audit OpinionnEarnings Informativeness and Market ReactionnEarnings management and firm AttributesEarnings informativeness: Evidence from ChinanCorporate disclose their earnings in their annual reports nOn the disclosing date, market react differently for differ

15、ent earnings and different firms nGenerally speaking, the higher the earnings, the higher the stock price jumpsEarnings informativeness:nOther factors may also affect market reactionsLarge firms react less Risky firms react less strongEtc Earnings informativeness:nThis research test the relationship

16、 between market reaction and audit firm sizenOur theory is that, large audit firms are of higher quality, thus the earnings are more reliable nMarket react stronger for reliable earnings nThus market reaction is positively correlated with audit firm sizeMeasure of Market reactionnEvent studynFirm i

17、released its earnings on date 0tdateonreturnsistockisRtdateonreturnindexmarketisRitmtAgenda22titARCARRegression ResultsSoftware nA computer is a computer nIt is designed for computing, not just for chatting nIf youve got a computer, why bother to use the hand calculator?nChoose one, Get prepared, jo

18、bs waiting for youSASnTraditional software in econometrics analysis nExtensive packagesnPopular in industriesnExpensivenProgramming is a little difficultStatanEasy programmingnData friendlynLarge capacity nOutput automaticallynOpen ended softwarenPopular in academic community nPirate CD easily gotSPSSnThat is too easy to use nIt is also too stupid nAvoid itDat