




版權說明:本文檔由用戶提供并上傳,收益歸屬內容提供方,若內容存在侵權,請進行舉報或認領
文檔簡介
Econometrics計量經濟學IntroductoryEconometrics
計量經濟學導論Whenyoucanmeasurewhatyouarespeakingabout,andexpressitinnumbers,youknowsomethingaboutit;
whenyoucannotmeasureit,whenyoucannotmeasureitinnumbers,yourknowledgeisofameagerandunsatisfactorykind;itmaybethebeginningofknowledge,butyouhavescarcely,inyourthoughts,advancedtothestageofscience.
------LordKelvinOUTLINEWHAT
ISECONOMETRICS?WHY
ASEPARATEDISCIPLINE?WHO
NEEDSECONOMETRICS?HOW?
-METHODOLOGYOFECONOMETRICS2022/10/2832022/10/284
1WHATISECONOMETRICS?Econometricsmeans“economicmeasurement”butmuchbroaderthanmeasurement,ascanbeseenfromthefollowingquotations:Econometricsmaybedefinedasthequantitativeanalysisofactualeconomicphenomenabasedontheconcurrentdevelopmentoftheoryandobservation,relatedbyappropriatemethodsofinference.計量經濟學是對實際經濟現(xiàn)象的定量分析,結合適當?shù)耐茢喾椒?驗證或證偽理論和實踐之間關系的命題。1
WHATISECONOMETRICS?Econometrics,theresultofacertainoutlookontheroleofeconomics,consistsoftheapplicationofmathematicalstatisticstoeconomicdatatolendempiricalsupporttothemodelsconstructedbymathematicaleconomicsandtoobtainnumericalresults.計量經濟學是應用數(shù)理統(tǒng)計方法研究經濟問題和管理問題,以便為定性理論和數(shù)理模型提供經驗支持,并獲得數(shù)值結果的一門學科。--Econometricsmaybedefinedasthesocialscienceinwhichthetoolsofeconomictheory,mathematics,andstatisticalinferenceareappliedtotheanalysisofeconomicphenomena.--Econometricsisconcernedwiththeempiricaldeterminationofeconomiclaws.2022/10/2861
WHATISECONOMETRICS?2022/10/287
2WHYASEPARATEDISCIPLINE?Econometricsisanintegrationofeconomictheory,mathematicaleconomics,economicstatistics,andmathematicalstatistics.Thesubjectdeservestobestudiedinitsownrightforthefollowingreasons.Reason1DifferentfromPureEconomictheory
--Economictheorymakesstatementsorhypothesesthataremostlyqualitativeinnature.
--Econometrics:providesnumericalestimates,givesempiricalcontenttomosteconomictheory.
(quantitative)2022/10/288
2WHYASEPARATEDISCIPLINE?2022/10/289Reason2DifferentfromMathematicaleconomics
--Mathematicaleconomics:Mainconcernistoexpresseconomictheoryinmathematicalform(equations)withoutregardtomeasurabilityorempiricalverificationofthetheory.Y=β1+β2X
--Econometrics:Mainlyinterestedintheempiricalverificationofeconomictheory.Andthisconversionofmathematicalintoeconometricequationsrequiresagreatdealofingenuityandpracticalskill.Y=β1+β2X+u
2WHYASEPARATEDISCIPLINE?2022/10/2810Reason3DifferentfromEconomicstatistics:
--Economicstatisticsismainlyconcernedwithcollecting,processing,andpresentingeconomicdataintheformofchartsandtables.
--Econometrics:beingconcernedwithusingthecollecteddatatotesteconomictheories.
2WHYASEPARATEDISCIPLINE?Econo-metricsEconomicsStatisticsMathematicsYoudo.Manydecisionsingovernment,publicadministrationandbusinessrelyonanunderstandingofeconomicrelationshipsandalsoonquantifyingthatrelationship.2022/10/28123WhoNeedsEconometrics?Ex.1.Governmentinterestedinestimatingreturns(payoff)toeducation.Onlyworthinvestingif Benefit>costofprovision knowinghowmuchgraduatesearnrelativetonon-graduatesisoneimportantelementneededtoevaluatingthisdecision(privatereturn).Ex.2.Companiesneedtoknowwhetherandbyhowmuchincreasedadvertisingexpendituregeneratesincreasedsales.
Econometricscandoallthisandmore.2022/10/28133WhoNeedsEconometrics?2022/10/2814Howdoeconometriciansproceedintheiranalysisofaneconomicproblem?Thatis,whatistheirmethodology?--Thetraditional(orclassical)methodology,whichstilldominatesempiricalresearchineconomicsandothersocialandbehavioralsciences.4HOW?-METHODOLOGYOFECONOMETRICS2022/10/2815Traditionaleconometricmethodologyproceedsalongthefollowinglines:STEP1.Statementoftheoryorhypothesis.STEP2.Specificationofthemathematicalmodelofthetheory.STEP3.Specificationofthestatistical,oreconometricmodelSTEP4.Obtainingthedata.STEP5.Estimationoftheparametersoftheeconometricmodel.STEP6.Hypothesistesting.STEP7.Forecastingorprediction.STEP8.Usingthemodelforcontrolorpolicy.4HOW?-METHODOLOGYOFECONOMETRICS2022/10/2816step1.StatementofTheoryorHypothesisKeynesstated:Thefundamentalpsychologicallawisthatmen[women]aredisposed,asaruleandonaverage,toincreasetheirconsumptionastheirincomeincreases,butnotasmuchastheincreaseintheirincome.Inshort,Keynespostulatedthatthemarginalpropensity(naturaltendency)toconsume(MPC),therateofchangeofconsumptionforaunit(say,adollar)changeinincome,isgreaterthanzerobutlessthan1.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2817step2.SpecificationoftheMathematicalModelofConsumptionAlthoughKeynespostulatedapositiverelationshipbetweenconsumptionandincome,hedidnotspecifythepreciseformofthefunctionalrelationshipbetweenthetwo.Forsimplicity,amathematicaleconomistmightsuggestthefollowingformoftheKeynesianconsumptionfunction:Y=β1+β2X,0<β2<1(1.3.1)β1,β2:theparametersofthemodel,Y:consumption(expenditure):dependentvariable
X:income:explanatoryvariable.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2818β1:theintercept,β2:slopecoefficients.measurestheMPC.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2819step3.SpecificationoftheEconometricModelofConsumption
--Relationshipsbetweeneconomicvariablesaregenerallyinexact.--Thus,ifweweretoobtaindataonconsumptionexpenditureanddisposablei.e.,aftertaxincomeofasampleof500Americanfamilies,wewouldnotexpectall500observationstolieexactlyonthestraightlineofEq.(1.3.1)
--TheErrorReasons:inadditiontoincome,othervariablesaffectconsumptionexpenditure.Forexample,sizeoffamily,agesofthemembersinthefamily,familyreligion,etc.,arelikelytoexertsomeinfluenceonconsumption.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2820step3.SpecificationoftheEconometricModelofConsumptionToallowfortheinexactrelationshipsbetweeneconomicvariables,theeconometricianwouldmodifythedeterministicconsumptionfunction(1.3.1)asfollows:Y=β1+β2X+u(1.3.2)
u:knownasthedisturbance,orerrorterm,isarandom(stochastic)variablethathaswell-definedprobabilisticproperties.u:disturbancetermmaywellrepresentallthosefactorsthataffectconsumptionbutarenottakenintoaccountexplicitly.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2821TheeconometricconsumptionfunctionhypothesizesthatthedependentvariableY(consumption)islinearlyrelatedtotheexplanatoryvariableX(income)butthattherelationshipbetweenthetwoisnotexact;itissubjecttoindividualvariation.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2822step4.ObtainingDataToestimatetheeconometricmodelgivenin(I.3.2),thatis,toobtainthenumericalvaluesofβ1andβ2,weneeddata.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2823--TheYvariable:theaggregate(fortheeconomyasawhole)personalconsumptionexpenditure(PCE)--TheXvariable:grossdomesticproduct(GDP),ameasureofaggregateincome,--Bothmeasuredinbillionsof1992dollars,theyaremeasuredinconstant(1992)prices.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2824step5.EstimationoftheEconometricModel
thestatisticaltechniqueofregressionanalysisisthemaintoolusedtoobtaintheestimates.UsingthistechniqueandthedatagiveninTable1.1,weobtainthefollowingestimatesofβ1andβ2,namely,-184.08and0.7064.Thus,theestimatedconsumptionfunctionis:?i=-184.08+0.7064Xi(1.3.3)--Itmeansconsumptionexpenditurewentupbyabout70centsforadollar’sincreaseinrealincome.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2825step6.HypothesisTesting
KeynesexpectedtheMPCtobepositivebutlessthan1.why?Inourexample,wefoundtheMPCtobeabout0.70.ButbeforeweacceptthisfindingasconfirmationofKeynesianconsumptiontheory,wemustinquirewhetherthisestimateissufficientlybelowunitytoconvinceusthatthisisnotachanceoccurrenceorpeculiarityoftheparticulardatawehaveused.Inotherwords,is0.70statisticallylessthan1?Ifitis,itmaysupportKeynes’theory.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2826step7.ForecastingorPredictionIfthechosenmodeldoesnotrefutethehypothesisortheoryunderconsideration,wemayuseittopredictthefuturevalue(s)ofthedependentvariableYonthebasisofknownorexpectedfuturevalue(s)oftheexplanatory,orpredictor,variableX.Toillustrate,supposewewanttopredictthemeanconsumptionexpenditurefor1997.TheGDPvaluefor1997was7269.8billiondollars.PuttingthisGDPfigureontheright-handsideof(1.3.3),weobtain:Y1997=-184.0779+0.7064(7269.8)=4951.3167(1.3.4)Theactualvaluein1997was4913.5billiondollars.Theforecasterrorisabout37.82billiondollars,whichisabout0.76percentoftheactualGDPvaluefor1997.OneExample-Thewell-knownKeynesiantheoryofconsumption2022/10/2827step8.UseoftheModelforControlorPolicyPurposesSupposefurtherthegovernmentbelievesthatconsumerexpendit
溫馨提示
- 1. 本站所有資源如無特殊說明,都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請下載最新的WinRAR軟件解壓。
- 2. 本站的文檔不包含任何第三方提供的附件圖紙等,如果需要附件,請聯(lián)系上傳者。文件的所有權益歸上傳用戶所有。
- 3. 本站RAR壓縮包中若帶圖紙,網頁內容里面會有圖紙預覽,若沒有圖紙預覽就沒有圖紙。
- 4. 未經權益所有人同意不得將文件中的內容挪作商業(yè)或盈利用途。
- 5. 人人文庫網僅提供信息存儲空間,僅對用戶上傳內容的表現(xiàn)方式做保護處理,對用戶上傳分享的文檔內容本身不做任何修改或編輯,并不能對任何下載內容負責。
- 6. 下載文件中如有侵權或不適當內容,請與我們聯(lián)系,我們立即糾正。
- 7. 本站不保證下載資源的準確性、安全性和完整性, 同時也不承擔用戶因使用這些下載資源對自己和他人造成任何形式的傷害或損失。
最新文檔
- 廣東華南師大附中2025屆高一下化學期末監(jiān)測模擬試題含解析
- 合肥社區(qū)人員管理辦法
- 機械維修制度管理辦法
- 趣味性與原動力在學習和生活中的作用研究
- 北京預售許可管理辦法
- 辦公室綜合管理和服務標準指南
- 板材加工安全管理辦法
- 數(shù)字金融韌性增強對跨境電商影響的深度探究與對策建議
- 校務職工書屋管理辦法
- 公益廣告陣地管理辦法
- 中醫(yī)介紹中醫(yī)四診
- 存量房的買賣合同
- 以工代賑群眾務工組織方案
- 義務教育新課標必背古詩詞135篇
- 營養(yǎng)專科護士總結匯報
- 熱射病科普宣傳
- 6S視覺管理之定置劃線顏色管理及標準樣式
- 數(shù)字資產的監(jiān)管框架
- DL∕T 5783-2019 水電水利地下工程地質超前預報技術規(guī)程
- 100MW400MWh全釩液流電池儲能電站項目可行性研究報告寫作模板-拿地申報
- 老版入團志愿書表格完整
評論
0/150
提交評論