Lecture One
Methodology of Econometrics
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立论？结论？
❖ 立论:要求给出求论的路径。 ❖ 结论:要求说明结论的来源。
❖ 自以为是的东西并不见得是真 ❖ 我们不是上帝！
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我们的习惯是这样的吗？
❖ 结论来自感觉（象上帝） ❖ 宏观思考（象战略家） ❖ 习惯地提出政策建议（象顾问）
the quality of the data.
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Specification of the mathematical model
❖ Yi=b1+b2*Xi 0<b2<1 ❖ Yi consumption expenditure ❖ Xi income ❖ Parameters b1 b2, b1 intercept ,b2 slope ❖ Consumption function ❖ Single equation model ❖ Multiple equation model
❖ 得争取把一个个的大、小问题搞明白再 说吧！
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Mainstream Analysis Approaches
Normative Analysis Positiቤተ መጻሕፍቲ ባይዱe Analysis
(empirical analysis)
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The Writer D.N.Gujarati
❖ Professor of econometrics at the Military Academy at West Point
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Specification of the econometric model
Yi=b1+b2*Xi + u i ❖Ui disturbance, error term, random
(stochastic variable) ❖Econometric model ❖Linear regression model
❖ Postulate ( give some examples )
❖ Statement
❖ Note: hypothesis is not the same as an assumption
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Obtaining the Data
❖ Nature ❖ Sources ❖ Limitations
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Types of Data
Time series data: quantitative ,qualitative (dummy variable) (SATIONARY)
Cross-sectional data: (HETEROGENEITY)
Pooled data: (Panel data)
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Sources
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Accuracy of Data
❖ Master of Commerce ❖ MBA ❖ Editorial referee ❖ Author ❖ Visiting Professor
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What is Econometrics
❖ Empirical support to the models ❖ Quantitative analysis of actual economic
phenomena ❖ Social science in which the tools of economic
theory, mathematics, and statistical inference are applied to the analysis. ❖ Positive help ❖ Economic theory _____ measurements
econometric model ❖ Hypothesis testing ❖ Forecasting or prediction ❖ Using the model for control or policy
purposes 7
Statement of Theory or Hypothesis
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ui Significance of Disturbance:
❖ Surrogate for all omitted variables ❖ Vagueness of theory ❖ Unavailability of data ❖ Core variables VS. peripheral variables ❖ Intrinsic randomness in human behavior ❖ Poor proxy variables ❖ Principle of parsimony ❖ Wrong functional form
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Methodology of Econometrics
❖ Statement of theory or hypothesis ❖ Obtaining the data ❖ Specification of the mathematical model ❖ Specification of the econometric model ❖ Estimation of the parameters of the
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Terminology
Yi
❖ Dependent variable ❖ Explained variable ❖ Predictand ❖ Regressand ❖ Response ❖ Endogeous ❖ Target variable
Xi
❖ Independent variable ❖ Explanatory variable ❖ Predictor ❖ Regressor ❖ Stimulus variable ❖ Exogenous variable ❖ Control variable
❖ Non-experimental in nature ❖ Round-offs and approximations ❖ Non-response ❖ Selectivity bias ❖ Aggregate level ❖ Confidentiality ❖ The results of research are only as good