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Lecture One

Lecture One. Methodology of Econometrics. 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！. 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） 得争取把一个个的大、小问题搞明白再说吧！. Mainstream Analysis Approaches. Normative Analysis Positive Analysis (empirical analysis).

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Lecture One

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  1. Lecture One Methodology of Econometrics

  2. 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！

  3. 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） • 得争取把一个个的大、小问题搞明白再说吧！

  4. Mainstream Analysis Approaches Normative Analysis Positive Analysis (empirical analysis)

  5. The Writer D.N.Gujarati • Professor of econometrics at the Military Academy at West Point • Master of Commerce • MBA • Editorial referee • Author • Visiting Professor

  6. WhatisEconometrics • 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

  7. MethodologyofEconometrics • Statement of theory or hypothesis • Obtaining the data • Specification of the mathematical model • Specification of the econometric model • Estimation of the parameters of the econometric model • Hypothesis testing • Forecasting or prediction • Using the model for control or policy purposes

  8. Statement of Theory or Hypothesis • Postulate ( give some examples ) • Statement • Note: hypothesis is not the same as an assumption

  9. Obtaining the Data • Nature • Sources • Limitations

  10. Types of Data Time series data: quantitative ,qualitative (dummy variable) (SATIONARY) Cross-sectional data: (HETEROGENEITY) Pooled data: (Panel data)

  11. Sources • www.whitehouse.gov/fsbr/esbr.htm • www.nber.org (National bureau of economic research) • www.census.gov • Stats.bls.gov • www.jstor.gov

  12. Accuracy of Data • Non-experimental in nature • Round-offs and approximations • Non-response • Selectivity bias • Aggregate level • Confidentiality • The results of research are only as good the quality of the data.

  13. 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

  14. Yi Dependent variable Explained variable Predictand Regressand Response Endogeous Target variable Xi Independent variable Explanatory variable Predictor Regressor Stimulus variable Exogenous variable Control variable Terminology

  15. Specification of the econometric model Yi=b1+b2*Xi + u i • Ui disturbance, error term, random (stochastic variable) • Econometric model • Linearregression model

  16. Significance of Disturbance: ui • 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

  17. Linear Relationship • Linearity in the variables E(y|xi)=b1+b2*xi*xi • Linearity in the parameters E(y|xi)= b1+root(b2)*xi*xi LRM : linear regression model NLRM: non-linear regression model

  18. Regression Relationships • Regression analysis is concerned with the study of the dependence of Yi with one or more Xi. Xi is known or fixed , predicting the mean of Yi of total. • Statistical vs. deterministic relationships • Regression vs. causation • Regression vs. correlation

  19. Estimation of the econometric model • Numerical estimates of the parameters • Regression analysis is the main tool used to obtain the estimates • The hat on Y indicates that it is an estimate

  20. Hypothesis Testing • Sample->sample parameter->estimate->estimator distribution->population parameter->population characteristics • Confirmation or refutation of economic theories on the basis of sample evidence • The basement is statistical inference (Hypothesis testing)

  21. Forecasting or Prediction • Hypothesis or theory be confirmed • Known or predictor variable X • Predict the future values of the dependent

  22. Use of the Model for Control or Policy Purposes • Control variable X • Target variable Y • Yi=b1+b2*Xi • Manipulate the control variable X to produce the desired level of the target variable Y

  23. Anatomy of Classical Econometric Modeling • Economic theory • Mathematical model of theory • Econometric model of theory • Data • Estimation of econometric model • Hypothesis testing • Forecasting or prediction • Using the model for control or policy purposes

  24. Please Give Some Suggestions Z3-W@163.COM 027-62082852 Thank you.

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