計量經(jīng)濟學武漢工程大學

1、1Lecture OneMethodology of Econometrics2立論？結(jié)論？立論？結(jié)論？v立論:要求給出求論的路徑。v結(jié)論:要求說明結(jié)論的來源。v自以為是的東西并不見得是真 v我們不是上帝！3我們的習慣是這樣的嗎？我們的習慣是這樣的嗎？v結(jié)論來自感覺（象上帝）v宏觀思考（象戰(zhàn)略家）v習慣地提出政策建議（象顧問）v得爭取把一個個的大、小問題搞明白再說吧！4Mainstream Analysis ApproachesNormative AnalysisPositive Analysis (empirical analysis)5The Writer D.N.GujarativPro

2、fessor of econometrics at the Military Academy at West PointvMaster of CommercevMBAvEditorial refereevAuthorvVisiting Professor6What is EconometricsvEmpirical support to the models vQuantitative analysis of actual economic phenomenavSocial science in which the tools of economic theory, mathematics,

3、and statistical inference are applied to the analysis.vPositive help vEconomic theory _ measurements7Methodology of EconometricsvStatement of theory or hypothesisvObtaining the datavSpecification of the mathematical modelvSpecification of the econometric modelvEstimation of the parameters of the eco

4、nometric modelvHypothesis testingvForecasting or predictionvUsing the model for control or policy purposes8Statement of Theory or HypothesisvPostulate ( give some examples )vStatement vNote: hypothesis is not the same as an assumption 9Obtaining the DatavNature vSourcesvLimitations10Types of DataTim

5、e series data: quantitative ,qualitative (dummy variable) (SATIONARY)Cross-sectional data: (HETEROGENEITY)Pooled data: (Panel data)11S/fsbr/ (National bureau of economic research)vS12Accuracy of Data vNon-experime

6、ntal in naturevRound-offs and approximationsvNon-responsevSelectivity biasvAggregate levelvConfidentialityvThe results of research are only as good the quality of the data.13Specification of the mathematical modelvYi=b1+b2*Xi 0b2sample parameter-estimate-estimator distribution-population parameter-p

7、opulation characteristicsvConfirmation or refutation of economic theories on the basis of sample evidence vThe basement is statistical inference (Hypothesis testing)21Forecasting or PredictionvHypothesis or theory be confirmedvKnown or predictor variable X vPredict the future values of the dependent

8、22Use of the Model for Control or Policy PurposesvControl variable XvTarget variable YvYi=b1+b2*XivManipulate the control variable X to produce the desired level of the target variable Y23Anatomy of Classical Econometric ModelingvEconomic theoryvMathematical model of theoryvEconometric model of theo

9、ryvDatavEstimation of econometric modelvHypothesis testingvForecasting or predictionvUsing the model for control or policy purposes24第第1章章計量經(jīng)濟學研究的方法論計量經(jīng)濟學研究的方法論4第第2-3章章基本統(tǒng)計概念，概率分布基本統(tǒng)計概念，概率分布4第第4章章估計與假設(shè)估計與假設(shè)4第第5章章雙變量模型的基本思想雙變量模型的基本思想4第第6章章雙變量模型的假設(shè)檢驗雙變量模型的假設(shè)檢驗4第第7章章多元回歸：估計與假設(shè)檢驗多元回歸：估計與假設(shè)檢驗4第第8章章回歸方程的函數(shù)形式回歸方程的函數(shù)形式4第第9章章虛擬變量的回歸模型虛擬變量的回歸模型4第第10章