現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系課件

§1.1現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

—從模型方法論角度§1.1現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

—從模型方法論角度引言經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)微觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)PanelData計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容2022/11/152MODERNECONOMETRICS引言2022/11/112MODERNECONOMETRI—引言—計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)（ClassicalEconometrics）現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)（ModernEconometrics時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)（TimeSeriesEconometrics）微觀計(jì)量經(jīng)濟(jì)學(xué)(Micro-econometrics)非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)(NonparametricEconometrics)面板數(shù)據(jù)計(jì)量經(jīng)濟(jì)學(xué)(PanelDataEconometrics)

—引言—計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系提出三個(gè)問題：經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)的地位問題現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支的發(fā)展導(dǎo)向問題計(jì)量經(jīng)濟(jì)學(xué)進(jìn)一步創(chuàng)新和發(fā)展的方向問題提出三個(gè)問題：現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支是以問題為導(dǎo)向，以經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型理論為基礎(chǔ)而發(fā)展的。

現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支是以問題為導(dǎo)向，以經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型—經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)—什么是經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)？R.Frish創(chuàng)立T.Haavelmo建立了它的概率論基礎(chǔ)L.R.Klein成為其理論與應(yīng)用的集大成者30年代創(chuàng)立、40-50年代發(fā)展、60年代擴(kuò)張2022/11/156MODERNECONOMETRICS—經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)—什么是經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)？2022/11/11經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)國(guó)外學(xué)者使用“經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)”的概念在DamodarN.Gujarati的《BasicEconometrics（4thedition）》(2001)中，“classicalmethodology”多處可見；PaulA.Ruud2000年出版一本教科書的名稱就是《AnIntroductiontoClassicalEconometricsTheory》；2000年WallaceHuffman也出版一本教科書《ClassicalEconometrics》；FrancoPeracchi在2001年的《Econometrics》中明確指出，該書提供了一個(gè)聯(lián)系“classicaleconometrics”與最近若干年的新研究領(lǐng)域，例如非參數(shù)方法、panelData等的橋梁。2022/11/157MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)國(guó)外學(xué)者使用“經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)”的概念2022/經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)與Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)對(duì)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)作出重大貢獻(xiàn)而獲得Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)的經(jīng)濟(jì)學(xué)家有6位。經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)為經(jīng)濟(jì)學(xué)的發(fā)展作出了重大貢獻(xiàn)，許多在其它經(jīng)濟(jì)學(xué)領(lǐng)域獲得Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)的經(jīng)濟(jì)學(xué)家都成功地應(yīng)用了計(jì)量經(jīng)濟(jì)學(xué)理論方法。2022/11/158MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)與Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)2022/1TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1969

"forhavingdevelopedandapplieddynamicmodelsfortheanalysisofeconomicprocesses"RagnarFrischNorwayJanTinbergentheetherlandsTheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1973

"forthedevelopmentoftheinput-outputmethodandforitsapplicationtoimportanteconomicproblems"WassilyLeontiefUSATheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1980

"forthecreationofeconometricmodelsandtheapplicationtotheanalysisofeconomicfluctuationsandeconomicpolicies"LawrenceR.KleinUSATheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1984

"forhavingmadefundamentalcontributionstothedevelopmentofsystemsofnationalaccountsandhencegreatlyimprovedthebasisforempiricaleconomicanalysis"RichardStoneGreatBritainTheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1989

"forhisclarificationoftheprobabilitytheoryfoundationsofeconometricsandhisanalysesofsimultaneouseconomicstructures"TrygveHaavelmoNorwayTheBankofSwedenPrizeinEc經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)創(chuàng)立建立第1個(gè)應(yīng)用模型建立概率論基礎(chǔ)發(fā)展數(shù)據(jù)基礎(chǔ)發(fā)展應(yīng)用模型TinbergenFrischHaavelmoStoneKlein建立投入產(chǎn)出模型Leontief創(chuàng)立建立第1個(gè)應(yīng)用模型建立概率論基礎(chǔ)發(fā)展數(shù)據(jù)基礎(chǔ)發(fā)展應(yīng)用模型經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型類型—隨機(jī)模型；模型導(dǎo)向—理論導(dǎo)向；模型結(jié)構(gòu)—線性或者可以化為線性，因果分析，解釋變量具有同等地位，模型具有明確的形式和參數(shù)；數(shù)據(jù)類型—以時(shí)間序列數(shù)據(jù)或者截面數(shù)據(jù)為樣本，被解釋變量為服從正態(tài)分布的連續(xù)隨機(jī)變量；估計(jì)方法—僅利用樣本信息，采用最小二乘方法或者最大似然方法估計(jì)模型?！鼋?jīng)典計(jì)量經(jīng)濟(jì)學(xué)在理論方法方面特征2022/11/1515MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型類型—隨機(jī)模型；■經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在理論方法經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在應(yīng)用方面的特征應(yīng)用模型方法論基礎(chǔ)—實(shí)證分析、經(jīng)驗(yàn)分析；應(yīng)用模型的功能—結(jié)構(gòu)分析、政策評(píng)價(jià)、經(jīng)濟(jì)預(yù)測(cè)、理論檢驗(yàn)與發(fā)展；應(yīng)用模型的領(lǐng)域—傳統(tǒng)的應(yīng)用領(lǐng)域，例如生產(chǎn)、需求、消費(fèi)、投資、貨幣需求，以及宏觀經(jīng)濟(jì)等。2022/11/1516MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在應(yīng)用方面的特征2022/11/經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)遇到的挑戰(zhàn)20世紀(jì)70年代的世界經(jīng)濟(jì)滯漲石油危機(jī)利率自由化管理浮動(dòng)匯率Lucas批判Lucas(1976)、Sarget(1976)、Sims(1980)實(shí)質(zhì)是對(duì)結(jié)構(gòu)模型的質(zhì)疑，“使用計(jì)量經(jīng)濟(jì)模型預(yù)測(cè)未來經(jīng)濟(jì)政策的變化所產(chǎn)生的效用是不可信的”。2022/11/1517MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)遇到的挑戰(zhàn)2022/11/111經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型《經(jīng)濟(jì)研究》1984-2004年發(fā)表的計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用研究論文中，經(jīng)典單方程模型占64%2022/11/1518MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型《經(jīng)濟(jì)研經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型AER1984-2004年發(fā)表的計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用研究論文中，經(jīng)典單方程模型占80%2022/11/1519MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型AER經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型作為一種實(shí)證經(jīng)濟(jì)研究方法的普遍適用性它所倡導(dǎo)的“經(jīng)濟(jì)理論、數(shù)學(xué)、統(tǒng)計(jì)學(xué)結(jié)合”的本質(zhì)；它所依賴的堅(jiān)實(shí)的概率論基礎(chǔ)；它能夠?qū)崿F(xiàn)的“利用現(xiàn)有的數(shù)據(jù)資料以提取關(guān)于經(jīng)濟(jì)如何運(yùn)行的信息”的功能；它所遵循的“關(guān)于經(jīng)濟(jì)活動(dòng)的觀察（即行為分析）→關(guān)于經(jīng)濟(jì)理論的抽象（即理論假說）→建立總體回歸模型→獲取樣本觀測(cè)數(shù)據(jù)→估計(jì)模型→檢驗(yàn)?zāi)Ｐ汀鷳?yīng)用模型”的研究步驟。

2022/11/1520MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型作為一種實(shí)證經(jīng)濟(jì)研究方法的普遍適用性22022/11/15MODERNECONOMETRICS21經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型自身的改進(jìn)與發(fā)展非線性模型變參數(shù)模型虛擬變量模型滯后變量模型模型設(shè)定工具變量方法現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的發(fā)展2022/11/11MODERNECONOMETRICS2—微觀計(jì)量經(jīng)濟(jì)學(xué)—概念2000年正式提出微觀計(jì)量經(jīng)濟(jì)學(xué)“對(duì)個(gè)人和家庭的經(jīng)濟(jì)行為進(jìn)行經(jīng)驗(yàn)分析”“微觀計(jì)量經(jīng)濟(jì)學(xué)的原材料是微觀數(shù)據(jù)”微觀數(shù)據(jù)是通過調(diào)查得到的微觀數(shù)據(jù)的顯著增加使得微觀計(jì)量經(jīng)濟(jì)學(xué)得到發(fā)展J.J.Heckman和D.L.Mcfadden的基礎(chǔ)性貢獻(xiàn)基于研究對(duì)象及其數(shù)據(jù)特征而發(fā)展的現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)模型體系。2022/11/1522MODERNECONOMETRICS—微觀計(jì)量經(jīng)濟(jì)學(xué)—概念2022/11/1122MODERN微觀計(jì)量經(jīng)濟(jì)學(xué)發(fā)展2000年以來關(guān)于微觀計(jì)量經(jīng)濟(jì)學(xué)的研究形成高潮

“Microeconometrics”“AdvancedMicroeconometrics”“AppliedMicroeconometrics”“TopicsinMicroeconometrics”“MethodsinMicroeconometrics”微觀計(jì)量經(jīng)濟(jì)學(xué)中最前沿的理論方法研究應(yīng)該是非參數(shù)和半?yún)?shù)方法2022/11/1523MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)發(fā)展2022/11/1123MODERNEC微觀計(jì)量經(jīng)濟(jì)學(xué)—受限數(shù)據(jù)模型受限數(shù)據(jù)被解釋變量模型(ModelwithLimitedDependentVariable)選擇性樣本模型(SelectiveSamplesModel)

截?cái)啵═runcation）歸并（Censored）持續(xù)時(shí)間被解釋變量模型（ModelforDurationData）2022/11/1524MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)—受限數(shù)據(jù)模型受限數(shù)據(jù)被解釋變量模型(ModeTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000

"forhisdevelopmentoftheoryandmethodsforanalyzingselectivesamples”JamesJHeckmanUSATheBankofSwedenPrizeinEc代表性獲獎(jiǎng)?wù)撐摹癝hadowPrices,MarketWagesandLabourSupply”,Econometrica42(4),1974,P679-694

發(fā)現(xiàn)并提出“選擇性樣本”問題。

“SampleSelectionBiasasaSpecificationError”,Econometrica47(1),1979,P153-161證明了偏誤的存在并提出了Heckman兩步修正法。

2022/11/1526MODERNECONOMETRICS代表性獲獎(jiǎng)?wù)撐?022/11/1126MODERNECON微觀計(jì)量經(jīng)濟(jì)學(xué)—離散數(shù)據(jù)模型離散數(shù)據(jù)被解釋變量模型（ModelwithDiscreteDependentVariable）離散選擇模型（DiscreteChoiceModel）

一般離散選擇模型嵌套離散選擇模型(Nested)排序離散選擇模型(Ordered)計(jì)數(shù)數(shù)據(jù)模型（ModelforCountData）2022/11/1527MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)—離散數(shù)據(jù)模型離散數(shù)據(jù)被解釋變量模型（ModeTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000

"forhisdevelopmentoftheoryandmethodsforanalyzingdiscretechoice"DanielLMcFaddenUSATheBankofSwedenPrizeinEc代表性獲獎(jiǎng)?wù)撐摹癈onditionalLogitAnalysisofQualitativeChioceBehavior”,FrontiersofEconometrics,AcademicPress.1974經(jīng)濟(jì)理論與計(jì)量經(jīng)濟(jì)方法的結(jié)合“TheMeasurementofUrbanTravelDemand”,JournalofPublicEconomics3,1974，P303-328離散選擇模型的成功應(yīng)用2022/11/1529MODERNECONOMETRICS代表性獲獎(jiǎng)?wù)撐?022/11/1129MODERNECON—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—一個(gè)重要概念經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型基于隨機(jī)抽樣的截面數(shù)據(jù)進(jìn)行建構(gòu)。時(shí)間序列數(shù)據(jù)的序列相關(guān)性破壞了經(jīng)典模型賴以建立的關(guān)鍵假定——隨機(jī)抽樣假定。如果時(shí)間序列是平穩(wěn)的，可以替代隨機(jī)抽樣假定。如果時(shí)間序列是非平穩(wěn)的，經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型的數(shù)學(xué)基礎(chǔ)將不再適用?，F(xiàn)代時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)是基于計(jì)量經(jīng)濟(jì)學(xué)模型的數(shù)學(xué)基礎(chǔ)而發(fā)展的。2022/11/1530MODERNECONOMETRICS—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—一個(gè)重要概念2022/11/1130M—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—地位現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向Granger、Engle、Hendry作出了最杰出的貢獻(xiàn)2022/11/1531MODERNECONOMETRICS—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—地位2022/11/1131MODER時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向經(jīng)典的宏觀計(jì)量經(jīng)濟(jì)學(xué)—宏觀計(jì)量經(jīng)濟(jì)學(xué)模型理論現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向——單位根檢驗(yàn)、協(xié)整理論以及動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)2001《JournalofEconometrics》100期紀(jì)念專輯

C.W.Granger“Macroeconometrics––––PastandFuture”J.H.Stock“Macroeconometrics”宏觀計(jì)量經(jīng)濟(jì)學(xué)的前沿研究方向——結(jié)構(gòu)變化的單位根和協(xié)整理論、隨機(jī)協(xié)整、PanelData的單位根和協(xié)整理論2022/11/1532MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003

"formethodsofanalyzingeconomictimeserieswithcommontrends(cointegration)"

CliveW.J.GrangerUKTheBankofSwedenPrizeinEc時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)格蘭杰:

分析具有共同趨勢(shì)的經(jīng)濟(jì)時(shí)間序列的方法——協(xié)整發(fā)現(xiàn)了非平穩(wěn)、具有共同趨勢(shì)的時(shí)間序列之間的虛假回歸；提出了協(xié)整的概念和協(xié)整的檢驗(yàn)方法；區(qū)分和表述了非平穩(wěn)時(shí)間序列之間的長(zhǎng)期關(guān)系和短期影響；提出了著名的Grange表述定理：如果變量X與Y是協(xié)整的，則它們間的短期非均衡關(guān)系總能由一個(gè)誤差修正模型表述。2022/11/1534MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)格蘭杰:分析具有共同代表性論文Granger,C.W.J.andNewbold,P.:1974,Spuriousregressionsineconometrics,JournalofEconometrics2,111-120.通過試驗(yàn)發(fā)現(xiàn)完全無關(guān)的非平穩(wěn)變量之間可以得到很好的，但是毫無道理的回歸結(jié)果。2022/11/1535MODERNECONOMETRICS代表性論文2022/11/1135MODERNECONOM代表性論文Engle,R.F.andGranger,C.W.J.:1987，Co-integrationandErrorCorrection:Representation,EstimationandTesting,Econometrica55:251-276.如果非平穩(wěn)時(shí)間序列之間的線性組合所形成的新的序列是平穩(wěn)的，那么它們之間的回歸關(guān)系是真實(shí)的。稱它們之間產(chǎn)生了協(xié)整。2022/11/1536MODERNECONOMETRICS代表性論文2022/11/1136MODERNECONOM代表性論文Davidson,J.E.H.,Hendry,D.F.,Srba,F.andYeo,S.:1978,Econometricmodellingoftheaggregatetime-seriesrelationshipbetweenconsumes’expenditureandincomeinUnitedKingdom,EconomicJournal88,661-692為什么Hendry未同時(shí)獲獎(jiǎng)？他們雖然在模型中引入了誤差項(xiàng)，但是沒有闡明經(jīng)濟(jì)學(xué)和統(tǒng)計(jì)學(xué)內(nèi)涵。2022/11/1537MODERNECONOMETRICS代表性論文2022/11/1137MODERNECONOM代表性論文Johansen,S.:1988,Statisticalanalysisofcointergrationvactor,JournalofEconomicDynamicsandConyrol12,231-254S?renJohansen1988年提出了改進(jìn)的方法。對(duì)Johansen的評(píng)價(jià)：“建立在最大似然基礎(chǔ)上的第二代方法”2022/11/1538MODERNECONOMETRICS代表性論文2022/11/1138MODERNECONOM代表性論文Hylleberg,S.,Engle,R.F.,Granger,C.W.J.andYoo,B.S.:1990,Seasonalcointergration,JpurnalofEconometrics44,215-238.季節(jié)協(xié)整(seasonalcointegration)Balke,N.andFomby,T.B.:1997,Thresholdcointergration,InternationalEconomicReview38,627-645.門檻協(xié)整(thresholdcointegration)2022/11/1539MODERNECONOMETRICS代表性論文2022/11/1139MODERNECONOM時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用格蘭杰的貢獻(xiàn)已經(jīng)被經(jīng)濟(jì)學(xué)家廣泛用于經(jīng)濟(jì)時(shí)間序列分析。成為宏觀經(jīng)濟(jì)分析的常用理論方法，成為宏觀計(jì)量經(jīng)濟(jì)學(xué)的主流。在一個(gè)經(jīng)濟(jì)系統(tǒng)中，經(jīng)濟(jì)變量之間既存在長(zhǎng)期均衡關(guān)系，又存在短期動(dòng)態(tài)關(guān)系，格蘭杰的協(xié)整分析已經(jīng)成為建立動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)模型的基石。2022/11/1540MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用2022/11/1時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)概念屬于現(xiàn)代宏觀計(jì)量還是獨(dú)立的分支？作為現(xiàn)代宏觀計(jì)量的一部分，強(qiáng)調(diào)其方法技術(shù)作為獨(dú)立的分支，強(qiáng)調(diào)其模型設(shè)定理論以D.F.Hendry為代表2022/11/1541MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)概念2022/11/114時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)模型設(shè)定理論理論導(dǎo)向→數(shù)據(jù)導(dǎo)向從簡(jiǎn)單到復(fù)雜→從一般到簡(jiǎn)單從數(shù)據(jù)生成過程（DGP）到自回歸發(fā)布滯后模型（ADL）從自回歸發(fā)布滯后模型（ADL）到誤差修正模型（ECM）2022/11/1542MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)模型設(shè)定理論2022/11時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從數(shù)據(jù)生成過程（DGP）到自回歸發(fā)布滯后模型（ADL）條件化—分布的約化

新生化—誤差項(xiàng)的約化

常數(shù)化—參數(shù)的約化

截尾化—滯后項(xiàng)的約化

線性化—函數(shù)形式的約化

2022/11/1543MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從數(shù)據(jù)生成過程（DGP）到時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從自回歸發(fā)布滯后模型（ADL）到誤差修正模型（ECM）自回歸分布滯后模型的階數(shù)的決定

正交化變換

協(xié)整檢驗(yàn)誤差修正模型2022/11/1544MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從自回歸發(fā)布滯后模型（AD時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)2022/11/1545MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)2022/11/1145M時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向計(jì)量經(jīng)濟(jì)學(xué)的一個(gè)相對(duì)獨(dú)立的分支。數(shù)據(jù)的充分性和可得性，提供了發(fā)展理論方法的條件。金融市場(chǎng)時(shí)間序列數(shù)據(jù)的特殊性，為理論方法的發(fā)展提出了迫切需要。金融市場(chǎng)分析的重要性，使得理論方法得到廣泛的應(yīng)用。2022/11/1546MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003

"formethodsofanalyzingeconomictimeserieswithtime-varyingvolatility(ARCH)"RobertF.EngleUSATheBankofSwedenPrizeinEc時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)恩格爾：分析具有隨時(shí)間變化的波動(dòng)性的經(jīng)濟(jì)時(shí)間序列的方法——ARCHARCH模型的提出：假定隨機(jī)誤差項(xiàng)的方差是隨時(shí)間變化的，而且具有自回歸條件異方差的結(jié)構(gòu)。提出了ARCH模型及其估計(jì)方法，證明了模型的性質(zhì)。ARCH模型的發(fā)展--GARCH2022/11/1548MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)恩格爾：分析具有隨時(shí)間變化代表性論文Engle,R.F.:1982,AutoregressiveConditionalHeteroskedasticityWithEstimatesoftheVarianceofU.K.Inflation,"Econometrica50:987-1008.提出了ARCH模型及其估計(jì)方法，證明了模型的性質(zhì)。2022/11/1549MODERNECONOMETRICS代表性論文2022/11/1149MODERNECONOM代表性論文Bollerslev,T.:1986,Generalizedautoregressiveconditionalheteroskedasticity,JournalofEconometrics31,307-327提出了GARCH模型，解決了ARCH在應(yīng)用中的問題。2022/11/1550MODERNECONOMETRICS代表性論文2022/11/1150MODERNECONOM代表性論文Engle,R.F.,Lilien,D.M.andRobins,R.P.:1987,Estimatingtime-varyingriskpremiainthetermstructure:TheARCH-M

model,Econometrica55,391-407發(fā)展了GARCH-M。2022/11/1551MODERNECONOMETRICS代表性論文2022/11/1151MODERNECONOM時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用在宏觀經(jīng)濟(jì)研究中發(fā)現(xiàn)，更多地應(yīng)用于金融市場(chǎng)分析。一些著名的模型，例如CAPM（developedbySharpe,EconomicsLaureatein1990）、Black-Scholesformula（awardedtheEconomicsPrizein1997toMertonandScholes）等因此而得到修正與完善。公眾化。2022/11/1552MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用2022/11/115—非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)—非參數(shù)模型（無參數(shù)、半?yún)?shù)模型）（NonparametricandSemiparametricModels）參數(shù)模型與非參數(shù)模型。完全非參數(shù)模型與半?yún)?shù)模型。單方程模型和聯(lián)立方程模型。隨機(jī)設(shè)定模型和固定設(shè)定模型。基于計(jì)量經(jīng)濟(jì)學(xué)總體模型設(shè)定而發(fā)展的。2022/11/1553MODERNECONOMETRICS—非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)—非參數(shù)模型（無參數(shù)、半?yún)?shù)模型）（Non非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)估計(jì)方法非參數(shù)模型的兩大類估計(jì)方法：局部逼近（權(quán)函數(shù)方法）、整體逼近（級(jí)數(shù)估計(jì)）。主要是權(quán)函數(shù)估計(jì)，最常見的權(quán)函數(shù)估計(jì)是核估計(jì)和局部線性估計(jì)。目前研究的重點(diǎn)仍然是估計(jì)方法及其性質(zhì)（例如半?yún)?shù)模型的估計(jì)、級(jí)數(shù)估計(jì)、聯(lián)立方程非參數(shù)模型的估計(jì)、窗寬、邊界點(diǎn)等）。2022/11/1554MODERNECONOMETRICS非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)估計(jì)方法2022/11/1154MODERN非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)為什么沒有獲獎(jiǎng)？理論方法仍然處于發(fā)展之中。在應(yīng)用領(lǐng)域沒有大的影響與突破。從文獻(xiàn)中很難發(fā)現(xiàn)某一個(gè)或者幾個(gè)學(xué)者作出了突出的原創(chuàng)性貢獻(xiàn)。2022/11/1555MODERNECONOMETRICS非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)為什么沒有獲獎(jiǎng)？2022/11/1155MO—PanelData計(jì)量經(jīng)濟(jì)學(xué)—PanelData

（面板、綜列、平行數(shù)據(jù)）獨(dú)立計(jì)量經(jīng)濟(jì)學(xué)分支，包括宏觀和微觀PanelData模型。形成與截面數(shù)據(jù)模型相對(duì)應(yīng)的完整的內(nèi)容體系。更多的應(yīng)用于宏觀。前沿：PanelData單位根檢驗(yàn)和協(xié)整分析;PanelData模型的非參數(shù)方法。基于數(shù)據(jù)信息的充分利用而發(fā)展的。2022/11/1556MODERNECONOMETRICS—PanelData計(jì)量經(jīng)濟(jì)學(xué)—PanelData（面PanelData計(jì)量經(jīng)濟(jì)學(xué)Chapter1.IntroductionChapter2.AnalysisofCovarianceChapter3.SimpleRegressionwithVariableInterceptsChapter4.DynamicModelwithVariableInterceptsChapter5.Simultaneous-EquationsModelsChapter6.Variable-CoefficientModelsChapter7.DiscreteDataChapter8.TruncatedandCensoredDataChapter9.IncompletePanelDataChapter10.MiscellaneousTopicsChapter11.ASummaryViewAnalysisofPanelData—ChengHsiao2022/11/1557MODERNECONOMETRICSPanelData計(jì)量經(jīng)濟(jì)學(xué)Chapter1.Intr現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)微觀計(jì)量：選擇性樣本模型微觀計(jì)量：離散選擇模型時(shí)間序列：協(xié)整理論—現(xiàn)代宏觀計(jì)量時(shí)間序列：ARCH—現(xiàn)代金融計(jì)量EngleHeckmanMcFaddenGranger非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)微觀計(jì)量：微觀計(jì)量：時(shí)間序列：時(shí)間序列：EngleHeckm—現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—3個(gè)專題估計(jì)方法模型檢驗(yàn)數(shù)據(jù)診斷2022/11/1559MODERNECONOMETRICS—現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—3個(gè)專題2022/11/1159現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—廣義矩估計(jì)廣義矩估計(jì)（GMM）主要文獻(xiàn)關(guān)于GMM最早的系統(tǒng)的描述L.Hansen,1982:LargeSamplePropertiesofGMMEstimation,Econometrica50,p1029-1054關(guān)于GMM的總結(jié)A.PaganandM.Wickens,1989:ASurveyofSomeRecentEconomerticMethods,EconomicJournal99,p962-1025關(guān)于GMM發(fā)展的討論R.DavidsonandJ.MacKinnon,1993:EstimationandInferenceinEconometrics,NewYorkOxfordUniv.Press2022/11/1560MODERNECONOMETRICS現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—廣義矩估計(jì)廣義矩估計(jì)（GMM）主要現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—模型檢驗(yàn)?zāi)Ｐ蜋z驗(yàn)的意義

對(duì)于經(jīng)濟(jì)理論模型的具體驗(yàn)證對(duì)于數(shù)據(jù)背后的經(jīng)濟(jì)規(guī)律發(fā)現(xiàn)對(duì)于純粹計(jì)量模型的正確判斷模型檢驗(yàn)的方法

假設(shè)檢驗(yàn)信息準(zhǔn)則2022/11/1561MODERNECONOMETRICS現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—模型檢驗(yàn)?zāi)Ｐ蜋z驗(yàn)的意義2022/1現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—數(shù)據(jù)診斷概念經(jīng)濟(jì)數(shù)據(jù)包括微觀數(shù)據(jù)和宏觀數(shù)據(jù)。描述個(gè)體行為的微觀數(shù)據(jù)，一般是通過調(diào)查得到的，所以也稱調(diào)查數(shù)據(jù)；描述總體行為的宏觀數(shù)據(jù)，一般是通過統(tǒng)計(jì)得到的，所以也稱統(tǒng)計(jì)數(shù)據(jù)。數(shù)據(jù)質(zhì)量，并不是人們通常理解的數(shù)據(jù)的真實(shí)性，而是指數(shù)據(jù)是否能夠滿足研究者的需要，是否能夠保證研究結(jié)果的可靠性。數(shù)據(jù)診斷，就是通過適當(dāng)?shù)睦碚摲椒ǎl(fā)現(xiàn)對(duì)研究結(jié)果的可靠性產(chǎn)生顯著不良影響的數(shù)據(jù)。

2022/11/1562MODERNECONOMETRICS現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容—數(shù)據(jù)診斷概念2022/11/1162022/11/15MODERNECONOMETRICS63現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的前沿現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)各個(gè)分支的交叉與綜合2022/11/11MODERNECONOMETRICS6§1.1現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

—從模型方法論角度§1.1現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

—從模型方法論角度引言經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)微觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)PanelData計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的其它內(nèi)容2022/11/1565MODERNECONOMETRICS引言2022/11/112MODERNECONOMETRI—引言—計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系

經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)（ClassicalEconometrics）現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)（ModernEconometrics時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)（TimeSeriesEconometrics）微觀計(jì)量經(jīng)濟(jì)學(xué)(Micro-econometrics)非參數(shù)計(jì)量經(jīng)濟(jì)學(xué)(NonparametricEconometrics)面板數(shù)據(jù)計(jì)量經(jīng)濟(jì)學(xué)(PanelDataEconometrics)

—引言—計(jì)量經(jīng)濟(jì)學(xué)的內(nèi)容體系提出三個(gè)問題：經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)的地位問題現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支的發(fā)展導(dǎo)向問題計(jì)量經(jīng)濟(jì)學(xué)進(jìn)一步創(chuàng)新和發(fā)展的方向問題提出三個(gè)問題：現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支是以問題為導(dǎo)向，以經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型理論為基礎(chǔ)而發(fā)展的。

現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的各個(gè)分支是以問題為導(dǎo)向，以經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型—經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)—什么是經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)？R.Frish創(chuàng)立T.Haavelmo建立了它的概率論基礎(chǔ)L.R.Klein成為其理論與應(yīng)用的集大成者30年代創(chuàng)立、40-50年代發(fā)展、60年代擴(kuò)張2022/11/1569MODERNECONOMETRICS—經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)—什么是經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)？2022/11/11經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)國(guó)外學(xué)者使用“經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)”的概念在DamodarN.Gujarati的《BasicEconometrics（4thedition）》(2001)中，“classicalmethodology”多處可見；PaulA.Ruud2000年出版一本教科書的名稱就是《AnIntroductiontoClassicalEconometricsTheory》；2000年WallaceHuffman也出版一本教科書《ClassicalEconometrics》；FrancoPeracchi在2001年的《Econometrics》中明確指出，該書提供了一個(gè)聯(lián)系“classicaleconometrics”與最近若干年的新研究領(lǐng)域，例如非參數(shù)方法、panelData等的橋梁。2022/11/1570MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)國(guó)外學(xué)者使用“經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)”的概念2022/經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)與Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)對(duì)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)作出重大貢獻(xiàn)而獲得Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)的經(jīng)濟(jì)學(xué)家有6位。經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)為經(jīng)濟(jì)學(xué)的發(fā)展作出了重大貢獻(xiàn)，許多在其它經(jīng)濟(jì)學(xué)領(lǐng)域獲得Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)的經(jīng)濟(jì)學(xué)家都成功地應(yīng)用了計(jì)量經(jīng)濟(jì)學(xué)理論方法。2022/11/1571MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)與Nobel經(jīng)濟(jì)學(xué)獎(jiǎng)2022/1TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1969

"forhavingdevelopedandapplieddynamicmodelsfortheanalysisofeconomicprocesses"RagnarFrischNorwayJanTinbergentheetherlandsTheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1973

"forthedevelopmentoftheinput-outputmethodandforitsapplicationtoimportanteconomicproblems"WassilyLeontiefUSATheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1980

"forthecreationofeconometricmodelsandtheapplicationtotheanalysisofeconomicfluctuationsandeconomicpolicies"LawrenceR.KleinUSATheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1984

"forhavingmadefundamentalcontributionstothedevelopmentofsystemsofnationalaccountsandhencegreatlyimprovedthebasisforempiricaleconomicanalysis"RichardStoneGreatBritainTheBankofSwedenPrizeinEcTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel1989

"forhisclarificationoftheprobabilitytheoryfoundationsofeconometricsandhisanalysesofsimultaneouseconomicstructures"TrygveHaavelmoNorwayTheBankofSwedenPrizeinEc經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)創(chuàng)立建立第1個(gè)應(yīng)用模型建立概率論基礎(chǔ)發(fā)展數(shù)據(jù)基礎(chǔ)發(fā)展應(yīng)用模型TinbergenFrischHaavelmoStoneKlein建立投入產(chǎn)出模型Leontief創(chuàng)立建立第1個(gè)應(yīng)用模型建立概率論基礎(chǔ)發(fā)展數(shù)據(jù)基礎(chǔ)發(fā)展應(yīng)用模型經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型類型—隨機(jī)模型；模型導(dǎo)向—理論導(dǎo)向；模型結(jié)構(gòu)—線性或者可以化為線性，因果分析，解釋變量具有同等地位，模型具有明確的形式和參數(shù)；數(shù)據(jù)類型—以時(shí)間序列數(shù)據(jù)或者截面數(shù)據(jù)為樣本，被解釋變量為服從正態(tài)分布的連續(xù)隨機(jī)變量；估計(jì)方法—僅利用樣本信息，采用最小二乘方法或者最大似然方法估計(jì)模型。■經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在理論方法方面特征2022/11/1578MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型類型—隨機(jī)模型；■經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在理論方法經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在應(yīng)用方面的特征應(yīng)用模型方法論基礎(chǔ)—實(shí)證分析、經(jīng)驗(yàn)分析；應(yīng)用模型的功能—結(jié)構(gòu)分析、政策評(píng)價(jià)、經(jīng)濟(jì)預(yù)測(cè)、理論檢驗(yàn)與發(fā)展；應(yīng)用模型的領(lǐng)域—傳統(tǒng)的應(yīng)用領(lǐng)域，例如生產(chǎn)、需求、消費(fèi)、投資、貨幣需求，以及宏觀經(jīng)濟(jì)等。2022/11/1579MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)在應(yīng)用方面的特征2022/11/經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)遇到的挑戰(zhàn)20世紀(jì)70年代的世界經(jīng)濟(jì)滯漲石油危機(jī)利率自由化管理浮動(dòng)匯率Lucas批判Lucas(1976)、Sarget(1976)、Sims(1980)實(shí)質(zhì)是對(duì)結(jié)構(gòu)模型的質(zhì)疑，“使用計(jì)量經(jīng)濟(jì)模型預(yù)測(cè)未來經(jīng)濟(jì)政策的變化所產(chǎn)生的效用是不可信的”。2022/11/1580MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)遇到的挑戰(zhàn)2022/11/111經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型《經(jīng)濟(jì)研究》1984-2004年發(fā)表的計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用研究論文中，經(jīng)典單方程模型占64%2022/11/1581MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型《經(jīng)濟(jì)研經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型AER1984-2004年發(fā)表的計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用研究論文中，經(jīng)典單方程模型占80%2022/11/1582MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典單方程模型仍然是最具應(yīng)用價(jià)值的模型AER經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型作為一種實(shí)證經(jīng)濟(jì)研究方法的普遍適用性它所倡導(dǎo)的“經(jīng)濟(jì)理論、數(shù)學(xué)、統(tǒng)計(jì)學(xué)結(jié)合”的本質(zhì)；它所依賴的堅(jiān)實(shí)的概率論基礎(chǔ)；它能夠?qū)崿F(xiàn)的“利用現(xiàn)有的數(shù)據(jù)資料以提取關(guān)于經(jīng)濟(jì)如何運(yùn)行的信息”的功能；它所遵循的“關(guān)于經(jīng)濟(jì)活動(dòng)的觀察（即行為分析）→關(guān)于經(jīng)濟(jì)理論的抽象（即理論假說）→建立總體回歸模型→獲取樣本觀測(cè)數(shù)據(jù)→估計(jì)模型→檢驗(yàn)?zāi)Ｐ汀鷳?yīng)用模型”的研究步驟。

2022/11/1583MODERNECONOMETRICS經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型作為一種實(shí)證經(jīng)濟(jì)研究方法的普遍適用性22022/11/15MODERNECONOMETRICS84經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)經(jīng)典模型自身的改進(jìn)與發(fā)展非線性模型變參數(shù)模型虛擬變量模型滯后變量模型模型設(shè)定工具變量方法現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)的發(fā)展2022/11/11MODERNECONOMETRICS2—微觀計(jì)量經(jīng)濟(jì)學(xué)—概念2000年正式提出微觀計(jì)量經(jīng)濟(jì)學(xué)“對(duì)個(gè)人和家庭的經(jīng)濟(jì)行為進(jìn)行經(jīng)驗(yàn)分析”“微觀計(jì)量經(jīng)濟(jì)學(xué)的原材料是微觀數(shù)據(jù)”微觀數(shù)據(jù)是通過調(diào)查得到的微觀數(shù)據(jù)的顯著增加使得微觀計(jì)量經(jīng)濟(jì)學(xué)得到發(fā)展J.J.Heckman和D.L.Mcfadden的基礎(chǔ)性貢獻(xiàn)基于研究對(duì)象及其數(shù)據(jù)特征而發(fā)展的現(xiàn)代計(jì)量經(jīng)濟(jì)學(xué)模型體系。2022/11/1585MODERNECONOMETRICS—微觀計(jì)量經(jīng)濟(jì)學(xué)—概念2022/11/1122MODERN微觀計(jì)量經(jīng)濟(jì)學(xué)發(fā)展2000年以來關(guān)于微觀計(jì)量經(jīng)濟(jì)學(xué)的研究形成高潮

“Microeconometrics”“AdvancedMicroeconometrics”“AppliedMicroeconometrics”“TopicsinMicroeconometrics”“MethodsinMicroeconometrics”微觀計(jì)量經(jīng)濟(jì)學(xué)中最前沿的理論方法研究應(yīng)該是非參數(shù)和半?yún)?shù)方法2022/11/1586MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)發(fā)展2022/11/1123MODERNEC微觀計(jì)量經(jīng)濟(jì)學(xué)—受限數(shù)據(jù)模型受限數(shù)據(jù)被解釋變量模型(ModelwithLimitedDependentVariable)選擇性樣本模型(SelectiveSamplesModel)

截?cái)啵═runcation）歸并（Censored）持續(xù)時(shí)間被解釋變量模型（ModelforDurationData）2022/11/1587MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)—受限數(shù)據(jù)模型受限數(shù)據(jù)被解釋變量模型(ModeTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000

"forhisdevelopmentoftheoryandmethodsforanalyzingselectivesamples”JamesJHeckmanUSATheBankofSwedenPrizeinEc代表性獲獎(jiǎng)?wù)撐摹癝hadowPrices,MarketWagesandLabourSupply”,Econometrica42(4),1974,P679-694

發(fā)現(xiàn)并提出“選擇性樣本”問題。

“SampleSelectionBiasasaSpecificationError”,Econometrica47(1),1979,P153-161證明了偏誤的存在并提出了Heckman兩步修正法。

2022/11/1589MODERNECONOMETRICS代表性獲獎(jiǎng)?wù)撐?022/11/1126MODERNECON微觀計(jì)量經(jīng)濟(jì)學(xué)—離散數(shù)據(jù)模型離散數(shù)據(jù)被解釋變量模型（ModelwithDiscreteDependentVariable）離散選擇模型（DiscreteChoiceModel）

一般離散選擇模型嵌套離散選擇模型(Nested)排序離散選擇模型(Ordered)計(jì)數(shù)數(shù)據(jù)模型（ModelforCountData）2022/11/1590MODERNECONOMETRICS微觀計(jì)量經(jīng)濟(jì)學(xué)—離散數(shù)據(jù)模型離散數(shù)據(jù)被解釋變量模型（ModeTheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2000

"forhisdevelopmentoftheoryandmethodsforanalyzingdiscretechoice"DanielLMcFaddenUSATheBankofSwedenPrizeinEc代表性獲獎(jiǎng)?wù)撐摹癈onditionalLogitAnalysisofQualitativeChioceBehavior”,FrontiersofEconometrics,AcademicPress.1974經(jīng)濟(jì)理論與計(jì)量經(jīng)濟(jì)方法的結(jié)合“TheMeasurementofUrbanTravelDemand”,JournalofPublicEconomics3,1974，P303-328離散選擇模型的成功應(yīng)用2022/11/1592MODERNECONOMETRICS代表性獲獎(jiǎng)?wù)撐?022/11/1129MODERNECON—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—一個(gè)重要概念經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型基于隨機(jī)抽樣的截面數(shù)據(jù)進(jìn)行建構(gòu)。時(shí)間序列數(shù)據(jù)的序列相關(guān)性破壞了經(jīng)典模型賴以建立的關(guān)鍵假定——隨機(jī)抽樣假定。如果時(shí)間序列是平穩(wěn)的，可以替代隨機(jī)抽樣假定。如果時(shí)間序列是非平穩(wěn)的，經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型的數(shù)學(xué)基礎(chǔ)將不再適用?，F(xiàn)代時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)是基于計(jì)量經(jīng)濟(jì)學(xué)模型的數(shù)學(xué)基礎(chǔ)而發(fā)展的。2022/11/1593MODERNECONOMETRICS—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—一個(gè)重要概念2022/11/1130M—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—地位現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向Granger、Engle、Hendry作出了最杰出的貢獻(xiàn)2022/11/1594MODERNECONOMETRICS—時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—地位2022/11/1131MODER時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向經(jīng)典的宏觀計(jì)量經(jīng)濟(jì)學(xué)—宏觀計(jì)量經(jīng)濟(jì)學(xué)模型理論現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向——單位根檢驗(yàn)、協(xié)整理論以及動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)2001《JournalofEconometrics》100期紀(jì)念專輯

C.W.Granger“Macroeconometrics––––PastandFuture”J.H.Stock“Macroeconometrics”宏觀計(jì)量經(jīng)濟(jì)學(xué)的前沿研究方向——結(jié)構(gòu)變化的單位根和協(xié)整理論、隨機(jī)協(xié)整、PanelData的單位根和協(xié)整理論2022/11/1595MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)的主TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003

"formethodsofanalyzingeconomictimeserieswithcommontrends(cointegration)"

CliveW.J.GrangerUKTheBankofSwedenPrizeinEc時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)格蘭杰:

分析具有共同趨勢(shì)的經(jīng)濟(jì)時(shí)間序列的方法——協(xié)整發(fā)現(xiàn)了非平穩(wěn)、具有共同趨勢(shì)的時(shí)間序列之間的虛假回歸；提出了協(xié)整的概念和協(xié)整的檢驗(yàn)方法；區(qū)分和表述了非平穩(wěn)時(shí)間序列之間的長(zhǎng)期關(guān)系和短期影響；提出了著名的Grange表述定理：如果變量X與Y是協(xié)整的，則它們間的短期非均衡關(guān)系總能由一個(gè)誤差修正模型表述。2022/11/1597MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)格蘭杰:分析具有共同代表性論文Granger,C.W.J.andNewbold,P.:1974,Spuriousregressionsineconometrics,JournalofEconometrics2,111-120.通過試驗(yàn)發(fā)現(xiàn)完全無關(guān)的非平穩(wěn)變量之間可以得到很好的，但是毫無道理的回歸結(jié)果。2022/11/1598MODERNECONOMETRICS代表性論文2022/11/1135MODERNECONOM代表性論文Engle,R.F.andGranger,C.W.J.:1987，Co-integrationandErrorCorrection:Representation,EstimationandTesting,Econometrica55:251-276.如果非平穩(wěn)時(shí)間序列之間的線性組合所形成的新的序列是平穩(wěn)的，那么它們之間的回歸關(guān)系是真實(shí)的。稱它們之間產(chǎn)生了協(xié)整。2022/11/1599MODERNECONOMETRICS代表性論文2022/11/1136MODERNECONOM代表性論文Davidson,J.E.H.,Hendry,D.F.,Srba,F.andYeo,S.:1978,Econometricmodellingoftheaggregatetime-seriesrelationshipbetweenconsumes’expenditureandincomeinUnitedKingdom,EconomicJournal88,661-692為什么Hendry未同時(shí)獲獎(jiǎng)？他們雖然在模型中引入了誤差項(xiàng)，但是沒有闡明經(jīng)濟(jì)學(xué)和統(tǒng)計(jì)學(xué)內(nèi)涵。2022/11/15100MODERNECONOMETRICS代表性論文2022/11/1137MODERNECONOM代表性論文Johansen,S.:1988,Statisticalanalysisofcointergrationvactor,JournalofEconomicDynamicsandConyrol12,231-254S?renJohansen1988年提出了改進(jìn)的方法。對(duì)Johansen的評(píng)價(jià)：“建立在最大似然基礎(chǔ)上的第二代方法”2022/11/15101MODERNECONOMETRICS代表性論文2022/11/1138MODERNECONOM代表性論文Hylleberg,S.,Engle,R.F.,Granger,C.W.J.andYoo,B.S.:1990,Seasonalcointergration,JpurnalofEconometrics44,215-238.季節(jié)協(xié)整(seasonalcointegration)Balke,N.andFomby,T.B.:1997,Thresholdcointergration,InternationalEconomicReview38,627-645.門檻協(xié)整(thresholdcointegration)2022/11/15102MODERNECONOMETRICS代表性論文2022/11/1139MODERNECONOM時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用格蘭杰的貢獻(xiàn)已經(jīng)被經(jīng)濟(jì)學(xué)家廣泛用于經(jīng)濟(jì)時(shí)間序列分析。成為宏觀經(jīng)濟(jì)分析的常用理論方法，成為宏觀計(jì)量經(jīng)濟(jì)學(xué)的主流。在一個(gè)經(jīng)濟(jì)系統(tǒng)中，經(jīng)濟(jì)變量之間既存在長(zhǎng)期均衡關(guān)系，又存在短期動(dòng)態(tài)關(guān)系，格蘭杰的協(xié)整分析已經(jīng)成為建立動(dòng)態(tài)計(jì)量經(jīng)濟(jì)學(xué)模型的基石。2022/11/15103MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—現(xiàn)代宏觀計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用2022/11/1時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)概念屬于現(xiàn)代宏觀計(jì)量還是獨(dú)立的分支？作為現(xiàn)代宏觀計(jì)量的一部分，強(qiáng)調(diào)其方法技術(shù)作為獨(dú)立的分支，強(qiáng)調(diào)其模型設(shè)定理論以D.F.Hendry為代表2022/11/15104MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)概念2022/11/114時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)模型設(shè)定理論理論導(dǎo)向→數(shù)據(jù)導(dǎo)向從簡(jiǎn)單到復(fù)雜→從一般到簡(jiǎn)單從數(shù)據(jù)生成過程（DGP）到自回歸發(fā)布滯后模型（ADL）從自回歸發(fā)布滯后模型（ADL）到誤差修正模型（ECM）2022/11/15105MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)模型設(shè)定理論2022/11時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從數(shù)據(jù)生成過程（DGP）到自回歸發(fā)布滯后模型（ADL）條件化—分布的約化

新生化—誤差項(xiàng)的約化

常數(shù)化—參數(shù)的約化

截尾化—滯后項(xiàng)的約化

線性化—函數(shù)形式的約化

2022/11/15106MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從數(shù)據(jù)生成過程（DGP）到時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從自回歸發(fā)布滯后模型（ADL）到誤差修正模型（ECM）自回歸分布滯后模型的階數(shù)的決定

正交化變換

協(xié)整檢驗(yàn)誤差修正模型2022/11/15107MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)從自回歸發(fā)布滯后模型（AD時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)2022/11/15108MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—?jiǎng)討B(tài)計(jì)量經(jīng)濟(jì)學(xué)2022/11/1145M時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方向計(jì)量經(jīng)濟(jì)學(xué)的一個(gè)相對(duì)獨(dú)立的分支。數(shù)據(jù)的充分性和可得性，提供了發(fā)展理論方法的條件。金融市場(chǎng)時(shí)間序列數(shù)據(jù)的特殊性，為理論方法的發(fā)展提出了迫切需要。金融市場(chǎng)分析的重要性，使得理論方法得到廣泛的應(yīng)用。2022/11/15109MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)金融計(jì)量經(jīng)濟(jì)學(xué)的主要研究方TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2003

"formethodsofanalyzingeconomictimeserieswithtime-varyingvolatility(ARCH)"RobertF.EngleUSATheBankofSwedenPrizeinEc時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)恩格爾：分析具有隨時(shí)間變化的波動(dòng)性的經(jīng)濟(jì)時(shí)間序列的方法——ARCHARCH模型的提出：假定隨機(jī)誤差項(xiàng)的方差是隨時(shí)間變化的，而且具有自回歸條件異方差的結(jié)構(gòu)。提出了ARCH模型及其估計(jì)方法，證明了模型的性質(zhì)。ARCH模型的發(fā)展--GARCH2022/11/15111MODERNECONOMETRICS時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)恩格爾：分析具有隨時(shí)間變化代表性論文Engle,R.F.:1982,AutoregressiveConditionalHeteroskedasticityWithEstimatesoftheVarianceofU.K.Inflation,"Econometrica50:987-1008.提出了ARCH模型及其估計(jì)方法，證明了模型的性質(zhì)。2022/11/15112MODERNECONOMETRICS代表性論文2022/11/1149MODERNECONOM代表性論文Bollerslev,T.:1986,Generalizedautoregressiveconditionalheteroskedasticity,JournalofEconometrics31,307-327提出了GARCH模型，解決了ARCH在應(yīng)用中的問題。2022/11/15113MODERNECONOMETRICS代表性論文2022/11/1150MODERNECONOM代表性論文Engle,R.F.,Lilien,D.M.andRobins,R.P.:1987,Estimatingtime-varyingriskpremiainthetermstructure:TheARCH-M

model,Econometrica55,391-407發(fā)展了GARCH-M。2022/11/15114MODERNECONOMETRICS代表性論文2022/11/1151MODERNECONOM時(shí)間序列計(jì)量經(jīng)濟(jì)學(xué)—金融計(jì)量經(jīng)濟(jì)學(xué)應(yīng)用在宏觀經(jīng)濟(jì)