上海交通大学：《计量经济学》教学资源_教学资料_Econometrics Introduction

Econometrics Introduction zhuxi97@situ.edu.cn (antai 712) Econometrics 15-Zhuxi 1

Econometrics 15 - Zhuxi 1 Econometrics Introduction zhuxi97@sjtu.edu.cn (antai 712)

Purpose and textbook Purpose of this course Necessary background for theory and method of modern econometrics Able to do empirical research independently The Textbooks J.M.Wooldridge.Introductory Econometrics-A Modern Approach(4ed),清华大学出版社，2009. Study with example files Econometrics 15-Zhuxi 2

Econometrics 15 - Zhuxi 2 Purpose and textbook Purpose of this course Necessary background for theory and method of modern econometrics Able to do empirical research independently The Textbooks J. M. Wooldridge. Introductory Econometrics — A Modern Approach (4ed), 清华大学出版社，2009.  Study with example files

Reference book and Software Reference ◆李子奈：计量经济学（第三版），2010 Wooldridge.Econometric Analysis of Cross Section and Panel Data,MIT Press;2nd Revised edition,2008. Angrist and Pischke.Mostly Harmless Econometrics,2008. ◆陈传波，stata十八讲 Software easy:Stata/Eviews/SPSS advanced:Gauss/SAS/Matlab/R Econometrics 15-Zhuxi 3

Reference book and Software Reference 李子奈：计量经济学（第三版），2010. Wooldridge. Econometric Analysis of Cross Section and Panel Data, MIT Press; 2nd Revised edition, 2008. Angrist and Pischke. Mostly Harmless Econometrics, 2008. 陈传波，stata十八讲. Software easy: Stata/Eviews/SPSS advanced: Gauss/SAS/Matlab/R Econometrics 15 - Zhuxi 3

About Score ◆Attendance(15%) attendance (10%)and participation(5%)in class ◆Assignment(35%) assignments (20%),and course paper (15%) ◆Examination(50%) close book Econometrics 15-Zhuxi 4

Econometrics 15 - Zhuxi 4 About Score Attendance (15%) attendance (10%) and participation (5%) in class Assignment (35%) assignments (20%), and course paper (15%) Examination (50%) close book

What is econometrics?(ctd) First proposed by Norway economist Frish(1926) Econometric Society:1930 Most influential journal Econometrica: 1933 Econometrics 15-Zhuxi 5

Econometrics 15 - Zhuxi 5 What is econometrics? (ctd) First proposed by Norway economist Frish(1926) Econometric Society: 1930 Most influential journal Econometrica: 1933

What is econometrics?(ctd) In the first issue of Econometrica,the founder of the econometric society,Fisher (1933),nicely summarizes the objective of the econometric society and main features of econometrics: "Its main object shall be to promote studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking similar to that which has come to dominate the natural sciences. Econometrics 15-Zhuxi 6

Econometrics 15 - Zhuxi 6 What is econometrics? (ctd) In the first issue of Econometrica, the founder of the econometric society, Fisher (1933), nicely summarizes the objective of the econometric society and main features of econometrics: “Its main object shall be to promote studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking similar to that which has come to dominate the natural sciences

What is econometrics?(ctd) Econometrics is the field ofeconomics that concerns itself with the application of mathematical statistics and the tools of statistical inference to the empirical measurement of relationships postulated by economic theory.(Hong Y.M.) Econometrics 15-Zhuxi 7

Econometrics 15 - Zhuxi 7 What is econometrics? (ctd) Econometrics is the field of economics that concerns itself with the application of mathematical statistics and the tools of statistical inference to the empirical measurement of relationships postulated by economic theory. (Hong Y.M.)

Role of Econometrics Modern Economic Research Strategy: Data collection and summary of empirical stylized facts Development of economic theories/models Empirical verification of economic models Application (structural analysis,test, forecast,policy recommendation) Econometrics 15-Zhuxi 8

Econometrics 15 - Zhuxi 8 Role of Econometrics Modern Economic Research Strategy: Data collection and summary of empirical stylized facts Development of economic theories/models Empirical verification of economic models Application (structural analysis, test, forecast, policy recommendation)

Role of econometrics Examine how well an economic theory can explain historical economic data(particularly the important stylized facts) Test validity of economic theories and economic hypothesis ◆ Predict the future evolution of the economy ◆ Make policy evaluation such as a public training program Econometrics 15-Zhuxi 9

Econometrics 15 - Zhuxi 9 Role of econometrics Examine how well an economic theory can explain historical economic data (particularly the important stylized facts) Test validity of economic theories and economic hypothesis Predict the future evolution of the economy Make policy evaluation such as a public training program

Ex1.Return on education A model of human capital investment implies getting more education should lead to higher earnings In the simplest case,this implies an equation like Earnings B Beducation +u Similar studies:return to elite college Econometrics 15-Zhuxi 10

Econometrics 15 - Zhuxi 10 Ex1. Return on education A model of human capital investment implies getting more education should lead to higher earnings In the simplest case, this implies an equation like Earnings  0  1 education u Similar studies: return to elite college