计量经济学(英文)重点知识点考试必备

第一章1.Econometrics（计量经济学）：the social science in which the tools of economic theory, mathematics, and statistical inference are applied to the analysis of economic phenomena.the result of a certain outlook on the role of economics, consists of the application of mathematical statistics to economic data to lend empirical support to the models constructed by mathematical economics and to obtain numerical results.2.Econometric analysis proceeds along the following lines计量经济学分析步骤1)Creating a statement of theory or hypothesis.建立一个理论假说2)Collecting data.收集数据3)Specifying the mathematical model of theory.设定数学模型4)Specifying the statistical, or econometric, model of theory.设立统计或经济计量模型5)Estimating the parameters of the chosen econometric model.估计经济计量模型参数6)Checking for model adequacy : Model specification testing.核查模型的适用性：模型设定检验7)Testing the hypothesis derived from the model.检验自模型的假设8)Using the model for prediction or forecasting.利用模型进行预测Step2：收集数据Three types of data三类可用于分析的数据1)Time series(时间序列数据):Collected over a period of time, are collected at regular intervals.按时间跨度收集得到2)Cross-sectional截面数据:Collected over a period of time, are collected at regular intervals.按时间跨度收集得到3)Pooled data合并数据（上两种的结合）Step3：设定数学模型1.plot scatter diagram or scattergram2.write the mathematical modelStep4：设立统计或经济计量模型CLFPR is dependent variable应变量CUNR is independent or explanatory variable独立或解释变量（自变量）We give a catchall variable U to stand for all these neglected factorsIn linear regression analysis our primary objective is to explain the behavior of the dependent variable in relation to the behavior of one or more other variables, allowing for the data that the relationship between them is inexact.线性回归分析的主要目标就是解释一个变量（应变量）与其他一个或多个变量（自变量）只见的行为关系，当然这种关系并非完全正确Step5：估计经济计量模型参数In short, the estimated regression line gives the relationship between average CLFPR and CUNR 简言之，估计的回归直线给出了平均应变量和自变量之间的关系That is, on average, how the dependent variable responds to a unit change in the independent variable.单位因变量的变化引起的自变量平均变化量的多少。

Step6：核查模型的适用性：模型设定检验The purpose of developing an econometric model is not to capture totalreality, but just its salient features.Step7：检验自模型的假设Why do we perform hypothesis testingWe want to find our whether the estimated model makes economic sense and whether the results obtains conform with the underlying economic theory.第二章1.The meaning of regression（回归）Regression analysis is concerned with the study of the relationship between one variable called the dependent or explained variable, and one or more other variables called independent or explanatory variables. 2.Objectives of regression1)Estimate the mean, or average, and the dependent values given the independent values2)Test hypotheses about the nature of the dependence -----hypotheses suggested by the underlying economic theory3)Predict or forecast the mean value of the dependent variable given the values of the independents4)One or more of the preceding objectives combined3.Population Regression Line（PRL）In short, the PRL tells us how the mean, or average, value of Y is related to each value of X in the whole population4.The dependence of Y on X, technically called the regression of Y onX.5.How do we explain itA student’s score, say, the ith individual, corresponding to a specific family income can be expressed as the sum of two components1)The component can be called the systematic, or deterministic,component.2)May be called the nonsystematic or random component6.What is the nature of U(stochastic error) term1)The error term may represent the influence of those variables that are not explicitly included in the model.误差项代表了未纳入模型变量的影响2)Some intrinsic randomness in the math score is bound to occur that can not be explained even we include all relevant variables.即使模型包括了决定性数学分数的所有变量，内在随机性也不可避免，这是做任何努力都无法解释的。

3)U may also represent errors of measurement. U还代表了度量误差4)The principle of Ockham’s razor - the description be kept as simple as possible until proved inadequate - would suggest that we keep our regression model as simple as possible.“奥卡姆剃刀原则”，描述应该尽可能简单，只要不遗漏重要信息。

这表明回归模型应尽可能简单。

7.How do we estimate the PRF（population regression function）Unfortunately, in practice, We rarely have the entire population in our disposal, often we have only a sample from this population.8.Granted that the SRF is only an approximation of PRF. Can we find amethod or a procedure that will make this approximation as close as possible SRF仅仅是PRF的近似，那么能不能找到一种方法使这种近似尽可能接近真实呢9.Special meaning of “linear”1)Linearity in the variables变量线性The conditional mean value of the dependent variable is a linear function of the independent variables2)Linearity in the Parameters参数线性The conditional mean of the dependent variable is a linear function of the parameters, the B’s; it may or may not be linear in the variables.第三章1.Unless we are willing to assume how the stochastic U terms are generated, we will not be able to tell how good an SRF is as an estimate of the true PRF.只有假定了随机误差的生成过程，才能判定SRF对PRF拟合的是好是坏。