Econometrics
第1章 INTERMEDIATE ECONOMETRICS-原版教材
Steps in Empirical Econometric Analysis
Specify hypothesis of interest in terms of the unknown parameters . Use econometric methods to estimate the parameters and formally test the hypothesizes of interest .
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What can econometrics do for us?
Overall, we use econometrics to explain phenomena of economic nature, make policy recommendations and make forecasts about the future.
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Steps in Empirical Econometric Analysis
Summary Econometrics is used in all applied economic fields to test economic theories, to inform government and private policy makers, and to predict economic time series. Sometimes, an econometric model is derived from a formal economic model, but in other cases, econometric models are based on informal economic reasoning and intuition. The goal of any econometric analysis is to estimate the parameters in the model and to test hypotheses about these parameters; the values and signs of the parameters determine the validity of an economic theory and the effects of certain policies.
Econometrics-14
Large sample property
Critical difference from cross section:
In a model like: yt = 0 +xt1 + yt-1λ + u t Even if cov(xt, u t)=0, we can show cov(yt-1, u t)>0
conditional variance of errors are! Define Var( t | t-1 )=σ 2 σ 2 t =α0 +α1 2 t-1 + u2 t
Consequence: OLS is not efficient, returns are generally not related but volatilities are!
Economics meaning: y is affected by past unobservable shocks
Finite order MA process is always stationary.
AR process
Time series distributed lag model:
the residual is stationary.
Cointegration
Linear combination of nonstationary data is stationaryconintegrated
Economic meaning: a long-run equilibrium relation exists among cointegrated variables, so departure not far away
How to detect conintegration among variables? linear regression and test residual using D-F test! e= yt -0 -xt1 [NYSE]
对空间经济计量学模型研究
对空间经济计量学模型研究空间经济计量学（Spatial Econometrics）是经济学中的一个分支领域，它研究了经济现象在空间维度上的相关性和影响。
空间经济计量学模型是用于衡量和分析经济现象的空间结构和空间效应的统计工具。
下面将介绍空间经济计量学模型的基本原理和方法。
空间经济计量学模型研究的核心思想是将空间上的相关性纳入到经济模型中。
在传统的计量经济学中，通常假设样本观测是独立同分布的，即观测之间没有相关性。
然而，现实中的经济现象往往存在空间相关性，即空间上相邻地区的经济现象可能相互影响。
因此，为了更准确地理解经济现象，空间经济计量学模型允许考虑空间邻近关系对经济现象的影响。
空间经济计量学模型通常基于空间自相关性（Spatial Autocorrelation）的概念，即地理上接近的经济现象之间存在相关性。
空间自相关性可以分为正相关和负相关两种。
正相关表示相邻地区经济现象之间的值趋于相似，即“物以类聚”；负相关表示相邻地区经济现象之间的值趋于相反，即“物恐相反”。
空间经济计量学模型的常见方法包括空间回归模型（Spatial Regression Model）和空间误差模型（Spatial Error Model）。
空间回归模型是传统的回归模型在空间上的扩展，它假设空间邻近关系可以通过引入空间权重矩阵来表示。
空间权重矩阵反映了地理上相邻观测之间的关系，它可以是二进制矩阵或基于距离的权重矩阵。
在空间回归模型中，除了传统的解释变量之外，还引入了空间滞后变量（Spatial Lag Variable），即引入了相邻地区因素的影响。
空间误差模型是另一种常见的空间经济计量学模型，它假设空间邻近关系可以通过引入空间误差项来表示。
空间误差项表示了除了传统误差项之外，还包含了相邻地区因素的影响。
空间误差模型的特点是对观测值和误差项进行同时建模，可以更准确地捕捉经济现象的空间相关性。
除了空间回归模型和空间误差模型，空间经济计量学模型还包括其他的方法，如空间仪器变量法（Spatial Instrumental Variable）和空间矩阵误差模型（Spatial Matrix Error Model）。
空间计量经济学(Introduction to Spatial Econometrics)入门
Trade flows (Aten 1997)
Spatial Model 1 (Spatial Lag Model, SAR)
y = αιn + λWy + Xβ + є, є ~ N(0, σ2In), or yi= α + λΣjwijyj + Xiβ + єi where W is the non-stochastic n × n spatial weights matrix in which the element mij is equal to 1/dij with dij being the distance between two cities i and j (i ≠ j) (Dubin, 1988; Biles, 2003; Hernandez, 2003; Garrett et al., 2007)
空间计量经济学入门
（Introduction to Spatial Econometrics）
中国人民大学经济学院虞义华
Spatial Dependence
Tobler’s ‘First Law of Geography’(Tobler, 1979)
“Everything is related to everything else, but near things are more related than distant things.
L = lnI - W- N/2 ln (2) - N/2 ln (2) - (y - Wy - x)’( y - Wy - x)/2 2 Maximizing the log likelihood with respect to , , and 2 gives the values of parameters that provide the highest likelihood of the joint occurrence of the sample of dependent variables
计量经济学英语专业词汇
• • • •
•
• • • •
模型设定正确假设。The regression model is correctly specified. 线性回归假设。The regression model is linear in the parameters。 与随机项不相关假设。The covariances between Xi and μi are zero. 观测值变化假设。X values in a given sample must not all be the same. 无完全共线性假设。There is no perfect multicollinearity among the explanatory variables. 0均值假设。The conditional mean value of μi is zero. 同方差假设。The conditional variances of μi are identical.(Homoscedasticity) 序列不相关假设。The correlation between any two μi and μj is zero. 正态性假设。The μ’s follow the normal distribution.
• 方程的显著性检验(F检验) Testing the Overall Significance of a Multiple Regression (the F test) • 假设检验（Hypothesis Testing）变量的显著性检验（t检 验） Testing the Significance of Variables (the t test) • 参数的置信区间 Confidence Interval of Parameter • 置信系数（置信度）（confidence coefficient） • 置信限（confidence limit） • 恩格尔曲线(Engle curves) • 菲利普斯曲线（Pillips cuves）
金融计量经济学
1. Time series data
2. Cross-sectional data
3. Panel data, a combination of 1. & 2.
• The data may be quantitative (e.g. exchange rates, stock prices), or qualitative.
changes in economic conditions n Forecasting future values of financial
variables and for financial decision-making.
PPT文档演模板
金融计量经济学
Examples of some problems that may be solved by an Econometrician
1. Testing whether financial markets are weak-form informationally efficient.
2. Testing whether the CAPM or APT represent superior models for the determination of returns on risky assets.
3. Measuring and forecasting the volatility of bond returns. 4. Explaining the determinants of bond credit ratings used by the
ratings agencies. 5. Modelling long-term relationships between prices and exchange rates
Brooks 2002 Introductory Econometrics for Finance 计量经济学
Simple returns
or
log returns
Rt
pt
pt1 pt1
10% 0
Rt
ln
pt pt1
100%
where, Rt denotes the return at time t pt denotes the asset price at time t ln denotes the natural logarithm
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Log Returns
• The returns are also known as log price relatives, which will be used throughout this
book. There are a number of reasons for this:
1. They have the nice property that they can be interpreted as continuously
• Cross-sectional data are data on one or more variables collected at a single point in time, e.g.
- A poll of usage of internet stock broking services
- Cross-section of stock returns on the New York Stock Exchange
- A sample of bond credit ratings for UK banks
‘Introductory Econometrics for Finance’ © Chris Brooks 2.002
计量经济学 主要知识点
《计量经济学》《经济计量学》《Econometrics》一、主要知识点第一章绪论第一节计量经济学一、经济计量学的产生过程1930 世界经济计量学会二、经济计量学与其他学科的关系计量经济学的定义第二节建立计量经济学模型的步骤和要点一、数据类型1、时间序列数据2、截面数据3、面板数据二、经济变量与经济参数（一）、经济变量1、内生变量和外生变量内生变量(endogenous variable)：随机变量，模型自身决定；内生变量影响模型中内生变量，同时又受外生变量和其它内生变量影响。
外生变量(exogenous variable)：通常为非随机变量，在模型之外决定。
而外生变量只影响模型中的内生变量，不受模型中任何其它变量影响。
2、解释变量与被解释变量3、滞后变量与前定变量（二）建模步骤和要点。
模型假定把所研究的经济变量之间的关系用适当的数学模型表达出来。
估计参数模型检验：经济意义的检验、统计推断的检验、计量经济的检验、预测的检验第三节计量经济学模型的应用模型应用：政策评价、经济预测、结构分析、检验和发展经济理论第二章一元线性回归模型第一节概述一、相关关系与回归分析1、函数关系与统计相关关系2、相关分析与回归分析的区别和联系二、总体回归模型与样本回归模型1、总体回归模型（PRF）：总体回归函数随机扰动项2、样本回归模型（SRF）：样本回归函数残差第二节简单线性回归模型的参数估计一、对线性回归模型的假设（古典假定）如何表示？1、零均值假定2、同方差假定3、无自相关假定4、 与解释变量不相关5、 正态性假定二、普通最小二乘法（OLS ）1、 OLS 的思想 参数估计式2、Y i 的分布三、普通最小二乘估计量的统计性质 高斯—马尔可夫定理 BLUE1、参数估计量的性质 高斯-马尔科夫定理2、 总体方差/随机扰动项方差的估计式3、 参数估计量的概率分布四、最大似然估计的概念第三节 简单线性回归模型的检验一、对估计值的直观判断（经济意义的检验） 二、拟和优度的检验1、 TSS=ESS+RSS2、 TSS ESS RSS 各自的含义3、 R2的构造4、 ∑∑==22212ˆiyx TSSESS R iβ5、 2R [0，1]三、对1β的显著性检验（T 检验） 检验步骤 四、均值预测与个值预测的置信区间 P49 第三章 多元线性回归模型 第一节 概述一、基本概念偏回归系数及其解释二、多元线性回归的基本假定如何表示和理解？1、零均值假定2、同方差假定3、无自相关假定4、无多重共线性5、扰动项与解释变量不相关6、正态性假定第二节多元线性回归模型的最小二乘估计一、矩阵形式的OLS参数估计式二、总体方差/随机扰动项方差的OLS估计式三、参数估计量的性质：同一元情形四、样本容量问题第三节多元回归模型的检验一、拟和优度检验1、判定系数2、调整后的判定系数二、对单个回归系数的显著性检验（T检验）检验步骤三、总体回归模型的显著性检验（F检验）检验步骤第四节预测对个值预测、区间预测的理解：p74第五节可以线性化的其他函数形式一、线性回归模型的形式：对参数而言是线性的回归系数的含义:边际效应二、几种常见的线性回归模型1、 双对数模型 回归系数的经济含义:弹性2、 半对数模型3、 倒数变换模型第六节 受约束回归 基本思想和检验步骤 第四章 违背经典假设的回归模型第一节 异方差一、异方差1、 异方差，指的是回归模型中的随机误差项的方差不是常数。
最新金融计量经济学ppt课件
2009.11 Huazhong University of
Econometrics For Finance-Chapter 1
11
Science and Technology
between variables Examining the effect on financial markets of
changes in economic conditions Forecasting future values of financial variables
and for financial decision-making.
金融计量经济学ppt课件
课程目标
课程目标:了解和掌握广泛应用于金融领域的现代经济计量 的技术和方法.
金融学的快速发展使它已成为一门相对独立的学科。
金融学“是一门具有高度实践性的科学”，“金融理论与 实证分析之间关系的密切程度是其他社会学科无法相比 的”.
金融经济学家进行推断的基本方法是金融计量经济学，即 以模型为基础的统计推断。
• Financial data often differ from macroeconomic data. 1 In economics, there are some problems:
2009.11 Huazhong University of
Econometrics For Finance-Chapter 1
10
Science and Technology
Examples of some problems that may be solved by an Econometrician
英文版财政学名词解释文档
第一章1.Public finance：also known as public sector economics or public economics, focuses on the taxing and spending activities of government and their influence on the allocation of resources and redistribution of income.也知道有国营部门经济公开金子经济，焦点一个收税的和花费的活动政府和到他们的影响一容限资源和再分配收入。
anic view of governmen t：society is conceived of as a natural organism, each individual is part of this organism,and the government can be thought of as its heart. 政府有机论：社会是一个有机体，每个人是有机体的一部分，政府被认为是其心脏。
3.Mechanistic view of governmen t：in this view ,government is not an organic part of society,rather, it is a contrivance created by individuals to achieve their individual goals.在这个看法，政府不是年有机份额社会，宁可，它安排设计由个体创造达到到他们各自的目标。
4.Entitlement programs:programs with costs determined by number of people who qualify.5.Unified budget: a document which itemizes all the federal government’s expenditures and revenues.6.Regulatory budget: an annual statement of the costs imposed on the economy by government regulations.第二章1. Positive economics：examines how the economy actually works . 正面经济：审查怎么经济实际上运作。
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THE UNIVERSITY OF WESTERN ONTARIO
LONDON CANADA
ECONOMICS 2222A - 001TOPIC 7 Tutorial Exercises
J. Knight Fall 2010Office:4029 SSC
Phone:519 661-3489
Q.1We are concerned with the sampling scheme of drawing without replacement (order
disregarded) a simple random sample of size n = 2 from the following population of size N = 5.
X :
3,5,7,9,11(a)
How many samples of size 2 are possible?(b)
Construct a probability distribution table for the sample mean and graph it.(c)Verify that
E X ()=μand Var(X )n N n N =−−⎛⎝⎜⎞⎠
σ21Q.2Repeat Q.1 using sampling with replacement and show for part (c)
E X ()=μand Var X n
()=σ2
Q.3Suppose we are to take a simple random sample of size n = 50 from an infinite population
having mean = 117 and variance 200. Assume the variable of interest is continuous, but that we do not know the distribution of X . Find:
(a)
Pr .(.)X <1202(b)
Pr (115.4 < < 116.8).X (c)The value of above which approximately 91.31% of all sample means chosen in
X the above manner will be.
2
Q.4 A manufacturer has ordered a shipment of 3,000 boxes of small parts. When the shipment arrives, a simple random sample of 25 boxes will be taken and the number of parts in each box counted. If the average number of parts per box is less than 98, the shipment will be rejected. The distribution of the number of parts per box is unknown, but past experience indicates that the mean is 100 and variance 50.
What is the probability that the shipment will be accepted?
Q.5 A company that manufactures ball-point pens knows from past experience that its percentage defective is 12%. What is the probability of selecting a simple random sample of size 144 with a sample proportion defective of over 14% when sampling from a lot of size N = 2000? Use the continuity correction.。