Econometrics. Week 9. Institute of Economic Studies. Faculty of Social Sciences.
Charles University in Prague. Fall 2012. 1 / 21 ...
An electronic version of the paper may be downloaded ..... shortly after the publication of the book, and was key in the development and diffusion .... Maddala, 1983, 1986), random coefficient models (Swamy, 1970, Hsiao and Pesaran,. 2006) ...
C.3 Derivative-Free Methods . ... This book is intended to serve as the textbook
for a first-year graduate course in econometrics. It can be ... Beyond these texts,
the Handbook of Econometrics series provides advanced summaries of contem-.
1.1 Classical linear regression and generalized linear regression. 1.2 Ordinary
Least Squares (OLS) estimation. Finite sample and large sample properties.
This is an alternative (mean-variance) representation of the CEF equation. ...... It might seem rather odd to compare the bias of heteroskedasticity-robust.
Several applied econometrics textbooks are recommended: Enders, W.: “Applied
Econometric Time Series“, 2nd edition, 2003. Harris, R. and R. Sollis: “Applied ...
For those involved in vector autoregressive modeling, a complete set of estimation and forecasting routines is available that imple- ment a wider variety of these ...
whether they are engaged in econometric analysis or more general regression
modeling. .... This text can be read as a manual for simply using the existing.
This text provides an introduction to spatial econometrics as well as a set of.
MATLAB functions that implement a host of spatial econometric estimation
methods.
line R, also called scalars) are written using lower case italics such as y, and ...... The mathematician Carl Friedrich Gauss (1777-1855) proposed the normal ...... of Greene, section 1.7 of Hayashi, and the empirical exercise in Chapter 1.
Oct 1, 2004 - To show this, we rank the countries by their annual growth rate between ...... s is the saving rate for hu
Hill, R. C., W. E. Griffiths, and G. G. Judge, Undergraduate Econometrics, ...
Enders, W., Applied Econometric Time Series, Second Edition, John Wiley &
Sons,.
Oct 1, 2004 - Foundation for financial support. Johnson thanks the Department of Economics,. University of Wisconsin for
Jan 6, 2014 ... Research. Chapter 1,Introduction, Section 1.3: 'Methodology of Econometrics' in
Gujarati,. Porter and Gunasekar, Basic Econometrics,. 5th ed.
We obtain a simple consistent estimator which is a natural counterpart to the CML estimator for standard simultaneous models. An application to a structural.
Apr 25, 2013 - measures of âcore inflationâ, from which such unusual price changes may be down- ... following the depreciation of sterling since mid-2007.
EC310: Econometrics Part I. The Nature of Econometrics and Economic Data.
Junhui Qian. September 14, 2014 ...
Main text is “Introductory Econometrics: A Modern Approach” by Jeffrey.
Wooldridge. You can also read Gujarati's “Basic Econometrics” or other textbooks
if.
Chapter 6. Econometrics. 6.1 Introduction. We're going to use a few tools to
characterize the time series properties of macro variables. Today, we will take a ...
3.4.3 Why is Regression Called Regression and What Does ..... cially hope that readers are comfortable with the elementary tools of statistical inference, such as t* .... 1 Milgram was later played by the actor William Shatner in a TV special, an ...
Journal of the Statistical and Social Inquiry Society of Ireland. Vol. XXVII, Part II ... put our arguments into figures, the voice of our science, although.
Nov 10, 2011 - A microfinance institution (MFI) based in Ben- galuru expanded into these .... This exercise is similar in spirit to power. 4The present paper ...
Introduction to Econometrics. Chapter 3. Ezequiel Uriel Jiménez. University of ... [
3]. 3.2 Obtaining the OLS estimates, interpretation of the coefficients, and other ...
Eric, 1956â III. Swanson, Norman R. (Norman Rasmus), 1964â IV. Watson, ...... Imperial College and who won the Nobel Prize in physics for holography. A .... That arose just because Paul Newbold was trained by George Box and was.
Chapter 01. Econometrics & Economic Data. 1. Econometrics. 1. Econometrics.
Graduate School of International Cooperation Studies,. Kobe University.
Chapter 01
Ch.1 Econometrics & Data 1. 2. 3. 4.
Econometrics Graduate School of International Cooperation Studies, Kobe University
Econometrics
1
1.1 What is Econometrics?
Econometrics
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1.2 Steps in Empirical Analysis
Having experimental data is rare in economics It is necessary to use non-experimental data to make inferences It is important to be able to apply economic theory to real world data
Econometrics
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Cross-sectional data
(1.2)
2. Specifying econometric model wage = b 0 + b 1educ + b 2exper + b 3training + u (1.4) u is error term, and b s are parameters.
Econometrics & Economic Data
What is Econometrics?
1.3 Structure of economic data
An empirical analysis uses data to test a theory or to estimate a relationship 1. Constructing economic model
Econometrics
2
Econometrics has borrowed a lot of techniques from mathematical statistics, but
Econometrics is a kind of statistical methods for
What is Econometrics? Steps in empirical economic analysis The structure of economic data Causality and the notion of ceteris paribus in econometric analysis
5
Each observation is a new individual, firm, etc. with information at a point in time. →e.g. table 1.1 & 1.2 Cross-sectional data is a random sample.
If the data is not a random sample, we have a sample-selection problem. Econometrics
6
1
Chapter 01
Econometrics
Cont.
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7
Econometrics
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Econometrics
10
Econometrics
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8
Structure of economic data
Time series data Time series data has a separate observation for each time period – e.g. table 1.3. Since rarely a random sample, we have to consider different problems about it. It has some category depending on time frequency. Econometrics
Cont.
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Structure of economic data
Pooled cross section It can pool random cross sections to account for time differences –e.g. table 1.4.
Panel data It consists of the same random individual observations over time –e.g. table 1.5.
Econometrics
Econometrics & Economic Data
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12
2
Chapter 01
1.4 Causality & Ceteris Paribus Economist’s goal is to infer that one variable has a causal effect on another variable, for testing economic theory or for evaluating policy.
Econometrics
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Example: Returns to Education
13
Econometrics
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Example cont.
A model of human capital investment implies getting more education should lead to higher earnings In the simplest case, this implies an equation like
The error term, u, includes other factors affecting earnings, like experience or job training. The estimate of b1 is the return to education.
b1
Earnings b 0 b1education u
Econometrics
Causal effect: A ceteris paribus change in one variable has an effect on another variable. Ceteris paribus: All other relevant factors are held fixed.
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Earnings education
s.t.
Econometrics
u 0 education
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Causality & Ceteris Paribus cont. Simply establishing a relationship between variables is rarely sufficient. If we’ve truly controlled for enough other variables, then the estimated ceteris paribus effect can often be considered to be causal. Econometric methods can simulate a ceteris paribus experiment. Econometrics
