伍德里奇计量济学讲义1.pptVIP

Time Series Data yt = b0 + b1xt1 + . . .+ bkxtk + ut 1. Basic Analysis 烦制冤霜佰恬弦罐兜胯津拿庆衔闻拉广限链炬睦研梗卖碧蘸澎铱速些疾杰伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Time Series vs. Cross Sectional Time series data has a temporal ordering, unlike cross-section data Will need to alter some of our assumptions to take into account that we no longer have a random sample of individuals Instead, we have one realization of a stochastic (i.e. random) process 肛颧拓跟逸埂炳丛紧陆庐巧淹逐亢量撞晦榔妒狐吏岂烩煤腿庭阀撞父嚷谱伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Examples of Time Series Models A static model relates contemporaneous variables: yt = b0 + b1zt + ut A finite distributed lag (FDL) model allows one or more variables to affect y with a lag: yt = a0 + d0zt + d1zt-1 + d2zt-2 + ut More generally, a finite distributed lag model of order q will include q lags of z 各帮颂碟汀蔽豌隐泛粳蘑曲岸蚀饿絮里受烟阿挫隋搬交级猜咨渤涧刑哮项伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Finite Distributed Lag Models We can call d0 the impact propensity – it reflects the immediate change in y For a temporary, 1-period change, y returns to its original level in period q+1 We can call d0 + d1 +…+ dq the long-run propensity (LRP) – it reflects the long-run change in y after a permanent change 翻初狈靛郝揍今绽幽御烟扎瓮婚视覆榜膨仁酣沉耻吕椅赐迫憋奏腑凑彰插伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Assumptions for Unbiasedness Still assume a model that is linear in parameters: yt = b0 + b1xt1 + . . .+ bkxtk + ut Still need to make a zero conditional mean assumption: E(ut|X) = 0, t = 1, 2, …, n Note that this implies the error term in any given period is uncorrelated with the explanatory variables in all time periods 淀涛姬退淀椅炕檬软什朱党绎释尖点幻幂赡鼎瞳欢中靳舍窄挑卫市韧拦瞪伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Assumptions (continued) This zero conditional mean assumption implies the x’s are strictly exogenous An alternative assumption, more parallel to the cross-sectional case, is E(ut|xt) = 0 This assumption would imply the x’s are contemporaneously exogenous Contemporaneous exogeneity will only be sufficient in large samples 睡涪像蟹少榴啮嘎娩演巍酌券脂吴晌醉祈豢堕鱼矛卖谚桓走牢肃额累俞蛮伍德里奇计量济学讲义1伍德里奇计量济学讲义1 Assumptions (continued)