ch10 Time Series Data 《计量经济学导论》课件.pptVIP

Economics 20 - Prof. Anderson 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 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 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 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 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 Assumptions (continued) Still need to assume that no x is constant, and that there is no perfect collinearity Note we have skipped the assumption of a random sample The key impact of the random sample assumption is that each ui is independent Our strict exogeneity assumption takes care of it in this case Unbiasedness of OLS Based on these 3 assumptions, when using time-series data, the OLS