斯坦福大学计量经济学运用lecture1.pptVIP

APPLIED ECONOMETRICSLecture 1 - Identification Defining Identification WHAT IS IDENTIFICATION? Graduate and professional economics mainly concerned with identification in empirical work Concept of understanding what is the causal relationship behind empirical results: This is essential for learning from empirical research Time-series example: Interest rates and GDP Cross-section example: Management Productivity WHAT IS DRIVING THIS RELATIONSHIP? REASONS FOR CORRELATION Imagine variables Yt and Xt are correlated: There can be three reasons for this, which are not mutually exclusive: Cause: Changes in Xt drive changes in Yt Reverse Cause: Changes in Yt drive changes in Xt Correlated variable: Changes in Zt drives Xt and Yt WHAT IS DRIVING THIS RELATIONSHIP? SO HOW DO WE GET IDENTIFICATION Four broad approaches for identification Experiments – you generate the variation Natural Experiments – you know what generated the variation Instrumental variables – you have a variable that can provide you variation Econometric Identification – you rely on (testable) econometric assumptions for identification Defining Identification EXPERIMENTS (1) Experiments are totally standard in Science Medicine For example: Set up a treatment and control group for a new drug, making sure these are comparable (or randomly selected) Ensure the sample sizes are large enough to obtain statistical significance Ensure the experiment is unbiased – i.e. the drug and the placebo are as similar as possible Run the experiment EXPERIMENTS (2) Economists like to use the language of Science For example the UK considered introducing an Education Maintenance Allowance, to pay kids to stay on at school. But want to test first to see if this would this work. Set up a treatment and control regions to match these in characteristics Select enough regions to get large sample sizes Observe agents actions to evaluate impact (rather than self reported outcomes) Run the experiment EXPERIMENTS (3) E