第一节计量经济学.ppt

计量经济学的产生和发展 ○1926年挪威经济学家R. Frisch提出Econometrics ○1930年成立世界计量经济学会 ○1933年创刊《Econometrica》 ○20世纪40、50年代理论的大发展和60年代的应用领域扩张 ○20世纪70年代以来非经典（现代）计量经济学的发展 计量经济学的重要地位 “计量经济学已经在经济学科中居于最重要的地位” “在大多数大学和学院中，计量经济学的讲授已经成为经济学课程表中最有权威的一部分” ——著名计量经济学家、诺贝尔经济学奖获得者克莱因 “第二次大战后的经济学是计量经济学的时代” ——著名经济学家、诺贝尔经济学奖获得者萨谬尔森 计量经济学家在诺奖中的地位 57位获奖者中10位直接因为对计量经济学发展的贡献而获奖（截至2005年） 1969 R. Frisch J. Tinbergen 1973 W. Leotief 1980 L. R. Klein 1984 R. Stone 1989 T. Haavelmo 2000 J. J. Heckman D. L. McFadden 2003 R. F. Engle, C. W. J. Granger 近20位担任过世界计量经济学会会长 30余位左右在获奖成果中应用了计量经济学 The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 1969 for having developed and applied dynamic models for the analysis of economic processes The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 1973 for the development of the input-output method and for its application to important economic problems The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 1980 for the creation of econometric models and the application to the analysis of economic fluctuations and economic policies The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 1984 for having made fundamental contributions to the development of systems of national accounts and hence greatly improved the basis for empirical economic analysis The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 1989 for his clarification of the probability theory foundations of econometrics and his analyses of simultaneous economic structures 经典计量经济模型特征 模型导向：理论导向 模型类型：随机模型、参数模型 模型结构：线性模型、因果分析模型 数据类型：截面数据、时间序列数据、被解释变量为服从正态的连续随机变量 估计方法：仅利用样本信息、最小二乘 法、极大似然法 The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2000 for his development of theory and methods for analyzing selective samples” for his development of theory and meth