计量经济学的构成.pptVIP

Lecture 2: Estimating a Slope (Chapter 2.1–2.7) Recall 計量經濟學的構成 經濟理論 數理模型 統計理論 計量模型 計量與經濟理論之差異? Economic theory: qualitative results— Demand Curves Slope Downward Econometrics: quantitative results— price elasticity of demand for milk = -.75 計量與統計之差異? Statistics: “summarize the data faithfully”; “let the data speak for themselves.” Econometrics: “ what do we learn from economic theory AND the data at hand?” 計量能做啥事? Estimation: What is the marginal propensity to consume of Taiwan? (結構分析) Hypothesis Testing: Do Korean college workers’ productivity higher than Taiwan?(檢定假說) Prediction Forecasting: What will Personal Savings be in 2004 if GDP is $14,864? And will it grow in the near future (2008)?(預期及預測) Economists Ask: “What Changes What and How?” Higher Income, Higher Saving Higher Price, Lower Quantity Demanded Higher Interest Rate, Lower Investment Savings Versus Income Theory Would Assume an Exact Relationship, e.g., Y =bX Slope of the Line Is Key! Slope is the change in savings with respect to changes in income Slope is the derivative of savings with respect to income If we know the slope, we’ve quantified the relationship! Never So Neat: Savings Versus Income Long-run Consumption Function 特點 向上斜 經原點 猜猜斜率? Underlying Mean + Random Part (憑直覺) 四大猜法 four intuitively appealing ways to estimate b 估計策略 Min Σ (Y – Y) Min Σ ∣ Y – Y ∣ Min Σ (Y – Y) 優劣點 “Best Guess 1” Mean of Ratios: Figure 2.4 Estimating the Slope of a Line with Two Data Points “Best Guess 2” Ratio of Means: Figure 2.5 Estimating the Slope of a Line: bg2 “Best Guess 3” Mean of Changes in Y over Changes in X: “Best Guess 4” Ordinary Least Squares: (minimizes ? squared residuals in sample) Four Ways to Estimate b Underlying Mean + Random Part Are lines through the origin likely phenomena? Regression’s Greatest Hits!!! An Econometric Top 40 Two Classical Favorites!! Friedman’s Permanent Income hypothesis: Capital Asset Pricing Model (CAPM)