analysis of cross section and panel data ming lu & yan zhang school of economics, fudan...
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Analysis of Cross Section and Panel Data
Ming Lu & Yan ZhangSchool of Economics, Fudan University
CCER, Fudan University
Introductory EconometricsA Modern Approach
Yan ZhangSchool of Economics, Fudan University
CCER, Fudan University
Motivation
Theoretical & Empirical Research Theoretical Research in China
What’s “modern” approach?
Motivation
实证研究的重要性 理论研究与理论研究文章在中国的困境 什么是规范的研究方法 Model 的乐趣 什么是规范的实证研究方法 Modern
计量经济学课程 学与用
Lu’s points
What’s Panel Data (面板数据) ?
Cross-Sectional Data Different units; at a given point in time
Time Series Data Same units; overtime
Panel Data a time series for each cross sectional member
Pooled Cross Sections
Specialties of Different Data Structure
Cross-Sectional Data Random sampling; ordering
Time Series Data Time dependent; Data frequency; Seasonal patter
n Panel Data
Characteristic of cross sectional members Results of govt. policies (Pooled Cross Sections)
Our Focus
Cross-Sectional Data Fundamental approach
Panel Data Pooled Cross Sections; LSDV
Advanced Topics IV and TSLS; Simultaneous Eq. ; Limited Depend
ent Variable Models and Sample Selection Corrections;
Readings
Textbook:
Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach.
References: J.M. Wooldridge, Econometric Analysis of Cross
Section and Panel Data. W.H. Green, Econometric Analysis.
Some Papers
Analysis for Cross Section and Panel Data
Chap 1. The Nature of Econometrics and Economic Data
1.1 What’s Econometrics?
Econometrics is based upon the development of statistical methods for estimating economic relationships, testing economic theories, and evaluating and implementing government and business policy.
Econometrical Analysis MethodsApplications
1.2 The Structure of Economic Data
Nonexperimental Data (Observational data)
Experimental Data
Cross-Sectional Data
De Long and Summers (1991).The ordering of the data does not matter
Time Series Data
最低工资条例对就业的影响;Castillo-Freeman and Freeman(1992)Time dependent; Data frequency; Seasonal pattern
Pooled Cross SectionsPooling cross sections from different years;Effectively analyzing the effects of a new govt. policy;Similar to a standard cross section, except that we often need to account for secular differences in the variables across the time.
Panel or Longitudinal DataThe same cross sectional members;
To control certain unobserved Characteristic of cross sections;To study the importance of lags in behavior or the result of decision making
1.3 Theoretical and Empirical Analysis
E.g. Economics of Crime (Gary Becker, 1968)
Econometric Model How to?
Economic Model Utility maximization
Intuition
1.3.1 Economic Model
Benchmark: choice of labor supply Leisure, labor (legal jobs, illegal crime) Allocation of resource
Economic Model
y hours spent in criminal activities; x1 “wage” for an hour spent
in criminal activity; x2 hourly wage in legal employment; x3
income other than from crime or employment; x4 probability of
getting caught; x5 probability of being convicted if caught; x6
expected sentence if convicted; x7 age
1.3.2 Econometric Model
The relations between economic model and econometric model
f——specification of function form
x——key factors
u——unobserved factors; ambiguities
1.3.3 Other Steps
Data Collecting Carefully; preparations
Estimation of parameters in the ec model Econometric methods
TestImplications——prediction; policy
1.4 Causality and Ceteris Paribus
Ceteris Paribus——others being equal the economist’s goal is to infer that one var. ha
s a causal effect on another var. Questions:
How can we measure the Ceteris Paribus Effects of
Fertilizer on Crop Yield ?
计量经济方法是否可以模拟一个“ Ceteris Paribu
s” 的实验?
结论性评论Feldstein ( 1982a, p.830) 指出“这个故事的重要意义
不在于每个盲人带着片面的、“不正确的”印象而去,而在于聪明的王公(经济学家)研究了这五个盲人的发现
后,能把各部分拼在一起,形成对大象的正确判断,特别是如果他以前曾看到过其他四腿动物的话。”
理论的作用理论的用途之一: 分离出对行为产生重要影响的一小组
变量理论的目的: 尽量简单与抽象化问题,以便抓住问
题的本质计量经济学的不同之处
本部分课程内容参考资料
Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach, Chap 1.
图形
垃圾
河流
捕鱼外部性
产权与效率?
效率损失与解决方法
私人市场无效供给
私人方法 公共方法
如何解决?