课程信息： 康奈尔大学&厦门大学 洪永淼教授 《高级计量经济学》，B站链接

讲义

Chapter 1 : Introduction to Econometrics

1.1 Introduction

计量经济学是经济学研究最主要的方法论。

1.2 Quantitative Features of Modern Economics

现代经济研究的一般方法论可以大致概括如下：

Step 1: Data collection and summary of empirical stylized facts（经验典型特征）. The so-called stylized facts are often summarized from observed economic data. eg: the Engel’s curve, Phillips Curve

Step 2: Development of economic theories/models.

Step 3: Empirical verification of economic models.

Step 4: Applications.

1.3 Mathematical Modeling

数学模型只是计量经济学的一种方法，其他方法包括： graphical methods, verbal discussions, mathematical models。

1.4 Empirical Validation

现代计量经济学的两个假设（fundamental axioms）:

• Any economy can be viewed as a stochastic process governed by some probability law.
• Economic phenomenon, as often summarized in form of data, can be reviewed as a realization of this stochastic data generating process.

1.5 Illustrative Examples

Example 1: The Keynes Model, the Multiplier and Policy Recommendation
The simplest Keynes model can be described by the system of equations

$$\left\{\begin{array}{l}{Y_{t}=C_{t}+I_{t}+G_{t}} \\ {C_{t}=\alpha+\beta Y_{t}+\varepsilon_{t}}\end{array}\right.$$

$\varepsilon$为微扰项。$\beta$为边际消费倾向

Example 2: Rational Expectations and Dynamic Asset Pricing Models

Suppose a representative agent has a constant relative risk aversion utility

$$U=\sum_{t=0}^{n} \beta^{t} u\left(C_{t}\right)=\sum_{t=0}^{n} \beta^{t} \frac{C_{t}^{\gamma}-1}{\gamma}$$

1.6 Limitatons of Econometric Analysis

First, as a simplification of reality, economic theory or model can only capture the main or most important factors, but the observed data is the joint outcome of many factors together, and some of them are unknown and unaccounted for.

Second, an economy is an irreversible or non-repeatable system.

Third, economic relationships are often changing over time for an economy.

Fourth, data quality. The success of any econometric study hinges on the quantity as well as the quality of data.