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107411: Econometrics I
1:
.
2550
.
107411:
1:
1.1
(Samualson)
(Soldberger)
1)
2)
3)
4)
5)
6)
7)
(
(estimate)
)
(parameter)
(forecast)
Keynes
Keynes:
Y
X
(function)
2
107411:
Y = f(X)
-
(equation)
(linear)
1X
Y
-
( 0
(nonlinear)
Y
X2
1
single equation
multiple equation
equation
-
single equation
- Simple regression model
- Multiple regression model
(hypothesis) 2
- Maintained hypothesis:
(assumption)
- Testable Hypothesis:
1
1)
1X
exact relationship
simultaneous
107411:
Y
Y = b0 + b1X
b0
X1
X2
exact relationship
Y
X
(econometric model)
1X
(disturbance term)
random
error term
(stochastic)
probability
distribution
(estimation method)
(population)
4
(estimator)
(sample)
1X
107411:
15
0.8X
X
-
- Regression equation
(dependent variable)
1
(explanatory variable) 1
- Regression analysis
- Correlation
(causation)
1.2
1.2.1 Mathematic Expectation
(probability distribution)
Xi
0
1
2
3
4
5
6
.
ni
4
12
20
16
8
2
2
64
5
/
fi
0.0625
0.1875
0.3125
0.2500
0.1250
0.0313
0.0313
1.0000
107411:
nixi
i
variable
fixi
1
(4 0
64
ni
0.6250 0
12 1
2 6)
0.1875 1
0.03125 6
2.40625
2.40625
(weighted mean)
f(x)
probability function
x
discrete random
(expected value)
x
mathematical expectation
n
E(x)
E(x)
x i f(x i )
i 1
weighted average
weight
probability
x i f(x i )
discrete variable
x i f(x i )
continuous variable
function
- Population mean
E(x)
x
i 1
E(x)
- Theorem: x
a, b
E(ax b) aE(x) b
Var(ax b) a 2 Var(x)
1.2.2
x
1.
.
y
(mean)
x
6
107411:
Mean(x) = E(x)=
2.
(variance)
x
Var(x) = E x E(x) 2
3.
(skewness)
x
3
Skewness = E x
3
Symmetric Distribution
3 0
3
bE(y)
cE(z)
...
(covariance)
x
y
Covariance (x, y) Cov(x, y) E[x E(x)][y E[y]]
Cov(x, y) E(xy) E(x)E(y)
Cov(x, y) 0
x
y
Cov(x, y) 0
x
y
Cov(x, y) 0
x
y
Note: Var (x+y) = Var(x) + Var(y) + 2Cov(x,y)
Var (x-y) = Var(x) + Var(y) - 2Cov(x,y)
5.
E [y x ]
n
i 1
E [y x ]
6.
.
g(y)
y i f( y i x i )
;y
Discrete
y i f(y i xi ) dy
;y
Continuous
107411:
E [g(y x)]
g (y i )f(y i x i ) ; y
i 1
E [g(y x)]
g(yi )f(yi x i ) dy ; y
Discrete
Continuous
1.2.3 Parameters
Estimators
(population)
x
xi ~ N [ , 2 ]
2
parameters
2
E[ x ]
-
E [x
E(x)] 2
(sample)
x
parameters
(sampling)
n
(estimator)
s2
2
n
i 1
s2
-
estimators
xi
x) 2
(x i
i 1
100%
(sampling
error)
test
z-test
- Econometric Model: Yi
(hypothesis testing)
2
-test
F-test
(confidence interval)
Xi
t-
107411:
I
x1...x 50
(y , x)
Population
y1...y 50
Sample
(estimation):
-
2
point estimator
interval estimator
(estimator)
- y random variable
parameter
[ y1 , y2 ,..., yn ]
prior information
Estimator
prior information
(distribution)
(y ,..., y )
1
n
yi
(sampling distribution)
1. Mean ( )
E( )
2
2
E E( )
E( 2 ) E( )
2. Var ( )
3. Standard Error
Var( )
(
)
4. Sampling Error
E( )
5. Biasedness
9
107411:
Var( )
Bias 2
1.2.4
(small sample properties)
1. Unbiasedness
Unbiased estimator
E( )
2. Efficiency
Efficiency Estimator
~
E( )
Var( ) Var( )
~
unbiased estimator
efficiency:
efficiency unbiased estimator
relative efficient estimator
- Cramer-Roa inequality theorem
x
probability distribution
function [f(x)]
parameter ( 1 , , k )
unbiased estimator
x1 , , xn
i
i
logalithymic likelihood function
(L)
A
L log e f(x 1 , , x n )
information matrix
10
107411:
2
1
1 2
1 k
A
2
k 1
k 2
inverse matrix
i
A 1
L
2
k
k*k
I ii
A 1
- Cramer-Roa inequality theorem
Var( i ) I ii
I ii
Var( i )
BLUE
(1) E()
(2)
Linear
(3) Var() Var(~)
(large
sample
properties
asymptotic
properties)
(n
)
()
n
asymptotic distribution
- Central limit theorem:
x
asymptotic distribution
x
asymptotic distribution
= lim E( )
- Asymptotic mean
n
11
107411:
- Asymptotic variance
= 1 lim E [ n (
lim E( )] 2
nn
n
[
lim Var( ) ]
n
(if and
lim E( )
2) Consistent estimator
consistent estimator
p lim( ) 0
p lim( ) 0
lim Pr ob [
n
Note:
n
lim MSE ( )
finite variance
lim MSE ( ) 0
lim Var ( )
0
consistent estimator
lim Bias 2
3) Asymptotic efficient
asymptotic estimator
- asymptotic distribution
finite mean
consistent estimator
-
- Asymptotic Variance
~
Asy. Var ( ) Asym . Var ( )
~
consistent estimator
12