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
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Introductory EconometricsA Modern Approach
Yan ZhangSchool of Economics, Fudan University
CCER, Fudan University
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Motivation
Theoretical & Empirical Research Theoretical Research in China
What’s “modern” approach?
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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
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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
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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)
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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;
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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
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Analysis for Cross Section and Panel Data
Chap 1. The Nature of Econometrics and Economic Data
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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
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1.2 The Structure of Economic Data
Nonexperimental Data (Observational data)
Experimental Data
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Cross-Sectional Data
De Long and Summers (1991).The ordering of the data does not matter
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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
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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.
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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
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1.3 Theoretical and Empirical Analysis
E.g. Economics of Crime (Gary Becker, 1968)
Econometric Model How to?
Economic Model Utility maximization
Intuition
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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
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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
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1.3.3 Other Steps
Data Collecting Carefully; preparations
Estimation of parameters in the ec model Econometric methods
TestImplications——prediction; policy
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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?
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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。”
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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
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本部分课程内容参考资料
Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach, Chap 1.
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图形
垃圾
河流
捕鱼外部性
产权与效率?
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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?