计量经济学Econometrics计量经济学研究内容与目的使用数量方法研究经济问题的步骤主要教材及参考书经济计量学常用软件本课程的学习大纲考核方式内容学习次序1.IntroductiontotheRegressionModelExample1.1Therelationshipbetweengrade-pointaverageandfamilyincomeThebestfittingline1.2DerivationofleastsquaresExample1.1(continuing)回归分析的功用SomeglossariesElementarystatistics:areview2.2Estimation2.3Desirablepropertiesofestimators2.4Probabilitydistributions2.5Hypothesistestingandconfidenceintervals2.5.1TypeⅠandtypeⅡerrors2.5.2P-values2.5.3Thepowerofatest2.6DescriptivestatisticsSomeglossaries3.Thetwo-variableregressionmodel3.Thetwo-variableregressionmodelTheimportanceofaboveassumptionsY的概率分布的假设3.2BestlinearunbiasedestimationTheordinaryleast-squaresestimator估计量的概率分布估计量的概率分布3.3Hypothesistestingandconfidenceintervals3.4Analysisofvarianceandcorrelation3.4.2CorrelationandregressiontechniquesSomeglossaries4.Themultipleregressionmodel4.1Themodel4.2Regressionstatistics4.3Ftest,R2,andcorrectedR2中国消费函数模型中国消费数据表单位：亿元模型估计结果拟合效果4.4Multicolinearity4.4多元共线性即：多重共线性使参数估计值的方差增大，方差扩大因子(VarianceInflationFactor)为1/(1-r2)，其增大趋势见下表：4.5standardcoefficientsandelasticities4.5标准化系数4.6partialcorrelationandstepwiseregression4.6偏相关和逐步回归逐步回归法Singleequationregressionmodels5.Usingthemultipleregressionmodel5.1thegenerallinearmodel葡萄酒价格预测5.2useofdummyvariablesExample5.3工资差别5.3theuseoftandftestsforhypothesesinvolvingmorethanoneparameters5.3使用t检验和f检验对多参数假设进行检验Example5.5住房需求5.4piecewiselinearregression5.5themultipleregressionmodelwithstochasticexplanatoryvariables6.heteroscedasticityandserialcorrelation6.1异方差6.2serialcorrelation6.2序列相关6.2.2Testsforserialcorrelation7.Instrumentalvariablesandmodelspecification8.Forecastingwithasingle-equationregressionmodel8.单方程回归模型预测预测误差8.1unconditionalforecasting8.1无条件预测系数需要估计时8.1.2evaluatingforecasts8.1.2预测评价8.2forecastingwithserialcorrelatederrors8.2误差项序列相关情形下的预测8.3conditionalforecasting8.3条件预测11.Modelofqualitativechoice传统的统计技术线性回归logistic回归行为建模12.Simultaneousequationestimation12.2theidentificationproblem12.3consistentparameterestimation13.Intruductiontosimula