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1、OutlineAppliedEconometricswithR•Randeconometrics•RobuststandarderrorsChristianKleiberAchimZeileisExample:SandwichvarianceestimatorsforatobitmodelUniversit¨atBaselWirtschaftsuniversit¨atWienSwitzerlandAustria•Gaps•AER:bookandpackageChristianKleiber1UBaselR
2、andeconometricsSpinogramsandGLMs1.01.0•Languageandterminologyineconometricsissomewhatdistinctfromtheterminol-no0.80.8ogyusedinmainstreamstatistics.noTwoexamples:0.60.60.40.4StatisticsEconometricsparticipationparticipationfactordummyvariablesyes0.20.2gener
3、alizedlinearmodelprobit,logit,...yes0.00.0•Generally,notmuchawarenessofstatisticalGLMliteratureamongeconometricians.0681012233.544.556•Visualizationnotverycommon.educationageChristianKleiber2UBaselChristianKleiber3UBaselRandeconometricsRandeconometricsTra
4、ditionaleconometricsoftwareWhyR?Appliedeconometrics:•superiorgraphicsEViews,TSP,PcGIVE,SAS,Stata,...•objectorientationTheoryandmethodology:•reproducibilityGAUSS,Ox,Matlab,S-PLUS,...ChristianKleiber4UBaselChristianKleiber5UBaselRandeconometricsRobuststanda
5、rderrors•Linearmodelsandextensions:OLS,nonlinearregression,systemsofequations•Diagnosticsandvalidation:Robustregression,sandwichcovariancematrices,Inthelinearregressionmodeldiagnostictests•Microeconometrics:Logit,Probit,Poissonregression(viaglm()),Tobit,m
6、odi-yi=x>β+εi,ifiedcountdatamodels(ZIP,hurdle),durationmodels(packagesurvival)wehaveforOLS,undertechnicalassumptions,•Timeseries:(S)ARIMA(X),unitrootsandcointegration(packagestseries,urca),structuralchange,ARCHmodels(seeRmetrics),structuraltimeseries√d2−1m
7、odelsn(βˆ−β)−→N(0,σQXX)SeealsoCRANtaskview:econometricsatprovidedmodeliscorrectlyspecified.http://CRAN.R-project.org/src/contrib/Views/Econometrics.htmlChristianKleiber6UBaselChristianKleiber7UBaselIfonlyconditionalmeaniscorrectlyspecified,wehaveRobuststand
8、arderrors√d−1−1n(βˆ−β)−→N(0,QXXΣvQXX)Example:“Fair’saffairs”(Fair,J.PoliticalEconomy1978)asandwichvarianceformula.Robustnessconsiderationssuggesttoestimatethelatter.•Cross-sectiondataonfrequencyofextramaritalaffairsfr
