Stock计量经济学第15章ppt课件.ppt

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1、Chapter15EstimationofDynamicCausalEffectsEstimationofDynamicCausalEffects(SWChapter15)2TheOrangeJuiceData(SWSection15.1)34InitialOJregression5DynamicCausalEffects(SWSection15.2)6Dynamiccausaleffects,ctd.7Dynamiccausaleffects,ctd.8Dynamiccausaleffectsandthedis

2、tributedlagmodel9Exogeneityintimeseriesregression10EstimationofDynamicCausalEffectswithExogenousRegressors(SWSection15.3)11Thedistributedlagmodel,ctd.12Thedistributedlagmodel,ctd.13UndertheDistributedLagModelAssumptions:14HeteroskedasticityandAutocorrelation-

3、Consistent(HAC)StandardErrors(SWSection15.4)15HACstandarderrors,ctd.16HACstandarderrors,ctd.17HACstandarderrors,ctd.18Expressionforvar(),generalT19HACStandardErrors20HACSEs,ctd.21Example:OJandHACestimatorsinSTATA22Example:OJandHACestimatorsinSTATA,ctd23Exampl

4、e:OJandHACestimatorsinSTATA,ctd.24FAQ:DoIneedtouseHACSEswhenIestimateanARoranADLmodel?25EstimationofDynamicCausalEffectswithStrictlyExogenousRegressors(SWSection15.5)26AnalysisoftheOJPriceData(SWSection15.6)27Digression:Computationofcumulativemultipliersandth

5、eirstandarderrors28Computingcumulativemultipliers,ctd.29Computingcumulativemultipliers,ctd.30Computingcumulativemultipliers,ctd.31323334AretheOJdynamiceffectsstable?3536OJ:Dothebreaksmattersubstantively?37WhenCanYouEstimateDynamicCausalEffects?Thatis,WhenisEx

6、ogeneityPlausible?(SWSection15.7)38Isexogeneity(orstrictexogeneity)plausible?Examples:39Exogeneity,ctd.40EstimationofDynamicCausalEffects:Summary(SWSection15.8)41