资源描述:
《introdution and background》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、IINTRODUCTIONANDBACKGROUNDInthispartweintroducethebasicapproachtoeconometricstakenthroughoutthebookandcoversomebackgroundmaterialthatisimportanttomasterbeforereadingtheremainderofthetext.Studentswhohaveasolidunderstandingofthealgebraofconditionalexpectations,con
2、ditionalvariances,andlinearprojectionscouldskipChapter2,referringtoitonlyasneeded.Chapter3containsasummaryoftheasymptoticanalysisneededtoreadPartIIandbeyond.InPartIIIweintroducead-ditionalasymptotictoolsthatareneededtostudynonlinearestimation.1Introduction1.1Cau
3、salRelationshipsandCeterisParibusAnalysisThegoalofmostempiricalstudiesineconomicsandothersocialsciencesistode-terminewhetherachangeinonevariable,sayw,causesachangeinanothervariable,sayy.Forexample,doeshavinganotheryearofeducationcauseanincreaseinmonthlysalary?Do
4、esreducingclasssizecauseanimprovementinstudentper-formance?Doesloweringthebusinesspropertytaxratecauseanincreaseincityeconomicactivity?Becauseeconomicvariablesareproperlyinterpretedasrandomvariables,weshoulduseideasfromprobabilitytoformalizethesenseinwhichachang
5、einwcausesachangeiny.Thenotionofceterisparibus—thatis,holdingallother(relevant)factorsfixed—isatthecruxofestablishingacausalrelationship.Simplyfindingthattwovariablesarecorrelatedisrarelyenoughtoconcludethatachangeinonevariablecausesachangeinanother.Thisresultisdu
6、etothenatureofeconomicdata:rarelycanwerunacontrolledexperimentthatallowsasimplecorrelationanalysistouncovercausality.Instead,wecanuseeconometricmethodstoe¤ectivelyholdotherfactorsfixed.Ifwefocusontheaverage,orexpected,response,aceterisparibusanalysisentailsestima
7、tingEðyjw;cÞ,theexpectedvalueofyconditionalonwandc.Thevectorc—whosedimensionisnotimportantforthisdiscussion—denotesasetofcontrolvari-ablesthatwewouldliketoexplicitlyholdfixedwhenstudyingthee¤ectofwontheexpectedvalueofy.Thereasonwecontrolforthesevariablesisthatwet
8、hinkwiscorrelatedwithotherfactorsthatalsoinfluencey.Ifwiscontinuous,interestcentersonqEðyjw;cÞ=qw,whichisusuallycalledthepartiale¤ectofwonEðyjw;cÞ.Ifwisdiscrete,wearei