Lecture 1

Introduction
陈伟泽
RUC Economics

1
Outline
• What is Econometrics?
• Economic Data
• Course Requirements
• Statistical Causality
• Review of Statistics

2
1. 计量经济学是什么？
• 计量经济学的产生背景
• 1870s新古典经济学的兴起
• 虽有各种各样的经济理论或假说，但无法联系实际情
况进行判断

• 1890s现代统计学的兴起
• 提出通过数据揭示变量关系的方法，以及判断理论假
说的方法

3
1. 计量经济学是什么？
• Ragnar Frisch (1926) “Sur un probleme d'economie
pure“ [On a Problem in Pure Economics (1971)]
“Intermediate between mathematics, statistics,
and economics, we find a new discipline which
for lack of a better name, may be called
econometrics. Econometrics has as its aim to
subject abstract laws of theoretical political
economy or 'pure' economics to experimental
and numerical verification, and thus to turn
pure economics, as far as possible, into a
science in the strict sense of the word.”

4
1. 计量经济学是什么？
• Trygve Haavelmo (1944, Ecta) “The Probability
Approach in Econometrics.”

• “The method of econometric research

aims, essentially, at a conjunction of
economic theory and actual measure-
ments, using the theory and technique
of statistical inference as a bridge pier.”

5
1. 计量经济学是什么？
• What is Econometrics?
• Econometrics = use of statistical methods to analyze
economic data
• Econometricians typically analyze nonexperimental data
• vs. biometricians who often analyze experimental data

• Typical goals of Econometric analysis

• Estimating relationships between economic variables
• Testing economic theories and hypotheses
• Forecasting economic variables
• Evaluating government and business policy
6
1. 计量经济学是什么？
• Steps in econometric analysis
• 1) Economic models
• 2) Econometric models
• Economic models
• Maybe micro- or macro-models
• Often use optimizing behaviour, equilibrium modeling, …
• Establish relationships between economic variables
• Examples: demand equations, pricing equations, …

7
典型例子: 工资的影响因素
• Model of job training & worker productivity (Mincer, 1974)
• What is effect of additional training on worker productivity?
• Formal economic theory needed to derive equation:

Hourly wage

Years of formal Weeks spent

education Years of work- in job training
force experience

• Other factors may be relevant, but these are the most

important (?)

8
 典型例子: 工资的影响因素
• Econometric model of job training and worker productivity
Unobserved deter-
minants of the wage

e.g. innate ability,

Hourly wage Years of formal Years of work- Weeks spent quality of education,
education force experience in job training family background …

• Most of econometrics deals with the specification of the error u.

• Coefficients to be estimated: β0, β1, β2, β3.
• Econometric models may be used for hypothesis testing
• For example, the parameter represents “effect of training on wage”
• How large is this effect? Is it different from zero?

9
Economic Data
• Econometric analysis requires data
• Different kinds of economic data sets
• Cross-sectional data（截面数据）
• Time series data（时间序列数据）
• Pooled cross sections（混合截面数据）
• Panel/Longitudinal data（面板数据）
• Econometric methods depend on the nature of the
data used
• Use of inappropriate methods may lead to misleading results

10
不同类型的经济数据
• Cross-sectional data （截面数据）
• Sample of individuals, households, firms, cities, states,
countries, or other units of interest at a given point of
time/in a given period.
• Cross-sectional observations are more or less
independent
• For example, pure random sampling from a population.
• Sometimes pure random sampling is violated, e.g. units refuse
to respond in surveys, or if sampling is characterized by
clustering.
• Cross-sectional data typically encountered in applied
microeconomics.

11
• Cross-sectional data set on wages and other
characteristics（教育回报例子）

Indicator variables
(1 = yes, 0 = no)

Observation number Hourly wage Years of Years of

education experience
12
• Cross-sectional data on growth rates and country
characteristics（经济增长例子）

Average growth rate of Government consumption Adult secondary

real per capita GDP as a percentage of GDP education rates

13
Cross-sectional Data

The Sveriges Riksbank Prize in

Economic Sciences in Memory of
Alfred Nobel 2000 was divided
equally between James J. Heckman
"for his development of theory and
methods for analyzing selective
samples" and Daniel L. McFadden
"for his development of theory and
methods for analyzing discrete
choice."

14
• Time series data（时间序列数据）
• Observations of a variable or several variables over time
• For example, stock prices, money supply, consumer price index, gross
domestic product, annual homicide rates, automobile sales, …

• Time series observations are typically serially correlated

• Ordering of observations conveys important information
• Data frequency: daily, weekly, monthly, quarterly, annually, …
• Typical features of time series: trends and seasonality
• Typical applications: applied macroeconomics and
finance

15
• Time series data on minimum wages and related
variables（最低工资及相关宏观经济变量）

Average minimum Average Unemployment Gross national

wage for the given year coverage rate rate product
(the percentage of
workers covered by the
minimum wage law)

16
• Time series data on GDP and its components

17
Time Series Data

The Sveriges Riksbank Prize in

Economic Sciences in Memory of
Alfred Nobel 2003 was divided
equally between Robert F. Engle III
"for methods of analyzing economic
time series with time-varying
volatility (ARCH)" and Clive W.J.
Granger "for methods of analyzing
economic time series with common
trends (cointegration)."

18
• Pooled cross sections（混合截面数据）
• Two or more cross sections are combined in one data
set
• Cross sections are drawn independently of each other
• Pooled cross sections often used to evaluate policy
changes
• Example:
• Evaluate effect of change in property taxes on house prices
• Random sample of house prices for the year 1993
• A new random sample of house prices for the year 1995
• Compare before/after (1993: before reform, 1995: after reform)

19
 CHFS数据库

资料来源：https://chfs.swufe.edu.cn/datacenter/apply.html
20
• Pooled cross sections on housing prices

Property tax
Size of house
in square feet

Number of bedrooms

Number of
bathrooms

Before reform

After reform

A reduction of
property taxes
in 1994

21
• Panel or longitudinal data（面板数据）
• The same cross-sectional units are followed over time
• Panel data have a cross-sectional and a time series
dimension（时序+截面）
• Panel data can be used to account for time-invariant
unobservables
• Panel data can be used to model lagged responses
• Example:
• City crime statistics; each city is observed in two years
• Time-invariant unobserved city characteristics may be modeled
• Effect of police on crime rates may exhibit time lag

22
• Two-year panel data on city crime statistics

Number of
police in 1986

Number of
police in 1990

23
• Panel data on the national account across countries
since 1960

24
课程要求
• 学习目标：
• 掌握常用的计量方法
• 设计合理的实证策略(*)
• 与数理统计课的关系
• 与经济理论课的关系

• 课堂讨论与小组合作
• 课堂讨论
• 研究项目

25
• 教材与文献阅读
• Wooldridge 6ed
（其他补充教材：功夫计量或”harmless econometrics”）
• Reading List: See the syllabus
• 使用方法：“骨架+肌肉”的方法

• 考核方式：
• 平时作业(30%) + 期中考核(30%) + 期末考试(40%)
• 作弊或抄袭者当次考试或作业计零分

26
统计因果性

27
统计学中相关性与因果性的辩论

• Francis Galton: 回归分析之父

• Galton (1888), “Co-relations and their measurement, chiefly from anthropological data.” PRSL.

• Karl Pearson: 现代统计学之父

• Pearson (1920), “Notes on the History of Correlation.”

• Correlation: A measure of linear association b/t X and Y

Corr(X,Y) = E[(X-EX)(Y-EY)]/[std(X)*std(Y)]
• This measure was invented by Galton in the 19th
century and used extensively by Pearson in the early
20th century.

28
统计学中相关性与因果性的辩论
• “伪相关性”的出现：巧克力与诺贝尔奖

29
统计学中相关性与因果性的辩论

• “伪相关性”的出现：巧克力与诺贝尔奖

• Sewall Wright (1918, 1921)

• S. Wright (1918), “On the Nature of Size Factors” Genetics.
• S. Wright (1921), “Correlation and Causation” JAR.
• 通过路径图(path coefficients)来分析统计因果关系

• Ronald Fisher (1926), “The Design of Experiments”

• 通过控制实验识别统计因果关系
• 在其他因素不变的条件下，因素A的改变会“导致”现象B的
出现

30
Statistical Causality（统计因果）
• Causality and the notion of ceteris paribus
(“partial effects”)
Definition of causal effect of x on y :

“How does variable y change if variable x is changed

but all other relevant factors are held constant?”

• Most economic questions are ceteris paribus questions

• It is important to define which causal effect one is interested in
• It is useful to describe how an experiment would have
to be designed to infer the causal effect in question

31
• 例子1：农业生产
• Causal effect of fertilizer on crop yield
• “By how much will the production of soybeans increase if one
increases the amount of fertilizer applied to the ground”
• Implicit assumption: all other factors that influence crop yield
such as quality of land, rainfall, presence of parasites etc. are
held fixed
• Experiment:
• Choose several one-acre plots of land; randomly assign
different amounts of fertilizer to the different plots; compare
yields
• Experiment works because amount of fertilizer applied is
unrelated to other factors influencing crop yields

32
• 例子2：教育回报
• Measuring the return to education
• “If a person is chosen from the population and given another
year of education, by how much will his or her wage
increase?”
• Implicit assumption: all other factors that influence wages
such as experience, family background, intelligence etc. are
held fixed
• Experiment:
• Choose a group of people; randomly assign different amounts
of education to them (infeasable!); compare wage outcomes
• Problem without random assignment: amount of education is
related to other factors that influence wages (e.g. intelligence)

33
• 例子3：最低工资
• Effect of the minimum wage on unemployment
• “By how much (if at all) will unemployment increase if the
minimum wage is increased by a certain amount (holding
other things fixed)?”
• Experiment:
• Government randomly chooses minimum wage each year
and observes unemployment outcomes
• Experiment will work because level of minimum wage is
unrelated to other factors determining unemployment
• In reality, the level of the minimum wage will depend on
political and economic factors that also influence
unemployment

34
检验经济理论上的相关关系
• Testing predictions of economic theories
• Economic theories are not always stated in terms of
causal effects
• For example, the expectations hypothesis states that
long term interest rates equal compounded expected
short term interest rates（无套利均衡条件）

• An implication is that the interest rate of a three-months

T-bill should be equal to the expected interest rate for
the first three months of a six-months T-bill; this can be
tested using econometric methods
35
统计学知识回顾

36
统计学知识回顾
• Joint Distribution, Independence
• Expected Values
• Variances, Standard Deviations
• Covariance, Correlation
• Conditional Expectations
• Chi-square distribution, t distribution, F distribution

37
 Joint Distribution and Independence

Independence

38
Joint Distribution and Independence

39
Expected Value

40
Properties of Expected Values

41
Variances

42
Standard Deviations

43
Covariance

44
45
Correlation

46
47
Conditional Expectations

48
Useful Distributions

49
50
51
Convergence in Probability and the
Law of Large Numbers
Convergence in Probability

Law of Large Numbers

52
• Example:
• Student commuter's experiment: 每天纪录上课通勤时间是大于
30分钟（长）还是小于30分钟（短）。
• 记作Yi=1为学生i在今天的上课通勤时间属于短；Yi=0为学生i今
天的上课通勤时间属于长。
• 随机抽样n个学生，则有数据Y1,...,Yn。
• Yi, i = 1, ..., n服从Bernoulli distribution，其中Yi=1的概率为0.78。
• 因此，E(Yi) = μY = 0.78。

53
54
The Central Limit Theorem

55
56
小结

57