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斯坦福大教材新学计量经济学运用lecture1.ppt

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APPLIEDECONOMETRICSLecture1-IdentificationDefiningIdentificationExperimentsNaturalExperimentsInstrumentalvariablesEconometricIdentificationWHATISIDENTIFICATION?GraduateandprofessionaleconomicsmainlyconcernedwithidentificationinempiricalworkConceptofunderstandingwhatisthecausalrelationshipbehindempiricalresults:ThisisessentialforlearningfromempiricalresearchTime-seriesexample:InterestratesandGDPCross-sectionexample:Management&ProductivityWHATISDRIVINGTHISRELATIONSHIP?Correlation=:Therecanbethreereasonsforthis,whicharenotmutuallyexclusive:Cause:ChangesinXtdrivechangesinYtReverseCause:ChangesinYtdrivechangesinXtCorrelatedvariable:ChangesinZtdrivesXtandYtWHATISDRIVINGTHISRELATIONSHIP?SOHOWDOWEGETIDENTIFICATIONFourbroadapproachesforidentificationExperiments–yougeneratethevariationNaturalExperiments–youknowwhatgeneratedthevariationInstrumentalvariables–youhaveavariablethatcanprovideyouvariationEconometricIdentification–yourelyon(testable)econometricassumptionsforidentificationEXPERIMENTS(1)ExperimentsaretotallystandardinScience&MedicineForexample:Setupatreatmentandcontrolgroupforanewdrug,parable(orrandomlyselected)EnsurethesamplesizesarelargeenoughtoobtainstatisticalsignificanceEnsuretheexperimentisunbiased–(2)EconomistsliketousethelanguageofScienceForexampletheUKconsideredintroducinganEducationMaintenanceAllowance,(es)Runtheexperiment

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