复旦大学计量经济学讲义01前言

1.1EconometricR:FreshEconometricsR:Frish1926Biometrics193012»29Econometrica1933(20-40)17Newton¡Leibniz191809Gauss182119Galton20FisherR:1890¡1962NeymanJ:D:Frischbiometrics19261930FrischTinbergenFisher19331Econometrica304050-701950KoopmanKoopman¡Hood-1-1.1Klein1921»194119501928»19501955207070LinkProject1987782L:Klein198020306080-9070Granger¡Newbold1974Box¡Jenkins1967Cooper1972(1)(2)(3)Dickey¡Fuller1979DFADFPhillips¡Perron1988ZSargan1964Hendry¡Anderson(1977)Davidson(1978)Hendry1980SimsVAR1987Engle¡GrangerGranger1988¡1992JohansenVEC1960-2-197919841980Klein199881.1()CCA:Cowles(CC)CCCCCC:(1)(2)(3)(4)(5)(6)(7)(8)(9)(10)1I0CCCCCCCC19601950CCCCLucas(1976)Lucas:T:Sarget(1976)Lucas2Lucas-3-1.2Sims(1980)VARVARCCCC1I(0)1CCCC1960(1)CCT:HaavelmoOLS(2)Haavelmo1943(3)TKoopmans1949(4)KoopmansRubinLeipnik(5)Lucas1976CLM(6)Sims1980VAR1.2123121.3-4-1.1()(1)(2)(3)(4)(5)1.2()1.3()1.4()(1)(2)(3)(4)(5)(6)(7)(8)1.2()-5-1.4-1.4(1)(2)30(1)(2)(1)-6-(2)MAARARMA(3)(4)D.F.HendryHendry506070(5)C-DGMM;GeneralizedMethodofMomentsMM;MethodofMoments-7-1.4PanelDataModelwithDiscretedependentVariableProbitLogitLimitedDependentVariableDurationModelClassicalEconometrics2070R:FrishT:HaavelmoL:R:Klein20702000penalJ:HeckmanD:McFaddan-8-