理解现代计量经济学

UNDERSTANDINGMODERNECONOMETRICSYongmiaoHongDepartmentofEconomicsandDepartmentofStatisticalScienceCornellUniversity,U.S.A.andWangYananInstituteforStudiesinEconomics,XiamenUniversity,ChinaEmail:[e-mail]2006ThispaperiswrittenbasedonmyteachingexperiencesatCornellUniversity,HongKongUniversityofScienceandTechnology,RenminUniversityofChina,ShandongUniversity,ShanghaiJiaoTongUniversity,TsinghuaUniversityandXiamenUniversity.IthankYingFangandBaoliangLiforhelpfulcommentsandsuggestions.FinancialsupportsfromtheChangjiangScholarshipoftheChineseMinistryofEducationandfromtheNationalScienceFoundationofChinaareacknowledged.ABSTRACTEconometricshasbecomeanintegralpartoftraininginmoderneconomicsandbusiness.Togetherwithmicroeconomicsandmacroeconomics,econometricshasbeentaughtasoneofthethreecorecoursesinmostundergraduateandgraduateeconomicprogramsinNorthAmerica.InChina,theimportanceofeconometricshasbeenincreasinglyrecognizedandeconometrictoolsandmethodshavebeenwidelyemployedinempiricalstudiesonChineseeconomy.However,thereisasubstantialgapbetweenChineseeconometricsandmoderneconometrics.TherestillexistsconceptualmisunderstandingofeconometricsamongChineseeconomicprofession,andthereexistsomeproblemsinChineseeconometricteachingandresearch.Thispaperdiscussesthephilosophyandmethodologyofeconometrics,therolesandlimitationsofeconometrics,andthedi¤erencesbetweeneconometricsandmathematicaleconomicsaswellasmathematicalstatistics.Avarietyofillustrativeeconometricexamplesaregiven,whichcovervarious…eldsofeconomicsand…nanceThepaperalsosuggestshowtoimproveandstrengtheneconometricteachingandresearchinChina.KeyWords:Econometrics,mathematicalEconomics,Mathematicalstatistics,Quantitativeanalysis,Science,Uncertainty.1IntroductionEconometricshasbecomeanintegratedpartofteachingandresearchinmoderneconomicsandbusiness.TheimportanceofeconometricshasbeenincreasinglyrecognizedinChina.Inthisreviewarticle,Iwilldiscussthephilosophyandmethodologyofeconometricsineconomicresearch.First,Iwilldiscussthequalitativefeatureofmoderneconomics,andthedi¤erencesbetweeneconometricsandmathematicaleconomicsaswellasmathematicalstatistics.ThenIwillfocusontheimportantrolesofeconometricsasafundamentalmethodologyineconomicresearchviaavarietyofillustrativeeconomicexamplesincludingtheconsumptionfunction,marginalpropensitytoconsumeandmultipliers,rationalexpectationsmodelsanddynamicassetpricing,theconstantreturntoscaleandregulations,evaluationofe¤ectsofeconomicreformsinatransitionaleconomy,thee¢cientmarkethypothesis,modelinguncertaintyandvolatility,anddurationanalysisinlaboreconomicsand…nance.Theseexamplesrangefromeconometricanalysisoftheconditionalmeantotheconditionalvariancetotheconditionaldistributionofeconomicvariablesofinterest.Iwillalsodiscussthelimitationsofeconometrics,duetothenonexperimentalnatureofeconomicdataandthetime-varyingnatureofeconometricstructures.Finally,problemsincurrenteconometricteachingandresearchinChinaarepointedout,andpossiblesolutionsareproposed.2QuantitativeFeaturesofModernEconomicsModernmarketeconomiesarefullofuncertaintiesandrisk.Wheneconomicagentsmakeadeci-sion,theoutcomeisusuallyunknowninadvanceandeconomicagentswilltakethisuncertaintyintoaccountintheirdecision-making.Moderneconomicsisastudyonscarceresourcealloca-tionsinanuncertainmarketenvironment.Generallyspeaking,moderneconomicscanberoughlyclassi…edintofourcategories:macroeconomics,microeconomics,…nancialeconomics,andecono-metrics.Ofthem,macroeconomics,microeconomicsandeconometricsnowconstitutethecorecoursesformosteconomicdoctoralprogramsinNorthAmerica,while…nancialeconomicsisnowmainlybeingtaughtinbusinessandmanagementschools.MostdoctoralprogramsineconomicsintheU.S.emphasizequantitativeanalysis.Quantita-tiveanalysisconsistsofmathematicalmodelingandempiricalstudies.Tounderstandtherolesofquantitativeanalysis,itmaybeusefulto…rstdescribethegeneralprocessofmoderneconomicresearch.Likemostnaturalscience,thegeneralmethodologyofmoderneconomicresearchcanberoughlysummarizedasfollows:Step1:Datacollectionandsummaryofempiricalstylizedfacts.Theso-calledstylizedfactsareoftensummarizedfromobservedeconomicdata.Forexample,inmicroeconomics,1awell-knownstylizedfactistheEngel’scurve,whichcharacterizesthattheshareofacon-sumer’sexpenditureonacommodityoutofherorhistotalincomewilleventuallydeclineastheincomeincreases;inmacroeconomics,awell-knownstylizedfactisthePhillipsCurve,whichcharacterizesanegativecorrelationbetweenthein‡ationrateandtheunemploymentrateinanaggregateeconomy;andin…nance,awell-knownstylizedfactabout…nancialmarketsisvolatilityclustering,thatis,ahighvolatilitytodaytendstobefollowedbyanotherhighvolatilitytomorrow,alowvolatilitytodaytendstobefollowedbyanotherlowvolatilitytomorrow,andbothalternateovertime.Theempiricalstylizedfactsoftenserveasastartingpointforeconomicresearch.Forexample,thedevelopmentofunitrootandcointegrationeconometricswasmainlymotivatedbytheempiricalstudyofNelsonandPlossor(1982)whofoundthatmostmacroeconomictimeseriesareunitrootprocesses.Step2:Developmentofeconomictheories/models.