计量经济学(英文)重点知识点考试必备

第一章1.Econometrics（计量经济学）：thesocialscienceinwhichthetoolsofeconomictheory,mathematics,andstatisticalinferenceareappliedtotheanalysisofeconomicphenomena.theresultofacertainoutlookontheroleofeconomics,consistsoftheapplicationofmathematicalstatisticstoeconomicdatatolendempiricalsupporttothemodelsconstructedbymathematicaleconomicsandtoobtainnumericalresults.2.Econometricanalysisproceedsalongthefollowinglines计量经济学分析步骤1)Creatingastatementoftheoryorhypothesis.建立一个理论假说2)Collectingdata.收集数据3)Specifyingthemathematicalmodeloftheory.设定数学模型4)Specifyingthestatistical,oreconometric,modeloftheory.设立统计或经济计量模型5)Estimatingtheparametersofthechoseneconometricmodel.估计经济计量模型参数6)Checkingformodeladequacy:Modelspecificationtesting.核查模型的适用性：模型设定检验7)Testingthehypothesisderivedfromthemodel.检验自模型的假设8)Usingthemodelforpredictionorforecasting.利用模型进行预测Step2：收集数据Threetypesofdata三类可用于分析的数据1)Timeseries(时间序列数据):Collectedoveraperiodoftime,arecollectedatregularintervals.按时间跨度收集得到2)Cross-sectional截面数据:Collectedoveraperiodoftime,arecollectedatregularintervals.按时间跨度收集得到3)Pooleddata合并数据（上两种的结合）Step3：设定数学模型1.plotscatterdiagramorscattergram2.writethemathematicalmodelStep4：设立统计或经济计量模型CLFPRisdependentvariable应变量CUNRisindependentorexplanatoryvariable独立或解释变量（自变量）WegiveacatchallvariableUtostandforalltheseneglectedfactorsInlinearregressionanalysisourprimaryobjectiveistoexplainthebehaviorofthedependentvariableinrelationtothebehaviorofoneormoreothervariables,allowingforthedatathattherelationshipbetweenthemisinexact.线性回归分析的主要目标就是解释一个变量（应变量）与其他一个或多个变量（自变量）只见的行为关系，当然这种关系并非完全正确Step5：估计经济计量模型参数Inshort,theestimatedregressionlinegivestherelationshipbetweenaverageCLFPRandCUNR简言之，估计的回归直线给出了平均应变量和自变量之间的关系Thatis,onaverage,howthedependentvariablerespondstoaunitchangeintheindependentvariable.单位因变量的变化引起的自变量平均变化量的多少。Step6：核查模型的适用性：模型设定检验Thepurposeofdevelopinganeconometricmodelisnottocapturetotalreality,butjustitssalientfeatures.Step7：检验自模型的假设Whydoweperformhypothesistesting?Wewanttofindourwhethertheestimatedmodelmakeseconomicsenseandwhethertheresultsobtainsconformwiththeunderlyingeconomictheory.第二章1.Themeaningofregression（回归）Regressionanalysisisconcernedwiththestudyoftherelationshipbetweenonevariablecalledthedependentorexplainedvariable,andoneormoreothervariablescalledindependentorexplanatoryvariables.2.Objectivesofregression1)Estimatethemean,oraverage,andthedependentvaluesgiventheindependentvalues2)Testhypothesesaboutthenatureofthedependence-----hypothesessuggestedbytheunderlyingeconomictheory3)Predictorforecastthemeanvalueofthedependentvariablegiventhevaluesoftheindependents4)Oneormoreoftheprecedingobjectivescombined3.PopulationRegressionLine（PRL）Inshort,thePRLtellsushowthemean,oraverage,valueofYisrelatedtoeachvalueofXinthewholepopulation4.ThedependenceofYonX,technicallycalledtheregressionofYonX.5.Howdoweexplainit?Astudent’sS.A.T.score,say,theithindividual,correspondingtoaspecificfamilyincomecanbeexpressedasthesumoftwocomponents1)Thecomponentcanbecalledthesystematic,ordeterministic,component.2)Maybecalledthenonsystematicorrandomcomponent6.WhatisthenatureofU(stochasticerror)term？1)Theerrortermmayrepresenttheinfluenceofthosevariablesthatarenotexplicitlyincludedinthemodel.误差项代表了未纳入模型变量的影响2)Someintrinsicrandomnessinthemathscoreisboundtooccurthatcannotbeexplainedevenweincludeallrelevantvariables.即使模型包括了决定性数学分数的所有变量，内在随机性也不可避免，这是做任何努力都无法解释的。3)Umayalsorepresenterrorsofmeasurement.U还代表了度量误差4)TheprincipleofOckham’srazor-thedescriptionbekeptassimpleaspossibleuntilprovedinadequate-wouldsuggestthatwekeepourregressionmodelassimpleaspossible.“奥卡姆剃刀原则”，描述应该尽可能简单，只要不遗漏重要信息。这表明回归模型应尽可能简单。7.HowdoweestimatethePRF（populationregressionfunction）?Unfortunately,inpractice,Werarelyhavetheentirepopulationinourdisposal,oftenwehaveonlyasamplefromthispopulation.8.GrantedthattheSRFisonlyanapproximationofPRF.Canwefindamethodoraprocedurethatwillmakethisapproximationascloseaspossible?SRF仅仅是PRF的近似，那么能不能找到一种方法使这种近似尽可能接近真实呢？9.Specialmeaningof“linear”1)Linearityinthevariables变量线性Theconditionalmeanvalueofthedependentvariableisalinearfunctionoftheindependentvariables2)LinearityintheParameters参数线性Theconditionalmeanofthedependentvariableisalinearfunctionoftheparameters,theB’s;itmayormaynotbelinearinthevariables.第三章1.UnlesswearewillingtoassumehowthestochasticUtermsaregenerated,wewillnotbeabletotellhowgoodanSRFisasanestimateofthetruePRF.只有假定了随机误差的生成过程，才能判定SRF对PRF拟合的是好是坏。2.ClassicalLinearRegressionModel1)Assumption1:Theregressionmodelislinearintheparameters.Itmayormaynotbelinearinthevariables.回归模型是参数线性的，但不一定是变量线性的。2)Assumption2:TheexplanatoryvariablesXisuncorrelatedwiththedisturbancetermU.X’sarenonstochastic,Uisstochastic.解释变量X与扰动误差项u不相关.X是非随机的，U是随机的。3)Assumption3:GiventhevalueofXi,theexpected,ormeanvalueofthedisturbancetermUiszero.给定Xi，扰动项的期望或均值为零。DisturbanceUrepresentallthosefactorsthatarenotspecificallyintroducedinthemodel干扰项U代表了所有未纳入模型的影响因素。4)Assumption4:ThevarianceofeachUiisconstant,orhomoscedastic.U的方差为常数，或同方差。Homoscedasticity（同方差）:a.ThisassumptionsimplymeansthattheconditionaldistributionofeachYpop