107411:

107411: Econometrics I
1:
.
2550
.

107411:

1:
1.1
(Samualson)
(Soldberger)
1)
2)
3)
4)
5)
6)
7)

(
(estimate)

)
(parameter)

(forecast)

Keynes
Keynes:

Y
X

(function)
2

107411:

Y = f(X)
-

(equation)

(linear)

1X

Y
-

( 0

(nonlinear)
Y

X2

1
single equation
multiple equation

equation
-

single equation
- Simple regression model
- Multiple regression model

(hypothesis) 2
- Maintained hypothesis:
(assumption)
- Testable Hypothesis:
1

1)

1X

exact relationship

simultaneous

107411:

Y
Y = b0 + b1X

b0
X1

X2

exact relationship

Y
X

(econometric model)

1X

(disturbance term)

random

error term

(stochastic)

probability

distribution

(estimation method)

(population)
4

(estimator)

(sample)

1X

107411:

15

0.8X

X
-

- Regression equation
(dependent variable)

1
(explanatory variable) 1

- Regression analysis
- Correlation

(causation)
1.2
1.2.1 Mathematic Expectation
(probability distribution)
Xi
0
1
2
3
4
5
6
.

ni
4
12
20
16
8
2
2
64
5

/
fi
0.0625
0.1875
0.3125
0.2500
0.1250
0.0313
0.0313
1.0000

107411:

nixi
i

variable

fixi

1
(4 0
64

ni

0.6250 0

12 1

2 6)

0.1875 1

0.03125 6

2.40625

2.40625

(weighted mean)

f(x)
probability function
x
discrete random
(expected value)
x
mathematical expectation
n

E(x)
E(x)

x i f(x i )

i 1

weighted average

weight

probability

x i f(x i )

discrete variable

x i f(x i )

continuous variable

function
- Population mean

E(x)

x
i 1

E(x)

- Theorem: x
a, b
E(ax b) aE(x) b
Var(ax b) a 2 Var(x)
1.2.2
x
1.
.

y
(mean)

x
6

107411:

Mean(x) = E(x)=
2.

(variance)
x
Var(x) = E x E(x) 2

3.

(skewness)
x
3
Skewness = E x
3
Symmetric Distribution
3 0
3

Note: E [x y] E(x) E(y)

E [ax by cz
] aE(x)
E [xy] E(x) E(y) x
y
4.

bE(y)

cE(z)

...

(covariance)
x
y
Covariance (x, y) Cov(x, y) E[x E(x)][y E[y]]
Cov(x, y) E(xy) E(x)E(y)
Cov(x, y) 0
x
y
Cov(x, y) 0
x
y
Cov(x, y) 0
x
y
Note: Var (x+y) = Var(x) + Var(y) + 2Cov(x,y)
Var (x-y) = Var(x) + Var(y) - 2Cov(x,y)

5.
E [y x ]

n
i 1

E [y x ]
6.
.

g(y)

y i f( y i x i )

;y

Discrete

y i f(y i xi ) dy

;y

Continuous

single value function

7

107411:

E [g(y x)]

g (y i )f(y i x i ) ; y

i 1

E [g(y x)]

g(yi )f(yi x i ) dy ; y

Discrete
Continuous

1.2.3 Parameters
Estimators
(population)
x
xi ~ N [ , 2 ]
2
parameters
2

E[ x ]
-

E [x

E(x)] 2

(sample)
x
parameters

(sampling)
n
(estimator)

s2

2
n

i 1

s2
-

estimators

xi
x) 2

(x i

i 1

100%

(sampling

error)
test

z-test
- Econometric Model: Yi

(hypothesis testing)
2

-test
F-test
(confidence interval)
Xi

t-

107411:

I
x1...x 50

(y , x)
Population

y1...y 50

Sample

(estimation):
-

2
point estimator
interval estimator

(estimator)
- y random variable
parameter

[ y1 , y2 ,..., yn ]
prior information

Estimator
prior information

(distribution)

(y ,..., y )
1
n

yi

(sampling distribution)
1. Mean ( )
E( )
2
2
E E( )
E( 2 ) E( )
2. Var ( )
3. Standard Error
Var( )
(
)
4. Sampling Error
E( )
5. Biasedness
9

107411:

6. Mean Square Error (MSE)

Var( )

Bias 2

1.2.4
(small sample properties)
1. Unbiasedness

Unbiased estimator

E( )

2. Efficiency

Efficiency Estimator
~
E( )
Var( ) Var( )
~
unbiased estimator
efficiency:
efficiency unbiased estimator
relative efficient estimator
- Cramer-Roa inequality theorem
x
probability distribution
function [f(x)]
parameter ( 1 , , k )
unbiased estimator
x1 , , xn
i
i
logalithymic likelihood function
(L)
A

L log e f(x 1 , , x n )
information matrix

10

107411:

2
1

1 2

1 k

A
2

k 1

k 2

inverse matrix
i

A 1

L
2
k

k*k

I ii

A 1
- Cramer-Roa inequality theorem
Var( i ) I ii
I ii

Var( i )

Cramer-Roa lower bound

3. BLUE: Best Linear Unbiased Estimator

BLUE
(1) E()
(2)
Linear
(3) Var() Var(~)
(large

sample

properties

asymptotic

properties)
(n
)
()

n
asymptotic distribution
- Central limit theorem:
x
asymptotic distribution
x
asymptotic distribution
= lim E( )
- Asymptotic mean
n

11

107411:

- Asymptotic variance
= 1 lim E [ n (
lim E( )] 2
nn
n
[
lim Var( ) ]
n

1) Asymptotic unbiased estimator

asymptotic unbiased estimator

only if: iff)
n

(if and

lim E( )

2) Consistent estimator

consistent estimator
p lim( ) 0
p lim( ) 0
lim Pr ob [
n

Note:
n

lim MSE ( )

finite variance

plim probability limit

lim MSE ( ) 0

lim Var ( )

0
consistent estimator

lim Bias 2

3) Asymptotic efficient

asymptotic estimator
- asymptotic distribution

finite mean

consistent estimator
-
- Asymptotic Variance
~
Asy. Var ( ) Asym . Var ( )
~
consistent estimator

12