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Analysis of Cross Section and Panel Data


Analysis of Cross Section and Panel Data
Ming Lu & Yan Zhang School of Economics, Fudan University CCER, Fudan University

Introductory Econometrics
A Modern Approach
Yan Zhang School of Economics, Fudan University CCER, Fudan University

Motivation
? Theoretical

& Empirical Research

?Theoretical Research in China
?What’s “modern” approach?

Motivation
? 实证研究的重要性

?理论研究与理论研究文章在中国的困境
?什么是规范的研究方法

Model的乐趣

?什么是规范的实证研究方法
? 计量经济学课程

Modern

?学与用
? Lu’s

points

What’s Panel Data(面板数据)?
? Cross-Sectional ? Time ? Panel

Data

?Different units; at a given point in time

Series Data Data

?Same units; overtime

?a time series for each cross sectional member ?Pooled Cross Sections

Specialties of Different Data Structure
? Cross-Sectional ? Time

Data

?Random sampling; ordering

Series Data

?Time dependent; Data frequency; Seasonal

pattern
? Panel

Data

?Characteristic of cross sectional members
?Results of govt. policies (Pooled Cross Sections)

Our Focus
? Cross-Sectional ? Panel

Data

?Fundamental approach

Data Topics

?Pooled Cross Sections; LSDV

? Advanced

?IV and TSLS; Simultaneous Eq. ; Limited

Dependent Variable Models and Sample Selection Corrections;

Readings
? Textbook:

?Jeffrey M. Wooldridge, Introductory

Econometrics——A Modern Approach. ? References:
?J.M. Wooldridge, Econometric Analysis of Cross

Section and Panel Data.
?W.H. Green, Econometric Analysis.

? Some

Papers

Analysis for Cross Section and Panel Data

Chap 1. The Nature of Econometrics and Economic Data

1.1 What’s Econometrics?
? Econometrics

is based upon the development of statistical methods for estimating economic relationships, testing economic theories, and evaluating and implementing government and business policy. ? Econometrical Analysis Methods ? Applications

1.2 The Structure of Economic Data
? Nonexperimental

Data (Observational

data) ? Experimental Data

Cross-Sectional Data
?De Long and Summers (1991). ?The ordering of the data does not matter

Time Series Data
?最低工资条 例对就业的影 响;CastilloFreeman and Freeman(1992) ?Time dependent; ?Data frequency; ?Seasonal pattern

Pooled Cross Sections
?Pooling cross sections from different years; ?Effectively analyzing the effects of a new govt. policy; ?Similar to a standard cross section, except that we often need to account for secular differences in the variables across the time.

Panel or Longitudinal Data
?The same cross sectional members; ?To control certain unobserved Characteristic of cross sections; ?To study the importance of lags in behavior or the result of decision making

1.3 Theoretical and Empirical Analysis
? E.g.

Economics of Crime (Gary Becker, 1968) ? Econometric Model
?How to?
? Economic ? Intuition

Model

?Utility maximization

1.3.1 Economic Model
?

Benchmark: choice of labor supply
? Leisure, labor (legal jobs, illegal crime) ? Allocation of resource

?

Economic Model
? y hours spent in criminal activities; x1 “wage” for an hour

spent in criminal activity; x2 hourly wage in legal employment; x3 income other than from crime or employment; x4 probability of getting caught; x5 probability of being convicted if caught; x6 expected sentence if convicted; x7 age

1.3.2 Econometric Model
? The

relations between economic model and econometric model
?f——specification of function form
?x——key factors

?u——unobserved factors; ambiguities

1.3.3 Other Steps
? Data

Collecting of parameters in the ec model

?Carefully; preparations
? Estimation ? Test

?Econometric methods
? Implications——prediction;

policy

1.4 Causality and Ceteris Paribus
Paribus——others being equal ? the economist’s goal is to infer that one var. has a causal effect on another var. ? Questions:
? Ceteris
?How can we measure the Ceteris Paribus Effects of

Fertilizer on Crop Yield ? 的实验?

?计量经济方法是否可以模拟一个“Ceteris Paribus”

结论性评论
Feldstein(1982a, p.830)指出“这个故事的重要意义不 在于每个盲人带着片面的、“不正确的”印象而去, 而在于聪明的王公(经济学家)研究了这五个盲人的 发现 后,能把各部分 拼在一起,形成 对大象的正确判 断,特别是如果 他以前曾看到过 其他四腿动物的 话。”

理论的作用
? 理论的用途之一:

分离出对行为产生重要影响的一小组 变量 ? 理论的目的:
尽量简单与抽象化问题,以便抓住问 题的本质
? 计量经济学的不同之处

本部分课程内容参考资料
?Jeffrey

M. Wooldridge, Introductory Econometrics——A Modern Approach, Chap 1.

图形
产权与效率?

垃圾

外部性

捕鱼

河流

效率损失与解决方法
私人市场 无效供给
如何解决?

私人方法

公共方法


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