2022年伍德里奇计量经济学英文版各章总结.docx

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1、精品_精品资料_CHAPTER 1TEACHING NOTESYou have substantial latitude about what to emphasize in Chapter 1. I find it useful to talk about the economics of crime example Example 1.1 and the wageexample Example 1.2 so that students see, at the outset, that econometrics is linkedto economic reasoning, even if

2、the economics is not complicated theory.I like to familiarize students with the important data structures that empirical economists use, focusing primarily on cross-sectional and time series data sets, as these are what I cover in a first-semester course. It is probably a good idea tomention the gro

3、wing importance of data sets that have both a cross-sectional and time dimension.I spend almost an entire lecture talking about the problems inherent in drawing causal inferences in the social sciences. I do this mostly through the agricultural yield, return to education, and crime examples. These e

4、xamples also contrast experimental and nonexperimental observational data. Students studying business and finance tend to find the term structure of interest rates example more relevant, although the issue there is testing the implication of a simple theory, as opposed toinferring causality.I have f

5、ound that spending time talking about these examples, inplace of a formal review of probability and statistics, is more successful and more enjoyable for the students and me.CHAPTER 2TEACHING NOTESThis is the chapter where I expect students to follow most, if not all, of the algebraic derivations.In

6、 class I like to derive at least the unbiasedness of the OLS slope coefficient, and usually Iderive the variance.At a minimum, I talk about the factors affecting the variance. To simplify the notation, after I emphasize the assumptions in the population model, and assume random sampling, I just cond

7、ition on the values of the explanatory variables in the sample. Technically, this is justified by random sampling because, for example, Eui|x1,x2, ,xn = Eui|xi by independent sampling.I find that students are able to focus on the key assumption SLR.4 and subsequently take my word about how condition

8、ing on the independent variables in the sample is harmless. If you prefer, the appendix to Chapter 3 does the conditioning argument carefully.Because statistical inference is no more difficultin multiple regression than in simple regression, I postpone inference until Chapter 4. This reduces redunda

9、ncy and allows you to focus on the interpretive differences between simple and multiple regression.You might notice how, compared with most other texts, I use relatively few assumptions to derive the unbiasedness of the OLS slope estimator, followed by the formula for its variance.This is because I

10、do not introduce redundant or unnecessary assumptions. For example, once SLR.4 is assumed, nothing further about the relationship betweenu and x is needed to obtain the unbiasedness of OLS under random sampling.CHAPTER 3可编辑资料 - - - 欢迎下载精品_精品资料_TEACHING NOTESFor undergraduates, I do not work through

11、most of the derivations in this chapter, at least not in detail.Rather, I focus on interpreting the assumptions, which mostly concern the population.Other than random sampling, the only assumption that involves more than population considerations is the assumption about no perfect collinearity, wher

12、e the possibility of perfect collinearity in the sample even if it does not occur in the population should be touched on. The more important issue is perfect collinearity in the population, but this is fairly easy to dispense with via examples.These come from my experiences with the kinds of model s

13、pecification issues that beginners have trouble with.The comparison of simple and multiple regression estimates based on theparticular sample at hand, as opposed to their statistical propertiesusually makes a strong impression.Sometimes I do not bother with the“ partialling out” interpretation of mu

14、ltiple regression.As far as statistical properties, notice how I treat the problem of including an irrelevant variable:no separate derivation is needed, as the result follows form Theorem 3.1.I do like to derive the omitted variable bias in the simple case. This is not much more difficult than showi

15、ng unbiasedness of OLS in the simple regression case under the first four Gauss-Markov assumptions. It is important to get the students thinking about this problem early on, and before too many additional unnecessary assumptions have been introduced.I have intentionally kept the discussion of multic

16、ollinearity to a minimum.Thispartly indicates my bias, but it also reflects reality.It is, of course, very important for students to understand the potential consequences of having highly correlated independent variables. But this is often beyond our control, except that we can ask less of our multi

17、ple regression analysis. If two or more explanatory variables are highly correlated in the sample, we should not expect to precisely estimate their ceteris paribus effects in the population.I find extensive treatments of multicollinearity, where one“ tests ” or somehow“ solves ” the multicollinearit

18、y problem, to be misleading, at beEsvt.en the organization of some texts gives the impression that imperfect multicollinearity is somehow a violation of the Gauss-Markov assumptions: they includemulticollinearity in a chapter or part of the book devoted to“ violation of the basi assumptions,” or som

19、ething like thaI th. ave noticed that master s students who havehad some undergraduate econometrics are often confused on the multicollinearity issue.It is very important that students not confuse multicollinearity among the included explanatory variables in a regression model with the bias caused b

20、y omitting an important variable.I do not prove the Gauss-Markov theorem. Instead, I emphasize itsimplications. Sometimes, and certainly for advanced beginners, I put a special case of Problem 3.12 on a midterm exam, where I make a particular choice for the function gx. Rather than have the students

21、 directly compare the variances, they should可编辑资料 - - - 欢迎下载精品_精品资料_appeal to the Gauss-Markov theorem for the superiority of OLS over any other linear, unbiased estimator.CHAPTER 4TEACHING NOTESAt the start of this chapter is good time to remind students that a specific error distribution played no

22、 role in the results of Chapter 3. That is because only the first two moments were derived under the full set of Gauss-Markov assumptions.Nevertheless, normality is needed to obtain exact normal sampling distributions conditional on the explanatory variables.I emphasize that the full set of CLM assu

23、mptions are used in this chapter, but that in Chapter 5 we relax the normality assumption and still perform approximately valid inference.One could argue thatthe classical linear model results could be skipped entirely, and that only large-sampleanalysis is needed. But, from a practical perspective,

24、 students still need to know where thet distribution comes from because virtually all regression packages reportt statistics and obtainp-values off of the t distribution.I then find it very easy to cover Chapter 5 quickly, by just saying we can drop normality and still uset statistics and the associ

25、atedp-values as being approximately valid.Besides, occasionally students will have to analyze smaller data sets, especially if they do their own small surveys for a term project.It is crucial to emphasize that we test hypotheses about unknown population parameters.I tell my students that they will b

26、e punished if they write something like可编辑资料 - - - 欢迎下载精品_精品资料_1H0 :. = 0 on an exam or, even worse, H0: .632 = 0.可编辑资料 - - - 欢迎下载精品_精品资料_One useful feature of Chapter 4 is its illustration of how to rewrite a population model so that it contains the parameter of interest in testing a single restric

27、tion. Ifind this is easier, both theoretically and practically, than computing variances thatcan, in some cases, depend on numerous covariance termsT. he example of testing equality of the return to two- and four-year colleges illustrates the basic method, and shows that the respecified model can ha

28、ve a useful interpretation.Of course, some statistical packages now provide a standard error for linear combinations of estimates with a simple command, and that should be taught, too.One can use anF test for single linear restrictions on multiple parameters, but this is less transparent than at tes

29、t and does not immediately produce the standard error needed for a confidence interval or for testing a one-sided alternative. The trick of rewriting the population model is useful in several instances, including obtaining confidence intervals for predictions in Chapter 6, as well as for obtaining c

30、onfidence intervals for marginal effects in models with interactions also in Chapter 6.The major league baseball player salary example illustrates the difference between individual and joint significance when explanatory variables rbisyr and hrunsyr in this case are highly correlated. I tend to emph

31、asize theR-squared form of the F statistic because, in practice, it is applicable a large percentage of the time,and it is much more readily computed.I do regret that this example is biased toward students in countries where baseball is played. Still, it is one of the better examples可编辑资料 - - - 欢迎下载

32、精品_精品资料_of multicollinearity that I have come across, and students of all backgrounds seem to get the point.CHAPTER 5TEACHING NOTESChapter 5 is short, but it is conceptually more difficult than the earlier chapters, primarily because it requires some knowledge of asymptotic properties of estimators.

33、 In class, I give a brief, heuristic description of consistency and asymptotic normality before stating the consistency and asymptotic normality of OLS. Conveniently, the same assumptions that work for finite sample analysis work for asymptotic analysis. More advanced students can follow the proof o

34、f consistency of the slope coefficient in the bivariate regression case. Section E.4 contains a full matrix treatment of asymptotic analysis appropriate for a master s level course.An explicit illustration of what happens to standard errors as the sample sizegrows emphasizes the importance of having

35、 a larger sample.I do not usually cover the LM statistic in a first-semester course, and I only briefly mention the asymptotic efficiency result.Without full use of matrix algebra combined with limit theorems for vectors and matrices, it is very difficult to prove asymptotic efficiency of OLS.I thin

36、k the conclusions of this chapter are important for students to know, even though they may not fully grasp the details. On exams I usually include true-falsetype questions, with explanation, to test the students understanding of asymptotics.For example: “ In large samples we do nohtave to worry abou

37、t omitted variable bias. ”False. Or “ Even if the error term is not normally distributed, in large samples we can still compute approximately valid confidence intervals under the Gauss-Markov assumptions. ”True.CHAPTER6TEACHING NOTESI cover most of Chapter 6, but not all of the material in great det

38、ail. I use the example in Table 6.1 to quickly run through the effects of data scaling on the important OLS statistics.Students should already have a feel for the effects of data scaling on the coefficients, fitting values, andR-squared because it is covered in Chapter 2.At most, I briefly mention b

39、eta coefficients; if students have a need for them, they can read this subsection.The functional form material is important, and I spend some time on more complicated models involving logarithms, quadratics, and interactions. An important point for models with quadratics, and especially interactions

40、, is that we need to evaluate the partial effect at interesting values of the explanatory variables. Often, zero is not an interesting value for an explanatory variable and is well outside the range in the sample. Using the methods from Chapter 4, it is easy to obtain confidence intervals for the ef

41、fects at interestingx values.可编辑资料 - - - 欢迎下载精品_精品资料_As far as goodness-of-fit, I only introduce the adjustedR-squared, as I think using a slew of goodness-of-fit measures to choose a model can be confusing to novices and does not reflect empirical practice. It is important to discuss how, if we fix

42、ate on a high R-squared, we may wind up with a model that has no interesting ceteris paribus interpretation.I often have students and colleagues ask if there is a simple way to prediyctwhen logy has been used as the dependent variable, and to obtain a goodness-of-fitmeasure for the logy model that c

43、an be compared with the usuaRl -squared obtainedwhen y is the dependent variable. The methods described in Section 6.4 are easy to implement and, unlike other approaches, do not require normality.The section on prediction and residual analysis contains several important topics, including constructin

44、g prediction intervals.It is useful to see how much wider the prediction intervals are than the confidence interval for the conditional mean. Iusually discuss some of the residual-analysis examples, as they have real-world applicability.CHAPTER 7TEACHING NOTESThis is a fairly standard chapter on usi

45、ng qualitative information in regression analysis, although I try to emphasize examples with policy relevance and only cross-sectional applications are included.In allowing for different slopes, it is important, as in Chapter 6, to appropriately interpret the parameters and to decide whether they ar

46、e of direct interest.For example, in the wage equation where the return to education is allowed to depend on gender, the coefficient on the female dummy variable is the wage differential between women and men at zero years of education.It is not surprising that we cannot estimate this very well, nor

47、 should we want to.In this particular example we would drop the interaction term because it is insignificant, but the issue of interpreting the parameters can arise in models where the interaction term is significant.In discussing the Chow test, I think it is important to discuss testing for differe

48、nces in slope coefficients after allowing for an intercept difference.In many applications, a significant Chow statistic simply indicates intercept differences. See the example in Section 7.4 on student-athlete GPAs in the text. From a practical perspective, it is important to know whether the partial effects differ across groups or whether a constant differential is sufficient.I admit that an unconventional feature of this chapter is its introduction of thelinear probability model.I cover the LPM here for several reasons. First, the LPM