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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.

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Analysis of Cross Section and Panel Data

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

  2. Introductory EconometricsA Modern Approach Yan Zhang School of Economics, Fudan University CCER, Fudan University

  3. Motivation • Theoretical & Empirical Research • Theoretical Research in China • What’s “modern” approach?

  4. 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 Modern • 计量经济学课程 • 学与用 • Lu’s points

  5. What’s Panel Data（面板数据）? • Cross-Sectional Data • Different units; at a given point in time • Time Series Data • Same units; overtime • Panel Data • a time series for each crosssectionalmember • Pooled Cross Sections

  6. Specialties of Different Data Structure • Cross-Sectional Data • Random sampling; ordering • Time Series Data • Time dependent; Data frequency; Seasonal pattern • Panel Data • Characteristic of crosssectionalmembers • Results of govt. policies (Pooled Cross Sections)

  7. Our Focus • Cross-Sectional Data • Fundamental approach • Panel Data • Pooled Cross Sections; LSDV • Advanced Topics • IV and TSLS; Simultaneous Eq. ; Limited Dependent Variable Models and Sample Selection Corrections;

  8. 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

  9. Analysis for Cross Section and Panel Data Chap 1. The Nature of Econometrics and Economic Data

  10. 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

  11. 1.2 The Structure of Economic Data • Nonexperimental Data (Observational data) • Experimental Data

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

  13. Time Series Data • 最低工资条例对就业的影响；Castillo-Freeman and Freeman(1992) • Time dependent; • Data frequency; • Seasonal pattern

  14. 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.

  15. 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

  16. 1.3 Theoretical and Empirical Analysis • E.g. Economics of Crime (Gary Becker, 1968) • Econometric Model • How to? • Economic Model • Utility maximization • Intuition

  17. 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

  18. 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

  19. 1.3.3 Other Steps • Data Collecting • Carefully; preparations • Estimation of parameters in the ec model • Econometric methods • Test • Implications——prediction; policy

  20. 1.4 Causality and Ceteris Paribus • Ceteris Paribus——others being equal • the economist’s goal is to infer that one var. has a causal effect on another var. • Questions: • How can we measure the Ceteris Paribus Effects of Fertilizer on Crop Yield ? • 计量经济方法是否可以模拟一个“Ceteris Paribus”的实验？

  21. 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。”

  22. 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

  23. 本部分课程内容参考资料 • Jeffrey M. Wooldridge, Introductory Econometrics——A Modern Approach, Chap 1.

  24. 图形 产权与效率？ 垃圾 捕鱼 外部性 河流

  25. 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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