1、伍德里奇计量经济学英文版各章总结伍德里奇计量经济学英文版各章总结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 wage example (Example 1.2) so that students see, at the outset, that econometrics is linked t
2、o economic reasoning, even if 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
3、 a good idea to mention the growing 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 educati
4、on, and crime examples. These examples 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 oppos
5、ed to inferring causality. I have found that spending time talking about these examples, in place 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 no
6、t all, of the algebraic derivations. In class I like to derive at least the unbiasedness of the OLS slope coefficient, and usually I derive 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
7、, and assume random sampling, I just condition on the values of the explanatory variables in the sample. Technically, this is justified by random sampling because, for example, E(ui|x1,x2,xn) = E(ui|xi) by independent sampling. I find that students are able to focus on the key assumption SLR.4 and s
8、ubsequently take my word about how conditioning 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 difficult in multiple regression than in simple regression, I postpone
9、 inference until Chapter 4. (This reduces redundancy 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
10、by the formula for its variance. This is because I do not introduce redundant or unnecessary assumptions. For example, once SLR.4 is assumed, nothing further about the relationship between u and x is needed to obtain the unbiasedness of OLS under random sampling.CHAPTER 3TEACHING NOTESFor undergradu
11、ates, I do not work through 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
12、 no perfect collinearity, where 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 expe
13、riences with the kinds of model specification issues that beginners have trouble with.The comparison of simple and multiple regression estimates based on the particular sample at hand, as opposed to their statistical properties usually makes a strong impression. Sometimes I do not bother with the “p
14、artialling out” interpretation of multiple 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
15、is not much more difficult than showing 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 inte
16、ntionally kept the discussion of multicollinearity to a minimum. This partly 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
17、, except that we can ask less of our multiple 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”
18、or somehow “solves” the multicollinearity problem, to be misleading, at best. Even the organization of some texts gives the impression that imperfect multicollinearity is somehow a violation of the Gauss-Markov assumptions: they include multicollinearity in a chapter or part of the book devoted to “
19、violation of the basic assumptions,” or something like that. I have noticed that masters students who have had some undergraduate econometrics are often confused on the multicollinearity issue. It is very important that students not confuse multicollinearity among the included explanatory variables
20、in a regression model with the bias caused by omitting an important variable.I do not prove the Gauss-Markov theorem. Instead, I emphasize its implications. 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 t
21、he function g(x). Rather than have the students directly compare the variances, they should 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 erro
22、r distribution played no 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 t
23、hat the full set of CLM assumptions are used in this chapter, but that in Chapter 5 we relax the normality assumption and still perform approximately valid inference. One could argue that the classical linear model results could be skipped entirely, and that only large-sample analysis is needed. But
24、, from a practical perspective, students still need to know where the t distribution comes from because virtually all regression packages report t statistics and obtain p-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 s
25、till use t statistics and the associated p-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 paramete
26、rs. I tell my students that they will be punished if they write something like H0:= 0 on an exam or, even worse, H0: .632 = 0.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 restriction. I find
27、 this is easier, both theoretically and practically, than computing variances that can, in some cases, depend on numerous covariance terms. The example of testing equality of the return to two- and four-year colleges illustrates the basic method, and shows that the respecified model can have a usefu
28、l 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 an F test for single linear restrictions on multiple parameters, but this is less transparent than a t test and d
29、oes 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 confiden
30、ce 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 emphasi
31、ze the R-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 of multicolline
32、arity 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. In class, I give a bri
33、ef, 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 of consistency of the slope coefficient in the bi
