一、模型的设定—F检验 二、固定影响变截距模型 三、随机影响变截距模型 四、固定影响/随机影响模型的检验
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Choosing a Topic Start with a general area or set of questions Make sure you are interested in the topic Use on-line services such as EconLit to investigate past work on this topic Narrow down your topic to a specific question or issue to be investigated Work through the theoretical issue Economics 20-Prof. Anderson
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Testing for Unit roots Consider an AR(1): y=a+p +e,t Let Ho: p=1, (assume there is a unit root) Define 0=p-1 and subtract y, from both sides to obtain Ay,=a+ B+e, Unfortunately, a simple t-test is inappropriate, since this is an I(1) process ADickey-Fuller Test uses the t-statistic, but different critical values Economics 20- Prof anderson
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Binary dependent variables Recall the linear probability model, which can be written as P(=1x)=Bo+xB a drawback to the linear probability model is that predicted values are not constrained to be between 0 and An alternative is to model the proba、,s a function, G(Bo+xB), where 0
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Simultaneity Simultaneity is a specific type of endogeneity problem in which the explanatory variable is jointly determined with the dependent variable 2 As with other types of endogeneity, IV estimation can solve the problem o Some special issues to consider with simultaneous equations modelS(SEM) Economics 20- Prof anderson
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Why Use Instrumental Variables? e Instrumental Variables(IV)estimation is used when your model has endogenous xs That is, whenever Cov(x,l)≠0 Thus. i can be used to address the problem of omitted variable bias 2 Additionally iv can be used to solve the classic errors-in-variables problem Economics 20- Prof anderson
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Fixed Effects estimation When there is an observed fixed effect. an alternative to first differences is fixed effects estimation Consider the average over time of y Bx1+…+Bxik+a1+l The average of a, will be ai so if you subtract the mean. a will be differenced out just as when doing first differences Economics 20- Prof anderson
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A True panel vs a Pooled cross section Often loosely use the term panel data to refer to any data set that has both a cross sectional dimension and a time-series dimension More precisely it's only data following the same cross-section units over time Otherwise it's a pooled cross-section Economics 20- Prof anderson
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Testing for AR(IS eria Correlation Want to be able to test for whether the errors are serially correlated or not Want to test the null thatp=0 in u,=pu, 1 +et=2.. where u is the model error
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Stationary Stochastic Process e A stochastic process is stationary if for every collection of time indices 11 e Thus, stationarity implies that the x,'s are dentically distributed and that the nature of any correlation between adjacent terms is
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华东理工大学：《金融市场学》课程教学资源（PPT课件讲稿，共九章，徐琤）复旦大学：《宏观经济学》课程PPT教学课件（初、中、高级篇）05 第五章新古典宏观经济学II《金融投资学》教学资源（英文文献）Arbitrage, State prices and Portfolio Theory西方经济学《微观经济学》习题1北京大学中国经济研究中心：《中级宏观经济学》课程PPT教学课件（讲稿）第七章 政府部门、第八章 货币需求、第九章 货币供给过程中南民族大学：《宏观经济学》课程教学资源（参考资料）论三种消费观《微观经济学》课程PPT教学课件（英文版）chapter 6 Production青岛大学经济系：《会计学原理》课程教学资源（电子教案）第十二章 会计报表西北工业大学：涉外会计（期间费用与利润业务、财务报告）《微观经济学》课程PPT教学课件（英文版）chapter 4 Individual and Market Demand《国际税收》课程教学课件（PPT讲稿）第三章 国际重复征税及其减除方法