Econometrics-I-1 - Applied Econometrics William Greene...

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Unformatted text preview: Applied Econometrics William Greene Department of Economics Stern School of Business Applied Econometrics 1. The Paradigm of Econometrics Econometrics: Paradigm Theoretical foundations Microeconometrics and macroeconometrics Behavioral modeling: Optimization, labor supply, demand equations, etc. Statistical foundations Mathematical Elements Model building the econometric model Mathematical elements The underlying truth is there one? Why Use This Framework? Understanding covariation Understanding the relationship: Estimation of quantities of interest such as elasticities Prediction of the outcome of interest Controlling future outcomes using knowledge of relationships Measurement as Observation Population Measuremen t Theory Characteristics Behavior Patterns Choices Inference Population Measuremen t Econometri cs Characteristics Behavior Patterns Choices Model Building in Econometrics Role of the assumptions Sharpness of inferences Parameterizing the model Nonparametric analysis Semiparametric analysis Parametric analysis Application: Is there a relationship between investment and capital stock? (10 firms, 20 years) Nonparametric Regression Nonparametric Regression of Investment on Capital Stock KC 500 1000 1500 2000 500 1000 1500 2000 2500 Invstmnt What are the assumptions? What are the conclusions?...
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Econometrics-I-1 - Applied Econometrics William Greene...

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