Econometrics-I-1

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

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Applied Econometrics William Greene Department of Economics Stern School of Business
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Applied Econometrics 1. The Paradigm of Econometrics
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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?
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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
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Measurement as Observation   Population Measurement Theory Characteristics Behavior Patterns Choices
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Inference   Population Measurement Econometric s Characteristics Behavior Patterns Choices
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Model Building in Econometrics Role of the assumptions Parameterizing the model Nonparametric analysis Semiparametric analysis Parametric analysis Sharpness of inferences Application:  Is there a relationship between  investment and capital stock? (10 firms, 20  years)
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Nonparametric Regression What are the assumptions? What are the conclusions?
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Econometrics-I-1 - Applied Econometrics William Greene...

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