Summary study book Introductory Econometrics of Jeffrey Wooldridge, South-Western Educational Publishing - ISBN: 9781337558860, Edition: 7, Year of publication: - (Recap + lectures)
Notes for "Econometrics for ECO "(Tilburg University) - Grade Achieved 9.5/10
Test Bank For introductory econometrics: a modern approach 7th edition by jeffrey m. wooldridge
TEST BANK FOR Introductory Econometrics: A Modern Approach 7th Edition by Jeffrey M. Wooldridge
All for this textbook (31)
Written for
Rijksuniversiteit Groningen (RuG)
Bsc Economics And Business Economics
Econometrics
All documents for this subject (4)
Seller
Follow
yvetboerhof
Content preview
Econometrics lectures
WEEK1;
CH1&CH2: introduction and simple linear regression:
Econometrics:
• Empirical estimation of economic relationships.
• Testing economic theories.
• Making economic predictions.
• Evaluating government and business policy.
Characteristics:
• Non-experimental (observational) data.
• Regression analysis (in wide sense) as major tool.
Steps in econometric analysis:
1. Economic model:
Economic model Specify theoretical dependence of variables of interest.
• Example: wage function W = f (Educ)
o W is hourly wages
o Educ is years of education
o f is some function
2. Econometric model
Specify functional form f .
• For example: W = β0 + β1Educ + u
o β0 and β1 are parameters of the model
o u is random error or disturbance term
3. Hypothesis: state hypotheses of interest for unknown parameters.
4. Collect or choose data.
5. Apply econometric methods to estimate parameters.
6. Use estimated parameters to make predictions.
Correlation: dependence (association) between two random variables x and y: Corr(x,y)
Causality: cause and effect: x -> y
Endogeneity: people with higher ability choose higher education level and have higher wages.
• Education, educ, is endogenous.
• Unobserved variable bias.
Types of data in empirical social science research:
• experimental:
o Data generated in laboratory (or quasi-laboratory) setting.
, o Experimental Economics, Experiments in ’labs’ and in the ’field’
• non-experimental/observational:
o Data generated in real life from households, firms, etc.
o Typically collected in surveys or from administrative records.
o Econometrics techniques often deal with problems arising in observational data.
• Cross-sectional data:
o Data collected at given point of time.
• Time series data:
o Data consist of observations on variables over time.
• Panel data (longitudinal data):
o Time series for each cross-sectional member (i.e. same individuals) in the data.
➔ Important feature for observational data: observations consist of a random sample from the
underlying population.
Random sample:
Linear regression model:
,The Error term u:
u is the error, or ”disturbance” term and contains everything that we do not control for:
• Omitted variables: observed and unobserved variables.
• Measurement error: errors in measuring y and x are in u.
• Non-linearities: if the relation between y and x is in fact not linear.
• Unpredictable effects: u includes all unpredictable, random effects.
Simple Normalization Assumption: E[u] = 0
Zero conditional mean assumption:
• Fundamental relevance:
Population regression function
(PRF):
, Estimating parameters:
• Assuming the simple regression model y = β0 + β1x + u
population parameters β0 and β1 are not observed.
• Next steps
o 1. Derive general Estimators for β0 and β1 that are optimal (to be defined)
o 2. Given a sample of observations, derive Estimates of the population parameters
using the Estimators.
• Take a sample of observations (xi , yi), i = 1, ..., n where n is the total number of observations
in the sample.
• Assumption: xi are independent, identically distributed (i.i.d.).
• Write the model now adding index i: yi = β0 + β1xi + ui
• Estimated parameters are denoted with a ”hat”, e.g. βˆ 0 is the estimate of the (unknown)
population parameter β0
Least squares estimators:
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying these notes from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller yvetboerhof. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for $4.28. You're not tied to anything after your purchase.
