1

36

1.1

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.

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 f()
, f() .
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Qd P,
Ps, Pc, INC , f(P, Ps, Pc, INC)
.
.

37

38

Qs , P , Pc ( ,
), Pf ( , )
.

. .

.
. , (how much)
.

(econometrics)

, ,
.

1.2.1
.
(FRB) (Ben Bernanke)
.
.
()
() .

,
.
. .

?.

. (parameter) .
.

1.2 ?

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(Clinton)

.

100

.

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.

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(BART) ,
, .

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39

40

.

.


.

.

1.3

?
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.
.
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, e .
(econometric model) .

e
.

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1.4

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.
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.

.

41

42

1.4.2
.
.
. .
.
.
.
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- . 1880 2007

1980 2007 .

- , 2006

2006 .

- .

, 8
20 .
, , .
, , ,
.
.

-, ,

-, , , ,

-2006

-2006 4 1 2007

7 1 (Wells Fargo)

- .

1.5

1 .

, .
17 , .

1.5

(statistical inference) .

.
.

10 2

, ,
.

1.6

. .
1. .
. 99%
.
.
. (Hal Varian) How to
Build an Economic Model in Your Spare Time,The American Economist, 41(2), Fall

43

44

1997, pp. 3-10 , ,

.
.
2. . ,
.
() .

.
3. .
.
4.
.
5.
.
6. .

.
7. .
.
.
.
. 17
.

.
1.

. y x

2.

.

x y
.

7. SR1SR5

3. y

b2 .

4.
.

5.

b2 .

8.

.
9. 2, (xi  x )2, N 2

6. x y y x

10. - .

46

.
.

.


.
.
.
. ( , )
( , ) ?
? (regression model)
. .
.
.

2.1

.
.

.
, , , . $1,000
.
.
. ?y
.
.

0 (Y) (y)
.
. y

2.1

y (
pdf ) f(y) . 1
.
.

.
2.1
.
2.1a
.
x  f(y|x  $1,000). y
E(y|x  $1,000) = y|x 1 . y

var(y|x  $1,000)  2 y|x y

. y|x 2 .
f(y|x  $1,000) , N(y|x, 2)
y . , $1,000
1 $50 $75 .

2.1

(a) x  $1,000 y f (y|x  1,000), (b) x  $1,000

x  $2,000 y

47

48

.
.

, y  x 
.

. .
.
$100 ?
? $2,000
?
.
1 , , , ,
.
, , ,
.
.
.
. [Blisard, Noel, Food Spending in
American Households, 19971998, Electronic Report from the Economic Research Service,
U.S. Department of Agriculture, Statistical Bulletin Number 972, June 2001]

.
.


.
(economic model)

2.1

49

(econometric model) .
E(y|x)  y|x
x .
. 2.1b
2 , $1,000 $2,000 .
f(y|x) y|x
.

.
. 2.2
.

(2.1)
(2.1) E(y|x) (simple regression function) .
.
(regression parameter) 1 2 .
1 , x  $0
. 2 $1 E(y|x)
. .

(2.2)

dE(y|x)/dx x E(y|x)
.

2.2

: 1

50

d  .
(2.1) (x) E(y|x)
. 1 2
.

.

2.2

E(y|x)  1  2x .
x  $1,000 2.1
E(y|x  1,000)  y|x1,000  1  2(1,000)
.
E(y|x)  1  2x . 2.3
2.1
f(y|x) .
2.3 E(y|x)  1  2x
.
E(y|x)  1  2x .

2.3

2
y

2.2

.
.

(assumption) .
,
.
.
.

2.1a y var(y|x  $1,000)  2 .

.
y x . x
var(y|x)  2 . 2.1b
.
2.3 . , 2.1
.
, var(y|x)  2 x y
E(y|x)  1  2x
.
(homoskedastic) . x var(y|x) 2

(heteroskedastic) .
.
. yi yj (
) .
(
) . .

. yi yj 2
0 cov(yi, yj) = 0 .
. ( 0
.) 0 yi yj

51

52

.
x .
x y x
, 2 . x
, x  $1,000 . x
. x
. .
y .

,
.

.
.
(econometric model)
. .

x y .

x y
.

y 0 . y
.

y .

x 2 .

() y x .

2.2

2.2.1
(dependent variable) y
.
.
y ,
. y E(y|x)  1  2x
. y y E(y|x) .
(random error term) .

(2.3)
(2.3) (simple linear regression model)
.

(2.4)
y (independent variable) x
e .
(2.3) y e E(y | x)  1  2x
. y e . y
e (2.3) .
x .

x 0 .
y e (, ) 2
. y e 2.4
. f(e) 0 , E(e|x)  0
.
x . x
. x

. x
y .

53

54

2.4

e y

.
(x) (y) .
. x 
.
x . 1
. y x
. x
.
. x
, | . E(e|x)  0 E(e) = 0
. x 10
.
e
. SR1SR6 SR

(simple regression)
. x
, y|x .

SR1. x y .

SR2. e .

2.2

SR3. e .

y e .
.
SR4. ei ej .

e y
.
SR5. x 2 .
SR6. () y e

e y
. , y
e . 1 2 y
e  y  (1  2x) . 2.5 . E(y) 
1  2x y 1 2
e .

e . e y
y E(y)  1 
2x . y E(y)
? .
1. .
.

55

56

2.5

y, e

. x y
.
2. e .
.
3. .

. e .
(specification error)
SR2. E(e)  0 .

2.3

1
2 . 40
. 2.1

2.3

2.1

()

($)

($100)

yi

xi

. 3 . y 3
. 100
. 1
. 369
115.22. 40 3,340
375.73.
2.1 SR1SR5 . ,
. y
0
. e y .
y x . y
. x
x . x
.
.

1
2 yi xi . 40 (yi, xi), i
 1, N  40 2.6 (scatter diagram)
.

57

58

2.6

y  ($)

x  ($100)

i
N
. t
T
.
.

E(y)  1  2x .
. 1 2

.
. i  1
i  40 .
. 38
.
.

2.3

2.3.1
1 2
.
(least squares principle) .

.
.
.
1 2 b1 b2 .
.

(2.5)
(least squares residuals)
.

(2.6)
2.7(a) .

.

b*1 b*2 . e*i  yi  y*i

2.7(b) . b1 b2
.
(2.6)

59

60

2.7

(a) y, e ,

, (b)

1 2 b1 b2 .
.
b1 b2 . y x
1 2 .

2.3

61

2A .
1 2 .

(2.7)
(2.8)
y  yi /N x  xi /N y x .
b2 xi
[SR5 ]. xi  5 (2.7)
0 b2 .
yi xi (2.7) (2.8) 1 2
. b1 b2

600

. . b1 b2

2.8

300

400

y  83.42  10.21x

100

200

y  283.57

x  19.60

y
food

($)in $
y
weekly
expenditure

500

10

20

x  ($100)

30

40

62

b1 b2 .
. b1 b2
(least squares estimator)
(least squares estimate) .

2.3.2
(2.7) (2.8) 2.1
1 2 . (2.7) .

(2.8) .

b1 b2 .
.

2.8 . 10.21
83.42.
. (x,
 (19.6048, 283.5735) . (2.8) y  b  b x
y)
1
2
.

.

2.3

2.3.3

. b2  10.21 2 . x $100
. 2 $100
. $100 $10.21
.
$100 $10.21
.
b1  83.42 0
.
. 2.8 x  0
. 0
. 0
$83.42
. .

2.3.3a
. x
y .
e

y
x

(2.1) .

(2.9)
2 b2  10.21 .

63

64

x
E(y)
.

( x, y)  (19.60, 283.57)
. .

. , 1%
(x, y)  (x, y)  (19.60, 283.57) 0.71%
. 1


.

2.3.3b
. $2,000
. x  20
.

$2,000 $287.61
.

2.3.3c
.

.

.
.
EViews 2.9 .
EViews Coefficient ( b1)
C INCOME ( b2) .
( INCOME
)
. Sum
y
squared resid
SSE  e2i  304505.2Mean dependent var

2.3

65

2.9

EViews

y  yi /N  283.5735 .

.

2.3.4
.
, , .
.

5% ?

$1 ?

0.5% 6 ?
?

2008 2020
? 2012 ?

.
.
. y

66

x , , , .
.


, ln(2)
1
2 21 .

2.4

(2.7) (2.8) yi 
1  2xi  ei . b1  83.42 b2  10.21
. ?
. . 1 2
b1  83.42 b2  10.21 .
.

. . 40

b1 b2 . (sampling variation) .
, yi, i  1, , 40
. . b1
b2 y . b1 b2
.
(sampling properties) b1 b2

.
1. b1 b2 , , , ?
2. 1 2
.
? 2
?
SR1SR5 .

2.4

1
.

.
.

.

2.4.1 b2
(2.7) (2.8) b1 b2 .
.
b2 . (2.7) b2 .

. SR1 b 2 (linear
estimator) .

(2.10)
.

(2.11)
wi xi wi . (2.10) yi
. ( 2D )
b2 .

67

68

(2.12)
ei yi  1  2xi  ei . 2
ei .
(2.12) .

2.4.2 b1 b2
b2 .
E(b2)  2, b2 2
.
(unbiased) . E(b2)  2 b2 2 .
E(b2)  2 b2 2 .

. N b2 2
b2 2 .

. (2.12) ? 2 .
. SR5 xi . wi xi
. (2.12) ei
. b2
.

(2.13)
(2.13) . , wi
E(wiei)  wiE(ei) . ,
E(ei)  0 . E(ei) 0 E(b2) 2 b2 2
. ei yi
. E(ei) 0 E(b2) 2 .

2.4

.
b2 .

. b2 2
.
. b2
. () b2 2 . 2
2 .
b2  10.21 2 .
1 b1 E(b1)  1
.

2.4.3
2.2 2.1
N  40 10
.
. 40
.
b1 b2

. 10 b1 b1  78.74 b2

b2  9.68.

2.2

10

b1

b2

69

70

1 2 .
(
) .

2.4.4 b1 b2
2.2 1 2 .

. b1 b2 .
. b2
E(b2)  2
. b2 .

b2 . 2.10
b2 f1(b2) f2(b2) .
f2(b2) f1(b2) .
b2 f1(b2) f2(b2) .
f2(b2) 2 2
. 2
.

. (sampling variance)
(sampling precision) .

2.10

b2

2.4

.
.
b1 b2 . 2E
b2 . SR1SR5
(SR6 ) b1 b2 .

(2.14)

(2.15)

(2.16)
. (2.14)
(2.16) .
1. 2 .
E(y) y . 2 y
E(y) . 1 2
2 . 2.3 f(y|x)
. 2
.
2. x (xi  x )2
. x
.
. , (x  x )2
i

. 2.11
.
2.11 (b) x x (a)

.
? (b) .
x .
3. N

71

72

2.11

yi

yi

yi  b1  b2 xi

x


: (a) x


, (b) x


x

xi

(a)

xi

(b )

. N
N . var(b1) N
0 (x 0
) N (x  x )2 .
i

N var(b2) cov(b1, b2)

. N var(b1)
N . N var(b1)
.
4. var(b1) xi2 b1 .
? 1 x  0 y . x  0
1 1
. xi2 , x  0
. x 0 xi2 var(b1) . x
xi2 var(b1) .
5. x cov(b1, b2) . x
x . 2.11

. (b) .
b2 .
b1
. 2.11
.

2.5 -

2.5

b1 b2 ?

. (2.7) (2.8)
1 2 .
b1 b2 .

(2.10) . b1 b2 yi
.

SR1SR5 . E(b 1 ) =  1
E(b2)  2 .

b1 b2 .
.
.

-(Gauss-Markov) .
2F .

SR1SR5 b1 b2 1 2
1 2 (Best

Linear Unbiased Estimators : BLUE).

- .

1. b1 b2
.
2. b1 b2 . 2
.

.
3. - SR1SR5 .
b1 b2 1 2

73

74

.
4. - ( SR6) .
5.
. b1 b2 .
( ?)

.
6. -
.

2.6

SR6 .
ei 0 2
. . ,
SR1 ei yi . ,
b2  wiyi .
SR6 .

(2.17)

(2.18)
3
.
?
? .

2.7

(central limit theorem)

SR1SR5 N (sufficiently large)

(2.17) (2.18)
.

?
. ?
.
( , ? ? ?) xi
. N  30
N  50
.

.
.

2.7

2 .
ei .

E(ei) = 0 .
2
.

ei !
, .
.

75

76

(2.6) .

ei
.

2
. .

(2.19)
2
(1, 2)  2
E(2)  2 .

2.7.1
b1 b2
2
. (2.14)(2.16) 2 
.

(2.20)

(2.21)

(2.22)
b1 b2
.

2.7

. se(b1) se(b2) .

(2.23)
(2.24)

2.7.2
.
2.9 . (2.6)
(2.19) . 2.3 2.1
.
y  83.42  10.21x .
ei  yi  yi . N  40
.

304505.2 2.9Sum squared

resid
. , N  40 , 2
. N  2  38
3 .
2.9 
2 . EViews standard error of the
regression
S.E. of regression

89.517

2.3

e  y  y

77

78

. . 2.9
EViews Std. Error
se(b1)  43.41 se(b2) 
2.09 .S.D. dependent var
y ,
112.6752 .

.
,
.
.

C
C
INCOME

INCOME

1884.442

85.90316

85.90316

4.381752

C
b1.
b2 INCOME . .

3 .

79

(BLUE)

2.1 5 .

(a) .
. x y ?

(d) (b) y

(b) (2.7) (2.8) b1 b2

.
(c) 5i1x2i, 5i1xiyi .
.

, .
.
(e)
yi  b1  b2xi .
(f) (e) ( x, y ) .
?
.
(g) y  b  b x .
1

80

(h) y  y .

y  yi/N.
(i)  2 .

(d) (b) ei
.
(e) xie i .

(j)

2.2 $1,000.

E(y|x  $1,000)  y|x  $1,000  $125
var(y|x  $1,000)  2y|x  $1000  49.
(a)

$110 $140
. .
(b) var(y|x  $1,000) 
2
y|x
 $1,000  81 (a) .

(b) xi  21 yi  44 (xi  x)(yi  y )  22

(xi  x )2  17.5 b2 = 1.257 b1  2.9333
(c) y  7.333 x  3.5 x  x y y.
(d) e1  0.19048 e2  0.55238

e3  0.29524

e4  0.96190 e5  0.21905 e6  0.52381

ei  0
(e) xi ei  0

2.4 y  1  2x  e

2.3 x y

. 1  0

(a) 1  0 ?

11

(b) 1  0 ?

(a)
.

(c) 1  0
S(2)  Ni1(yi  2xi)2 .

(b) (2.7) (2.8)

11

.
(c) y  yi /N x  xi /N . x  x

y .

. S(2) 2

2

?[ :

S(2)  Ni1(yi

2xi)2

.]
b2 

(a) .
? ?
?

(d) 2
xiyi/xi2

81

. b2
.
(e) (d)
() .
(x , y ) .
?
(f) (d)
ei  yi  b2xi . .
(g) xiei .

2.5
$600
. 6

.
. 6
$450 $7,500.

$600 $8,500 .
(a)
?
(b) .
.

2.6

. 5

(b) 80

?
(c)
?
(d) .

(a) b1  240 0F
. 240

.
b2  6 1F
.
.
.
(b) y  240  6 
80  240.
(c) y  0 0 
240  6  x, x  40. 40F
.

2.7 50 N  51

.
(a) 
2  2.04672.
?

32

(b) b2 0.00098. b2
, (x  x )2 ?

(c) yi  18 ($)

y  240  6x y 
, x  .

, xi  18
. b2  0.18

82

.
(d) x  69.139 y  15.187

EZ .

?
(e) (b) (d) xi2
?

(f) yi  12.274, xi  58.3.

. [ :

(a) bEZ .

(c) (d) .]

(b) bEZ .

2.8 (E. Z. Stuff)

(c) bEZ .

(d) bEZ .

(e)

b2 EZ

. (y1, x1) (y2, x2)

2.9

.

.
.

. t(UNITCOSTt)
t(CUMPRODt)

. .
UNITCOSTt  UNITCOST1 

CUMPROD et

UNITCOST1
e (
) .

.
ln(UNITCOSTt)  ln(UNITCOST1)  eln(CUMPRODt)

 1 + 2ln(CUMPRODt)

ln(UNITCOST1) e .
(Ernst Berndt)
The Practice of Econometrics: Classic and
Contemporary(Addison and Wesley, 1991) .
85

. 1955 1970

learn.dat .
(a) CUMPROD
UNITCOST ln(CUMPROD)
ln(UNITCOST) .
(b) 1 2 b1 b2
.
? (a)
.

(c)
.

83

j j
.

(d) 
2 .

(e) CUMPROD0  2000

j .

(b) b1  6.0191 b2  0.3857.

.

exp(b 1 )  exp(6.0191)  411.208.

b2  0.3857 1%
0.386% .

1
.

CAPM

. ( 0
)

.
(c)

(d) 
2  0.0499302  0.002493
 6.0191  0.0385ln(2000) 

(e)
3.0874526

(a)
.
(b) capm2.dat 6 (
, GE, GM, IBM, , -) ,
(MKT),

2.10 (CAPM)

(RKFREE) . 1995 1

2004 12 120 .

CAPM

.
CAPM j

.

(c) j 0
.
?
.
(d) j  0 .
?

2.11 br2.dat 2005

rj rf j

1080

. rm

. ,

84

, ,

SQFT

, ,

. ?

. style

(e) 2,000

. br2.def
.
(a)
.
.
(b) PRICE 
1  2SQFT  e .
.
(c) (b)
. .
(b)
?
(d) (b) (c)
SQFT
.
?

2.12 stockton2.dat 2005

880
.
stockton2.def .
(a)
.
(b) PRICE  1 

(b)

 18,386  81.389SQFT. b 2 
81.389
$81 .
b1  $18,386 0
$18,386 .
0
.

(c) :

 4793  69.908SQFT.

27,169  89.259SQFT.
1 ( )

. 1156

. 1156

.
(d)
SR3 var(e|xi)  2(
) .

2SQFT  e .

2.13

. .

(c)

(b) .

( )

(d) (c)

1%

?30

, (1000

), (1000) house_

starts.dat . 1990 1 2005 4

184 .

1880 2000 31

(a)

fair.dat .

VOTE 

(b) 30

. GROWTH 

(FIXED_RATE)

3 1 GDP

(STARTS) .

() .

(c) FIXED_RATE STARTS

. (b)

(a) GROWTH VOTE

.
(d) FIXED_RATE

. ?
(b) 1880 2000

(SOLD) .

(e) FIXED_RATE SOLD

VOTE  1  2GROWTH  e

. . (a)

. (d)

(c)

(f) 30

6%

INFLATION 15

. INFLATION

2.14 (Ray C. Fair)

VOTE .

.
. http://
fairmodel.eon.yale.edu/vote2008/index2.htm(
) A Vote Equation for the 2004

(b)

 51.939  0.660GROWTH

(c)

 53.496  0.445INFLATION

Election().

2.15

( )

? cps_small.dat 1997

( )

Current Population Survey(CPS)

85

86

, ,

1000 .

? SR1SR5

(a) WAGE EDUC

.
(b) WAGE  1  2EDUC  e
.
(c) EDUC

2A

?
(d) , , ,
.
.

y x
1 2 .

(2A.1)
(yi, xi) S 1 2 .
1 2 2A.1
.

1 2 S
.

(2A.2)
.

, S/1 S/2 0 .
(b1, b2) (2A.2) 0 1 2 b1 b2
.

 2B b2

87

2A.1

b1 b2

(2A.3)
(2A.4)
2 b1 b2 2 .
b1 b2 . b2 (2A.3)
xi (2A.4) N
b2 .

(2A.5)
b1 (2A.3) N .

2B

b2

b2 (2.7)
. .

(2B.1)
(xi  x)2 (xi  x)2  x2i  Nx2

88

. .

(2B.2)
x  xi /N xi  Nx .
.

(2B.3)
.
(2A.5) b2 N (2B.1)(2B.3) b2
.

b2
.

2C

b2
(2.10) .
0 .

b2 .

wi (2.11) .

 2D b2

2D

b2

(2.12) (2.10) yi yi  1  2xi  ei .

. , wi  0
1wi . , wixi  1 2wixi  2 . (2.10)
(2.12) . wi  0 .

(xi  x )  0 . wixi  1
(xi  x )  0 . (xi  x )2 .

2E

b2

(2.12) b2  2  wiei. .

var(b2)  E[b2  E(b2)]2

(2.12) E(b2)  2 .

( )

89

90

(wi .)

. , 2 
var(ei)  E[ei  E(ei)]2  E(ei  0)2  E(ei2). , cov(ei, ej)  E[(ei  E(ei))(ej  E(ej))] 
E(eiej)  0. .

. X Y a b
.

b2  2  wiei .
(2 .)
( .)
(cov(cei, ej)  0 .)
(var(ei)  2 .)

b2 SR3 SR4 . cov(ei, ej) 0

. var(ei) 2 2
. var(b2) (2.15)
. b1 .

 2F -

2F

2 b2 -
b2 . b*2  kiyi( ki
) 2 . b2
ki  wi  ci . ci wi (2.11) .
ki ci . yi
wi ( 2D) .

(2F.1)

wi  0 wi xi  1.
(2F.1)
.
(2F.2)
b*2  kiyi .

(2F.3)

b*2  kiyi .
(2F.3) (2F.1) .

(2F.4)
2E
.

91

92

ci2 $ 0 b*2
b2 . var(b*2) 
var(b2) ci  0 b*2  b2 . b2
2 - .