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Copyright 1996 Lawrence C. Marsh Cointegration y t
= β 1 + β 2 x t + ε t If x t and y t are nonstationary I(1) ε t
However, if x t and y t are nonstationary I(1) but
ε t is stationary I(0), then x t and y t are said to be cointegrated . 16.34 Copyright 1996 Lawrence C. Marsh Cointegrated VAR(1) Model y t
= θ 0 + θ 1 y t-1 + φ 1 x t-1
+ e t x t = δ 0
+ δ 1 y t-1 + α 1 x t-1 + u t VAR(1) model: If x t and y t are both I(1) and are cointegrated, use an
Error Correction Model , instead of VAR(1). 16.35
74 Copyright 1996 Lawrence C. Marsh Error Correction Model ∆ y
= θ 0 + (
θ 1 -1)y t-1 + φ 1 x t-1 + e t ∆ x t
= δ 0 + δ 1 y t-1 + ( α 1 -1)x t-1
+ u t ∆ y t
= y t
- y t-1
and ∆ x t = x
t - x
t-1 (continued) 16.36
Error Correction Model ∆ y
= θ 0 + γ 1 (y t-1 -
β 1
- β 2 x t-1 )
+ e t
∆ x
= δ 0 + γ 2 (y t-1 -
β 1
- β 2 x t-1 )
+ u t
θ 0
= θ 0 + γ 1 β 1
δ 0
= δ 0 + γ 2 β 1
γ 2
= δ 1 γ 1
= φ 1 δ 1 α 1 -
1 β 2 = δ 1 1
- α 1 16.37 Copyright 1996 Lawrence C. Marsh y t-1 = β 1 + β 2 x t-1 + ε t-1 Estimate by least squares: to get the residuals:
ε
= y t-1 - β 1 - β 2 x t-1 ^ ^ ^ Estimating an Error Correction Model Step 1:
16.38 Copyright 1996 Lawrence C. Marsh Estimate by least squares: Estimating an Error Correction Model Step 2:
∆ y t = θ 0 + γ 1
ε t-1
+ e t
∆ x
= δ 0 + γ 2
ε t-1
+ u t * ^ ^ 16.39 Copyright 1996 Lawrence C. Marsh Using cointegrated I(1) variables in a VAR model expressed solely in terms of first differences and lags of first differences is a
. The correct specification is to use an Error Correction Model 16.40
Copyright 1996 Lawrence C. Marsh Chapter 17 Copyright © 1997 John Wiley & Sons, Inc. All rights reserved. Reproduction or translation of this work beyond that permitted in Section 117 of the 1976 United States Copyright Act without the express written permission of the copyright owner is unlawful. Request for further information should be addressed to the Permissions Department, John Wiley & Sons, Inc. The purchaser may make back-up copies for his/her own use only and not for distribution or resale. The Publisher assumes no responsibility for errors, omissions, or damages, caused by the use of these programs or from the use of the information contained herein.
17.1
75 Copyright 1996 Lawrence C. Marsh ð ð ð ð Formulation economic ====> econometric. Estimation selecting appropriate method. Interpretation how the x t ’s impact on the y t . Inference testing, intervals, prediction. What Book Has Covered 17.2
Topics for This Chapter 2. Nonexperimental Data 3. Text Data vs. Electronic Data 4. Selecting a Topic 5. Writing an Abstract 6. Research Report Format 17.3
Types of Data by Source i)
from controlled experiments. ii)
passively generated by society. iii)
data collected through interviews. 17.4
Time vs. Cross-Section Time Series Data data collected at distinct points in time (e.g. weekly sales, daily stock price, annual budget deficit, monthly unemployment.) Cross Section Data data collected over samples of units, individuals, households, firms at a particular point in time. (e.g. salary, race, gender, unemployment by state.) 17.5
Micro vs. Macro Micro Data: data collected on individual economic decision making units such as individuals, households or firms. Macro Data: data resulting from a pooling or aggregating over individuals, households or firms at the local, state or national levels. 17.6
Flow vs. Stock Flow Data: outcome measured over a period of time, such as the consumption of gasoline during the last quarter of 1997. Stock Data: outcome measured at a particular point in time, such as crude oil held by Chevron in US storage tanks on April 1, 1997. 17.7
76 Copyright 1996 Lawrence C. Marsh
Quantitative vs. Qualitative Quantitative Data: outcomes such as prices or income that may be expressed as numbers or some transfor- mation of them (e.g. wages, trade deficit). Qualitative Data: outcomes that are of an “either-or” nature (e.g. male, home owner, Methodist, bought car last year, voted in last election). 17.8
International Data International Financial Statistics (IMF monthly). Basic Statistics of the Community (OECD annual). Consumer Price Indices in the European Community (OECD annual). World Statistics (UN annual). Yearbook of National Accounts Statistics (UN). FAO Trade Yearbook (annual). 17.9
Copyright 1996 Lawrence C. Marsh United States Data Survey of Current Business (BEA monthly). Handbook of Basic Economic Statistics (BES). Monthly Labor Review (BLS monthly). Federal Researve Bulletin (FRB monthly). Statistical Abstract of the US (BC annual). Economic Report of the President (CEA annual). Economic Indicators (CEA monthly). Agricultural Statistics (USDA annual). Agricultural Situation Reports (USDA monthly). 17.10
Copyright 1996 Lawrence C. Marsh State and Local Data State and Metropolitan Area Data Book (Commerce and BC, annual). CPI Detailed Report (BLS, annual). Census of Population and Housing (Commerce, BC, annual). County and City Data Book (Commerce, BC, annual). 17.11
Citibase on CD-ROM • Financial series: interest rates, stock market, etc. • Business formation, investment and consumers. • Construction of housing. • Manufacturing, business cycles, foreign trade. • Prices: producer and consumer price indexes. • Industrial production. • Capacity and productivity. • Population. 17.12
Citibase on CD-ROM (continued) • Labor statistics: unemployment, households. • National income and product accounts in detail. • Forecasts and projections. • Business cycle indicators. • Energy consumption, petroleum production, etc. • International data series including trade statistics. 17.13
77 Copyright 1996 Lawrence C. Marsh Resources for Economists Resources for Economists by Bill Goffe http://econwpa.wustl.edu/EconFAQ/EconFAQ.html Bill Goffe provides a vast database of information about the economics profession including economic organizations, working papers and reports, and economic data series. 17.14
Copyright 1996 Lawrence C. Marsh Internet Data Sources • Shortcut to All Resources. • Macro and Regional Data. • Other U.S. Data. • World and Non-U.S. Data. • Finance and Financial Markets. • Data Archives. • Journal Data and Program Archives. A few of the items on Bill Goffe’s Table of Contents: 17.15
Useful Internet Addresses http://seamonkey.ed.asu.edu/~behrens/teach/ WWW
_data.html http://www.sims.berkeley.edu/~hal/pages/interesting.html http://www.stls.frb.org FED RESERVE BK - ST. LOUIS http://www.bls.gov BUREAU OF LABOR STATISTICS http://nber.harvard.edu NAT’L BUR. ECON. RESEARCH http://www.inform.umd.edu:8080/EdRes/Topic/EconData/ .www/econdata.html UNIVERSITY OF MARYLAND http://www.bog.frb.fed.us FEB BOARD OF GOVERNORS http://www.webcom.com/~yardeni/economic.html 17.16
Data from Surveys i) identify the population of interest. ii) designing and selecting the sample. iii) collecting the information. iv) data reduction, estimation and inference. The survey process has four distinct aspects: 17.17
Copyright 1996 Lawrence C. Marsh Controlled Experiments 1. Labor force participation: negative income tax : guaranteed minimum income experiment. 2. National cash housing allowance experiment: impact on demand and supply of housing. 3. Health insurance: medical cost reduction: sensitivity of income groups to price change. 4. Peak-load pricing and electricity use: daily use pattern of residential customers. Controlled experiments were done on these topics: 17.18
Copyright 1996 Lawrence C. Marsh Economic Data Problems I. poor implicit experimental design (i) collinear explanatory variables. (ii) measurement errors. II. inconsistent with theory specification (i) wrong level of aggregation. (ii) missing observations or variables. (iii) unobserved heterogeneity. 17.19
78 Copyright 1996 Lawrence C. Marsh Selecting a Topic • “What am I interested in?” • Well-defined, relatively simple topic. • Ask prof for ideas and references. • Journal of Economic Literature (ECONLIT) • Make sure appropriate data are available. • Avoid extremely difficult econometrics. • Plan your work and work your plan. General tips for selecting a research topic: ð ð
ð ð ð ð 17.20
Copyright 1996 Lawrence C. Marsh Writing an Abstract (i) concise statement of the problem. (ii) key references to available information. (iii) description of research design including: (a) economic model (b) statistical model (c) data sources (d) estimation, testing and prediction (iv) contribution of the work Abstract of less than 500 words should include: 17.21
Copyright 1996 Lawrence C. Marsh Research Report Format 1. Statement of the Problem. 2. Review of the Literature. 3. The Economic Model. 4. The Statistical Model. 5. The Data. 6. Estimation and Inferences Procedures. 7. Empirical Results and Conclusions. 8. Possible Extensions and Limitations. 9. Acknowledgments. 10. References. 17.22 Download 0.54 Mb. Do'stlaringiz bilan baham: 
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