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1、Chapter1Introduction1.1TheNatureofEconometricsIseconometricsjuststatisticsappliedtoeconomicproblemsTosaysoseemsinsulting.Afteralleconometricianshavemademanyfundamentalcontributionstothetheypracticeofquantitativemodeling.

2、Atthesametimewedoourselvesadisserviceifwefailtolinkcommonprinciplesfromdifferentfields.SoistheansweryesnoifnowhatiseconometricsWecanprobablyagreethateconometricsisconcernedwithquantitativeanalysisofeconomicproblemsusingd

3、ata.Oneoftheidiosyncrasiesofeconomicdataisthatmostareobservationalasopposedtoexperimental.Theprevalenceofobservationaldatahasbeenanongoingchallengefeconometriciansespeciallythoseconcernedwithcausalinference.Thischallenge

4、hascertainlyshapedwhatwecalleconometrics.Anotheridiosyncrasyofeconometricsisthatitmodelstheimplicationsofchoicesmadebypeoplehumanbeingshavestubbnlyrefusedtoadoptthekindsofbehavialpatternsthatwouldmaketheirchoiceseasytore

5、plicateconsistentlyinquantitativemodels.Eventhebesteconomicmodelsareonlyrightalongonetwodimensions.Thisfacthasledtoarelativeemphasisonestimationmethodsthatusepartiallyspecifiedmodelssuchasthegeneralizedmethodofmoments.At

6、hirdnotablefeatureofeconometricsisthatittendstofocusmeonmodelsthatexplainthanmodelsthatpredict.Thisisparticularlysoifyoucompareeconometricstofieldslikedatasciencemachinelearning.FexampleconsiderthefollowingquotefromVapni

7、k(2006):Ibelievethatsomethingdrastichashappenedincomputersciencemachinelearning.Untilrecentlyphilosophywasbasedontheideathat1Introduction3Whileourancestsbestabletodistinguishamongtypesofwildcreatureswerecertainlymesucces

8、sfulinpassingontheirgeneslittleinthenaturalsocialwldofthepastthoussomillenniahaspreparedHomosapiensftryingtobackouttheprobabilisticstructurebehindfirmsizedistributionstodistinguishamongdiffusionprocessesmostappropriateft

9、rackingassetprices.Statisticseconometricsarewaysfustoscalecodifyourinductivelearningabilitiesindertoconfrontthesenewproblems.Thisthenisthefundamentalproblemofbotheconometricsstatistics:inthemodernwldwehavelotsofdatabutst

10、illlackdeepknowledgeonhowmanysystemswkhowdifferenteconomicvariablesarerelatedtooneanother.Whatistheprocessofextractinggeneralknowledgefromdata—thatisfromspecificobservationsWhatarethebesttechniquestouseUnderwhatcondition

11、swillthisprocessbesuccessful1.2DataversusTheyOneoftherecurringissuesinanyfmofstatisticallearningistheneedtoblendtheywithdata.Toillustratetheideasupposethatweobserveinputsx1...xNtosomesystemaswellascrespondingoutputsy1...

12、yN.Fexampletheinputsmightbea“treatment“suchastheschoolreadingprogrammentionedabove.Outputscouldbeameasureoftheeffectofthistreatment.inputscouldbeamixofpolicyinstrumentssuchasspendinginterestrateswithoutputsbeingtherespon

13、seofquantitieslikeinflationunemployment.Giventheobservedinput–outputpairsweseekafunctionfsuchthatgivenanewpair(xy)thevaluef(x)willaccuratelypredictthecrespondingoutputy.Ifweknewthejointdistributionof(xy)pairsthenwecouldc

14、omputeapproximatetheconditionalexpectationE[y|x]whichaswe’llseehasastrongclaimtobeingthebestpredictofygivenx.Ourproblemliesinthefactthatwedon’tknowthedistribution.Insteadwehavethesamplewhichcontainssomebutnotallinfmation

15、aboutthejointdistribution.Inproblemssuchasthisourabilitytogeneralizerequiresmethanjustdata.Ideallydataarecombinedwithatheeticalmodelthatencapsulatesourknowledgeofthesystemwearestudying.Datacanbeusedtopindownparametervalu

16、esfthemodel.Ifourmodelisgoodthencombiningthemodelwithdataallowsustogainanunderstingofhowthesystemwks.Evenwhenwehavenofmalmodelofhowthesystemwkswecannotavoidassumptionsifwewanttogeneralize.Figure1.1helpsillustratethisidea

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