一、条件均值E(Y=X或个值Y的一个无偏估计 二、总体条件均值与个值预测值的置信区间

一、普通最小二乘估计 *二、最大或然估计 *三、矩估计 四、参数估计量的性质 五、样本容量问题 六、估计实例

一、中国居民人均消费模型 二、时间序列问题

一、拟合优度检验 二、变量的显著性检验 三、参数的置信区间

一、计量经济学及其发展 挪威经济学家弗( Frish)定义为:经济理、统计学和数学三者结合

常用的经济计量软件 EViews (Econometric Views) RATS (Regression Analysis of Time Series) SAS (Statistical Analysis System) SPSS (Statistical Package for Social Science) TSP

1 Goodness of Fit Statistics We would like some measure of how well our regression model actually fits the data.* We have goodness of fit statistics to test this: i.e. how well the sample regression function (srf) fits the data. The most common goodness of fit statistic is known as R2. One

1 Motivations All the models we have looked at thus far have been single equations models of the form y=XB+u All of the variables con

一、本章是课程的重点内容之一。通过教学,要求学生达到: 二、了解(最低要求):线性联立方程计量经济学模型的基本概念,线性联立方程模型的矩阵表示,有关模型识别的概念和实用的识别方法,几种主要的单方程估计方法(间接最小二乘法、工具变量法、两阶段最小二乘法)的原理与应用

1 An Excursion into Non-linearity land Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data