中国人民大学

劳动人事学院

计量经济分析

2013年秋季学期

教师： 赵丽秋

         求是楼428

        Tel：82502214，email：liqiuzh@gmail.com

              赵忠

         求是楼335

        Tel：82502205，email：mr.zhong.zhao@gmail.com

地点： 求是楼343

时间： 周三下午 2：00-5：00

课程简介：

本课程介绍计量经济学和微观计量经济学的基本理论和方法，主要包括线性模型及OLS估计、联立方程和工具变量估计、线性面板数据模型、最大似然估计法、离散选择模型、Tobit模型、Heckman选择性模型、因果关系模型、离散选择面板数据模型和持续分析模型等等。通过本课程，学生应深入理解计量经济学和微观计量经济学的各种方法，认识实证研究中潜在的各种问题，了解新的计量经济学模型和技术，尤其是劳动经济学中常用的计量方法。

先修课：微积分、线性代数、概率论和数理统计、中级计量经济学

主要教材：

Jeffrey M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, 2nd Edition, MIT Press, 2010.

补充教材：

A. Colin Cameron and Pravin K. Trivedi, Microeconometrics, Cambridge University Press, 2005.

Joshua D. Angrist and Jörn-Steffen Pischke, Mostly Harmless Econometrics, Princeton University Press, 2009

Maddala G.S., Limited-Dependent and Qualitative Variables in Econometrics, Cambridge University Press, 1986

J. M. 伍德里奇, 计量经济学导论（第三版），中国人民大学出版社， 2007年版

课程要求：

课堂报告、作业

*必读，• 选读

课程内容：

1、    计量经济学简介

* Wooldridge, Ch 1, 2 and 3

• Bierens, H. J. (2004): Introduction to the Mathematical and Statistical Foundations of Econometrics. Cambridge, UK: Cambridge University Press.

• Koopmans, T. (1949): Identification problems in economic model construction，Econometrica, 17, 125–144.

2、    线性模型和OLS估计

识别，渐进性，异方差，遗漏变量，测量误差，SUR和GLS估计

* Wooldridge, Ch 4 and 7

• Manski, C. F. (2003): Identification problems in the social sciences and everyday life. Southern Economic Journal, 70(1), 11–21.

3、    联立方程和工具变量法

两阶段最小二乘法，渐进性，工具变量法的应用

* Wooldridge, Ch 5, 6 and 8

• Joshua D. Angrist and Alan B. Krueger (2001), Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments, Journal of Economic Perspectives, 15(4), 69–85.

• Cruz, L. and M. J. Moreira (2005): On the validity of econometric techniques with weak instruments. Journal of Human Resources, 40(2), 393–410.

4、    线性面板数据模型

随机效应和固定效应，差分估计，动态模型

* Wooldridge, Ch 10

• Baltagi, B. H. (2005): Econometric Analysis of Panel Data, 3rd Edition. Chichester, UK: John Wiley & Sons.

• Hsiao, C. (2003): Analysis of Panel Data, 2nd Edition, Cambridge. UK: Cambridge University Press.

5、    最大似然估计法

* Wooldridge, 13

• Cameron & Trivedi, Ch. 5.5-5.7

• Cameron & Trivedi, Ch. 7, 10

6、    离散选择模型

* Wooldridge, 15, 16, 18.2, and 18.3

• Cameron, T.A. (1985): A Nested Logit Model of Energy Conservation Activity by Owners of Existing Single Family Dwellings, Review of Economics and Statistics

7、    Tobit模型

* Wooldridge, 17

• Cameron & Trivedi, Ch 16

• McDonald, John F & Moffitt, Robert A (1980): The Uses of Tobit Analysis, Review of Economics and Statistics

8、    Heckman选择性模型

* Wooldridge, 19

• Lee, Lungfei (1978): Unionism and Wage Rates: A Simultaneous Equations Model with Qualitative and Limited Dependent Variables, International Economic Review

9、    处理效应模型

ATE, ATT, IV methods, LATE, Regression Discontinuity

* Angrist and Pischke (2009), Ch 4.4 and 4.5.

* Wooldridge Ch 21

• Ashenfelter, O. and Card, D. (1985). Using the longitudinal structure of earnings to estimate the effect of training programs. Review of Economics and Statistics.

• Angrist J. and A. Kruger (1991): Does Compulsory Schooling Attendance Affect Schooling and Earning? Quarterly Journal of Economics, November 1991.

• Park, Albert, and Sangui Wang (2010): Community Development and Poverty Alleviation: An Evaluation of China’s Poor Village Investment Program, Journal of Public Economics

• DiNardo, J & Lee D. (2004): Economic Impacts of New Unionization on U.S. Private Sector Employers: 1984-2001, Quarterly Journal of Economics

10、离散选择面板数据模型

* Wooldridge, 18.7

• Cameron & Trivedi, Ch 23

• Freeman, Richard B. (1980): The Exit-Voice Tradeoff in the Labor Market: Unionism, Job Tenure, Quits, and Separations, The Quarterly Journal of Economics

11、持续分析模型

* Wooldridge, 22

• Cameron & Trivedi, Ch 17

• Meyer, B. (1990): Unemployment Insurance and Unemployment Spells, Econometrica