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1.1General methodology of modern
Contents
1.1 General methodology of modern economic research
1.2 Roles of Econometrics
1.3 Illustrative Examples
1.4 Roles of Probability and Statistics
Data collections → Economic theories/models → Empirical validation/inference → Applications
Step1: Data collections and summary of empirical stylized facts（经验典型事实）
The so-called stylized facts often summarized from obsevrved economic data.
Example 1: Engel curve in microeconomics
The share of a consumer's expenditure on a commodity out of her or his total income will vary as his/her invome changes;
Example 2: Phillips Curve in macroeconomics
A negative correlation between the inflation rate and teh unemployment rate in aggregate economy
Example 3: Volatility clustering in finance
A high volatility today tends to be followed by another high volatility tomorrow. a low volatility today tends to be followed by another low volatility tomorrow, and both alternate over time.
Data collections:
surveys 统计抽样调查
field studies 田野调查
experimental economics 实验条件下的经济行为调查
big data 大数据
问题导向：the empirical stylized facts →（serve as）→ a starting point for economic research
Step 2: Development of economic theories/models
With the empirical stylized facts in mind, economists then develop an economic theory or model. This usually calls for specifying a mathematical model of economic theory.
Example: Euler equation for rational expectations in macroeconomics
The objective of economic modeling is not merely to explain the stylized facts, but also to understand the economic mechanism.
Euler equation欧拉方程；rational expectations理性预期
Step 3: Empirical validation/inference of economic models
A key is to transform an economic model into a testable empirical econometric model.
One often has to assume some functional form, up to some unknown model parameters, or to choose suitable instrumental variables to form a set of moment conditions.
One needs to estimate unknown model parameters and make inferences based on observed data.
Check whether the econometric model is adequate. An adequate model should be at least consistent with the empirical stylized facts.
Step 4: Applications
After an econometric model passes the empirical evaluation, it can then be used to:
Explain important empirical stylized facts
Test economic theory and/or hypotheses
Forecast future evolution of the economy
Policy evaluation and other applicaions
