서둘러 Econometrics (1)

Lecture 1

 

Review of the classical linear regression model.

 

1. explain difference between econometrics and biostatistics;
2. list and explain the criteria for a good estimator;
3. list and explain the assumptions underlying the classical linear regression model (CLRM); and
4. list the reasons why ordinary least squares is a good estimator and fit the CLRM.

Readings

Kennedy, P. A Guide to Econometrics, chapters 1-3.

Deb, Partha, Edward C. Norton, and Willard Graham Manning. Health econometrics using Stata. College Station, TX: Stata Press, 2017, chapters 2-3.

Cohen, J. W., Monheit, A.

C.,Beauregard, K. M., Cohen, S. B., Lefkowitz, D. C., Potter, D. E., Arnett, R. H.,3rd. (1996). The medical expenditure panel survey: A national health information resource.Inquiry 33(4), 373-389.

 

 

Econometrics: validating(/rejecting), inferring real world data 

Y=bX+e, and there are estimators: 1. Computational Cost 2. Least Squares 3. Highest R2 4. Unbiasedness 5. Efficiency 6. Mean Squared Error 7. Asymptotic Properties 8. Maximum Likelihood

 

 

 

Lecture 2

 

Properties of OLS, Hypothesis Testing, and Model Specification

1. perform hypothesis testing for linear and nonlinear regression
2. use theory to develop empirical models in HSR
3. discuss specification tests

Reading

Deb, Partha, Edward C. Norton, and Willard Graham Manning. Health econometrics using Stata. College Station, TX: Stata Press, 2017, Chapter 4.Kennedy, P.  A Guide to Econometrics, chapter 4-6.

Kennedy, P. A Guide to Econometrics, chapters 4- 6

 

 

 

 

Test 

https://blog.naver.com/yk60park/221913825665

우도비검정법 LR (Likelihood Ratio Test)

 

Lecture 3

 

Model Specification, Weights, Heteroskedasticity and Robust Estimators

1. use and interpret dummy variables
2. use log-linear and log-log models
3. use and interpret interaction terms
4. estimate spline regressions
5. explain and test for heteroskedasticity
6. use smearing techniques

 

Reading

Deb, Partha, Edward C. Norton, and Willard Graham Manning. Health econometrics using Stata. College Station, TX: Stata Press, 2017, Chapters 5,6Kennedy, P. A Guide to Econometrics, chapter 8, 12, & 15

Kennedy, P. A Guide to Econometrics, chapters 8, 12, 15.

Duan N. “Smearing Estimate: A nonparametric retransformation method.” Journal of the American Statistical Association 78 (1983) 605–610.

Manning, W.G., 1998. The logged dependent variable, heteroscedasticity, and the retransformation problem. Journal of Health Economics 17, 283–295.