Эконометрика (базовый уровень). Econometrics (basic level)

142 Pages·2022·1.774 MB·Russian

by  Герасимов А. Н., Громов Е. И., Скрипниченко Ю. С., Молчаненко С. А., Барсуков М. Г., Капустина Е. И.

ЭКОНОМЕТРИКА
(БАЗОВЫЙ УРОВЕНЬ)
ECONOMETRICS
(BASIC LEVEL)
Учебное пособие
•САНКТПЕТЕРБУРГ•
•МОСКВА•КРАСНОДАР•
•2022•
ББК 65в6я73
Э 40
Э 40 Эконометрика (базовый уровень). Econometrics (basic
level): Учебное пособие.— СПб.: Издательство «Лань»,
2022.— 144с.: ил.— (Учебники для вузов. Специальная ли
тература).
ISBN 9785811428281
В данном учебном пособии рассмотрены основные приемы и ме
тоды анализа экономической информации, процессов, порядок спе
цификации, параметризации и верификации эконометрических мо
делей парной и множественной регрессии. Отдельные главы посвя
щены анализу временных рядов и системам эконометрических
уравнений.
Для бакалавров, магистров, аспирантов, студентовиностранцев
экономических специальностей, преподавателей, научных работни
ков и специалистов аналитических служб.
Examples of the solution of tasks with use of the main receptions
and methods of the econometric analysis of the social and economic
phenomena and processes, features and an order of the specification,
parametrization, identification and verification of models of pair and
multiple regression are reviewed. Separate sections are devoted to
studying of interrelations, the analysis and modeling of temporary ranks
of data and systems of the simultaneous equations. Contains tasks for
the independent decision, questions for selfchecking and test tasks.
For bachelors, masters and graduate students of economic
specialties, teachers, scientists and specialists of analytical services.
ББК 65в6я73
Рецензенты:
Л. В. АГАРКОВА — доктор экономических наук, профессор ка
федры финансов, кредита и страхового дела Ставропольского го
сударственного аграрного университета;
Л. А. МЕЩЕРЯКОВА — доктор экономических наук, профессор
кафедры экономики и социальной работы Ставропольского госу
дарственного медицинского университета.
Обложка
Е. А. ВЛАСОВА
© Издательство «Лань», 2022
© Коллектив авторов, 2022
© Издательство «Лань»,
художественное оформление, 2022
INTRODUCTION
Econometrics is a relatively young but fast growing scientific disci-
pline. Increasingly complex economic processes lead to the need for de-
velopment and improvement of methods of study and analysis. Modern
science increasingly using mathematical and statistical tools for their re-
search. In practice, the spread of quantitative analysis and modeling.
Today econometrics has received worldwide recognition. If during
the period of planned economy in our country, the emphasis was on the
balance of funds and optimization methods and models, with transition to a
market system these models look archaic, increasingly known melts the
role of econometric methods. Only on this basis can the study and theoret-
ical generalization of the empirical relationships of economic variables and
the build quality of the forecast in business.
According to the literal translation of the term “econometrics” means
“measurement in Economics”. In most general terms, econometrics is the
science that studies the quantitative and qualitative interrelations and in-
terdependence in Economics using mathematical and statistical methods.
There is no doubt that the area of investigation of this science is much
broader.
According to L. Klein, the main task of econometrics it is in filling
the empirical content of a priori economic reasoning. Consequently, the
subjects of econometrics are socio-economic phenomena and processes.
The study of economic phenomena econometrics is carried out by means
of special methods and models, allowing on the basis of economic theory,
socio-economic statistics and mathematical-statistical tools to give quanti-
tative expression to the qualitative dependencies.
Each of these disciplines plays a role in econometric study. On the
basis of economic theory developed the concept of development of the
studied processes based on their interactions, through statistical-
quantifiabletive and qualitative status of these processes in the form of
repotiore sustainable and meaningful indicators, through mathematical and
statistical tools are synthesized models of the relationships between pro-
cesses, reflecting the economic framework in the selected system of indi-
cators and estimate the parameters of the models, we tested hypotheses
about their adequacy, the importance of interrelations between them, esti-
mated uncertainty, caused by random or systematic errors.
Evaluation of the results of econometric modeling are achieved is by
solving qualitative and quantitative problems. The qualitative component
3
is to establish a balance between the model and the underlying economic
concept and quantitative — in approximation accuracy for available in-
formation and for these calculations.
In the research the conceptual and applied aspects of econometrics
are often separated from each other. Of course, in the study of socio-
economic processes primary is actually the economic component of econ-
ometrics because Economics defines the problem statement and key as-
sumptions. Expressed mathematically, the result is interesting only from
the standpoint of economic interpretation.
In the second half of the last century, the wide dissemination and de-
velopment of econometric methods was facilitated by the advent of elec-
tronic computing machines. Econometric packages for personal computers
have made the techniques more accessible, simplified calculations of vari-
ous statistical characteristics, parameters, construction of tables and
graphs. It is possible to reduce the complexity of the work of econometrist
and focus on the formulation of the problem, the choice of an appropriate
model, the method of the solution, the interpretation of the results.
4
THEORY
CHAPTER 1. THEORETICAL ASPECTS
OF ECONOMETRIC MODELING
1.1. Econometrics as a science
Econometrics is a fast growing branch of science, the purpose of
which is a quantitative measure of economic relations. Evidence of global
recognition econometrics Nobel Prize awarded R. Frisch and J. Tinbergen
(1969), L. Klein (1980), T. Haavelmo (1989), J. Heckman and
D. McFadden (2000).
According to the Director of Academician V. L. Makarov, with time-
economics rests on three branches: macro-, microeconomics and econo-
metrics. In a market economy, the role of econometric methods and losing
its relevance to build optimization models of industries and enterprises.
Without knowledge of econometric methods it cannot be used to follow
and theoretical generalization of empirical relationships of variables, as
well as the construction of a reliable forecast of the banking, finance and
business.
The word “econometrics” is a combination of the two words “econ-
omy” and “metric”. The term was introduced according to some sources,
in 1926. Norwegian scientist R. Frisch and underlines the specificity of the
content of econometrics as a science: a quantitative expression of ties and
relations disclosed and sound economic theory. According to others, the
term “econometrics” introduced accountant P. Tsempoy in 1910 (Austria-
Hungary).
One of the earliest advocates of separation of this new discipline Jo-
seph Schumpeter believed that in accordance with its purpose, this science
should be called “econometrics”. Soviet scientist A. L. Weinstein believed
that the name of science is based on the Greek word — Soviet “metro”
(geometry, plane geometry, etc.), respectively, by analogy — Economet-
rics. However, in the world of science has become the generally — the
term “econometrics”.
Econometrics is a consequence of the emergence of an interdiscipli-
nary approach to the study of economics. This science has arisen as a re-
sult of interaction and association in a special “fusion” of the three disci-
plines: economics, mathematical economics and statistics (economic and
5
mathematical). Later they were joined by the development of computer
technology as a special condition for the discipline “econometrics”.
In the journal “Econometrics”, founded in 1933 R. Frisch, he gave
the following definition of science: “Econometrics is not the same as eco-
nomic statistics. It is not identical, and what we call economic theory, alt-
hough much of this theory is quantitative. Econometrics is not synony-
mous with application of mathematics to economics. Experience shows
that each of the three starting points are statistics, economics and mathe-
matics — a necessary but insufficient condition for the understanding of
quantitative relations in modern economic life. This is the unity of all three
components. And this unity constitutes econometrics”.
Thus, econometrics is a science which is gives a quantitative expres-
sion of the relationship between economic phenomena and processes. They
cannot assert that achieved an unambiguous definition of econometrics. In
addition, it is believed that a single generally accepted definition of econ-
ometrics is currently missing.
Thus, S. Fischer noted that econometrics is a section of the economy
engaged in the development and application of statistical methods to
measure the relationships between economic variables.
E. Malenvo adhered to a broad understanding, interpreting economet-
rics as “any application of mathematics and statistical methods to the study
of economic phenomena”.
Lange wrote that econometrics is defining the observed in the eco-
nomic life of specific quantitative regularities of applying for this purpose
statistical methods.
S. A. Aivazyan believes Econometrics combines aggregate of meth-
ods and models that based on economic theory, economic statistics and
mathematical tools give quantitative expressions qualitative dependence.
Basic economic theory results are qualitative in nature, and econo-
metrics makes them empirical content. Mathematical economics expresses
economic laws as mathematical relations, and Econometrics provides ex-
perimental verification of these laws. Economic statistics provide infor-
mation to ensure the test process as a source of statistics and economic in-
dicators, and econometrics, using traditional mathematical and statistical
techniques and specially designed, quantitative analyzes interrelated links
between these indicators.
Basic concepts of econometrics are two definitions — “economic”
and “mathematical”. This duality holds in the formulations of the results of
6
economic studies in which almost never used mathematical techniques to
of mathematical works, using the apparatus of modern mathematics.
The economic component of econometrics is primary. It is the econ-
omy determines the problem and initial preconditions, and the result is
generated in mathematical language, it is of interest only if it manages to
economic interpretation.
Wide introduction of economic methods promotes development of
electronic computers. Computer econometric packages made more acces-
sible and visual methods such as the most laborious task of calculating the
various statistics, parameters, characteristics, construction of tables and
graphics mainly began to perform computer and econometricians remained
creative work: formulation of the problem, selection of appropriate model
and the method of its solution, the interpretation of results.
1.2. Subject econometrics
Market economy needs to improve the use of statistical and econom-
ic information describing the results of economic activity. Creation of a
database cannot be without the effect of different factors shaping the fi-
nancial results. At the same time it is advisable to isolate the impact of fac-
tors that depend directly on managerial decision-making and management
of such entity, the influence of the factors that are independent from man-
agement (changes in prices, tariffs, taxes, inflation, etc.).
Elimination (eliminating) the effects of such factors in econometrics
models and characterization of their effects by relevant computations leads
to more correctly predict the results of the investigated phenomena in the
future period.
Econometric estimates to better understand the economy and phe-
nomena that significantly helps to formulate the results and make predic-
tions. More effective functioning of the economic system requires skillful
and real economic policies and effective policy requires an understanding
of various relationships between the factors and results. Management deci-
sions need to know the system of interrelated bonds and accordingly influ-
ence them.
The subject of the study of econometrics can be called (as well as for
economic theory) economic phenomena. But in contrast to the economic
theory of econometrics focuses on quantitative rather than qualitative as-
pects of these phenomena. For example, economic theory argues that the
demand for goods increase its price decreases, but it does not answer the
7
question as to rapidly under what condition, etc. Econometrics answers
these questions in relation to each particular case.
Thus, the subject of econometrics is the factors that shape the devel-
opment of economic phenomena and processes, and econometrics the art
of foresight, the development of economic forecasts and hypotheses.
Assumptions on which the estimates are based factors development
of the economy, associated with risk. To reduce errors econometrics must
decide how to include in econometric estimates without exception factors
and choose the most effective methods for their evaluation, to ensure their
reliability.
1.3. Goals and objectives of econometrics
Sustainable economic development (state, industry or facility man-
agement) depends on the reliability and validity of administrative deci-
sions. Rationale for decision-making is the most important task of econo-
metrics. Progress in management decision-making must take into account
their multi-variant, the presence of uncertainty, assessing the impact of the
factors for an individual option, etc. The choice of the best variant pro-
duced in order econometric calculations. For each of the options given
preference to ensure there is a highest efficiency of managerial decisions.
Econometrics provides continuous managerial decision making pro-
cess, making it possible to reach the planned target. In this context, the
task is to identify the possible target of management and the determination
of its actual achievements in various embodiments of the economic pro-
cess. Consequently, the task is to assess the actions aimed at reaching and
improving economic efficiency.
In addition, the task is to predict econometrics for children develop-
ment of macro- and microeconomic factors. Forward-looking information
should enable decision-making depending on the economic situation. The-
se solutions are developed by using statistical data processed and of gener-
alized econometric methods.
Thus, a key objective of econometrics is empirical content of a priori
economic scattering statement (quantitative characterization of known
quality of economic phenomena).
Such an interpretation of the problem meets a key objective econo-
metric ki — empirical generalization of economic laws.
8

up the costs in relation to their efficiency makes the nomination process al-
ternatives most important criterion econometric requiring formulation pre-
suppositions, defining the scope and elements of econometric calculations,
collection of information and the development of econometric hypotheses
evaluation.
Resources necessary for the implementation of the production pro-
cess, have the valuation, and their true measure are expressed in possibili-
ties of alternative actions. Econometric calculations allow us to identify
the consequences and results of the alternatives as to characterize the level
of costs and their effectiveness, and the degree of achievement of the ob-
jectives.
Econometric estimates should be carried out continuously, systemati-
cally checking their criteria from the formulation of the problem, selecting
targets, generate alternative actions, data collection, choosing a method of
evaluating and constructing econometric forecasts and models, weighing
the costs in relation to the results, additional test prerequisites, and the
source data rechecking purposes to identify new alternatives to building
improved models.
The principle of the correct formulation of the problem requires de-
termining how widely it is set, determine the objectives of its achieve-
ments and results evaluation methods and techniques of alternative actions.
The principle of systematic orientation requires determining the most
important relationships between the factors and the results bring to clarify
issues related professionals (technicians, engineers, sociologists, etc.).
The principle of uncertainty and its application in econometric stud-
ies are needed to identify uncertain situations and assess their impact on
the final efficiency. The most challenging aspect of this principle is to pre-
dict changes in management decisions on the costs and effectiveness, de-
pending on changes in economic assumptions and factors of economic de-
velopment.
1.5. Main stages of econometric modeling
The implementation of the tasks in section 1.3 requires discipline
separation procedure of econometric models on a number of interrelated
steps. Dwell on each of them.
Stage 1 — purpose of the study is formed on the boron — in-
volved in the model of economic variables. As the purpose of econometric
modeling is usually considered economic analysis of the studied process
(object), the forecast of its economic performance, a proposal for the pos-
10