Ekonometrika fani bilan tanishuv

obs	wage	educ	exper	age
female
1	18.10	12	17	35	1
2	36.87	18	27	51	0
…	…	…	…	…	…
526	61.45	20	3	29	1

Time Series

24

• 
  observations on economic variables over time
  
  • 
    stock prices, money supply, CPI, GDP, annual homicide rates, automobile sales
    
• 
  frequencies: daily, weekly, monthly, quarterly, annually
  
• 
  unlike cross-sectional data, ordering is important here!
  
  • 
    behaviour of economic subject (and the resulting indicators) evolve in a gradual manner in time
    
  • 
    lags in economic behaviour (oil prices today affect next month’s
    actions)
    
• 
  typically, observations cannot be considered independent across time
  → require more complex econometric techniques
  

year	T-bill	infl	dispInc	C_ndur	popul
1994	4.95	2.6	4778.2	1390.5	260,660
1995	5.21	2.8	4945.8	1421.9	263,034
…	…	…	…	…	…

Pooled Cross Sections

25

• 
  both cross-sectional and time-series features
  
• 
  data collected in multiple (typically, two) points in time
  
• 
  ordering is not crucial, year is recorded as an additional variable
  
• 
  often used to evaluate the effect of a policy change
   collect data before and after the policy change and see how the relationship between the variables changes
  
• 
  note: in the second time period, the cross-sectional units need be neither distinct from nor identical to those in the first period
  

obs	year	hprice	sq_feet	bdrms	bthrms
1	2005	105,000	1400	3	1
……	……	……	……	……	……
250	2005	198,500	2350	5	3
251	2008	95,600	1800	3	2
……	……	……	……	……	……
550	2008	119,900	2150	4	2

Panel (or Longitudinal) Data

26

• 
  several cross-sectional units, a time series for each unit (time series with equal length)
  
• 
  unlike with pooled cross sections, the same units are measured over
  time
  
  • 
    more difficult /costly to obtain the data
    
  • 
    have several advantages over (pooled) cross sections (for problem where panel data make sense)
    

unit	year	popul	murders	unemp	police
1	2008	293,700	5	6.3	358
1	2010	299,500	7	7.4	396
2	2008	53,450	2	7.2	51
2	2010	51,970	1	8.1	51
……	……	……	……	……	……

Leicester

Salisbury
 can be treated as pooled cross section (but: loss of information)
Introductory Econometrics
LECTURE 1:
INTRODUCTION

Introductory Econometrics

Jan Zouhar
http://fayllar.org