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Econometrics is the application of mathematics, statistical methods, and, more recently, computer science, to economic data and is described as the branch of economics that aims to give empirical content to economic relations. More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference." An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships." The first known use of the term "econometrics" (in cognate form) was by Pawe Ciompa in 1910. Ragnar Frisch is credited with coining the term in the sense that it is used today. Econometrics is the intersection of economics, mathematics, and statistics. Econometrics adds empirical content to economic theory allowing theories to be tested and used for forecasting and policy evaluation.
1 Basic econometric models: linear regression 2 Theory 2.1 Gauss–Markov theorem 2.1.1 Linearity 2.1.2 Expected error is zero 2.1.3 Spherical errors 2.1.4 Exogeneity of independent variables 2.1.5 Full rank 3 Methods 3.1 Experimental economics 3.2 Data 3.3 Instrumental variables 3.4 Computational methods 3.5 Structural econometrics 4 Example 5 Journals 6 Limitations and criticisms 7 Notable econometricians 8 See also 9 Notes 10 References 11 Further reading 12 External links
Basic econometric models: linear regression
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When these assumptions are violated or other statistical properties are desired.77*1+0.Wikipedia. If the estimate of were not significantly different from 0.83). Here is Okun's law representing the estimated to be !1. and it is efficient if the estimator has lower standard error than other unbiased estimators for a given sample size.83. classical or "frequentist" approaches. Estimators that incorporate prior beliefs are advocated by those who favor Bayesian statistics over traditional. Linearity 2 of 13 15/03/2014 15:34 . and consistency. Gauss–Markov theorem The Gauss–Markov theorem shows that the OLS estimator is the best (minimum variance). Econometricians try to find estimators that have desirable statistical properties including unbiasedness. efficiency. generalized method of moments. Theory See also: Estimation theory Econometric theory uses statistical theory to evaluate and develop econometric methods. the free encyclopedia http://en. (!1. errors are homoskedastic and not autocorrelated. unbiased estimator assuming the model is linear. The fitted line unemployment rate would be predicted to drop by . but linear regression is still the most frequently used starting point for an analysis. For example. the the unemployment rate. as hypothesized. or generalized least squares are used.org/wiki/Econometrics The basic tool for econometrics is the linear regression model. consider Okun's law. An estimator is unbiased if its expected value is the true value of the parameter. a given value of GDP growth multiplied by a slope coefficient and an error term. unbiased estimator) given the Gauss-Markov assumptions. It is consistent if it converges to the true value as sample size gets larger.77 and is estimated to be 0. The model could then be tested for statistical significance as to whether an increase in growth is associated with a decrease in the unemployment. : The unknown parameters and can be estimated. other estimation techniques such as maximum likelihood estimation. which relates GDP growth to the unemployment rate. and there is no perfect multicollinearity.Econometrics . Estimating a linear regression on two variables can be visualized as fitting a line through data points representing paired values of the independent and dependent variables. Ordinary least squares (OLS) is often used for estimation since it provides the BLUE or "best linear unbiased estimator" (where "best" means most efficient.94 points is found using regression analysis. In modern econometrics. This means relationship between GDP growth and that if GDP growth increased by one percentage point. the expected value of the error term is zero. the test would fail to find evidence that changes in the growth rate and unemployment rate were related.wikipedia. This relationship is represented in a linear regression where the change in unemployment rate ( ) is a function of an intercept ( ). other statistical tools are frequently used.
however. In such cases. Santos Silva and Tenreyro. Spherical errors occur when errors have both uniform variance (homoscedasticity) and are uncorrelated with each other. say gamma. The equation qualifies as linear while can be transformed to be linear by replacing (beta)^2 by another parameter. then the equation f(x)=c is the formula for a “ball” centered at " with radius # in n-dimensional space. where beta(x) is a function of x. The term "spherical errors" will describe the multivariate normal distribution: if in the multivariate normal density. while high income people may spend a very 3 of 13 15/03/2014 15:34 . The independent variables can take non-linear forms as long as the parameters are linear. This does not mean that there must be a linear relationship between the independent and dependent variables. in a regression on food expenditure and income. See the Cobb-Douglas equation above.org/wiki/Econometrics The dependent variable is assumed to be a linear function of the variables specified in the model.wikipedia. For example. the free encyclopedia http://en. the Cobb–Douglas function—often used in economics—is nonlinear: But it can be expressed in linear form by taking the natural logarithm of both sides: This assumption also covers specification issues: assuming that the proper functional form has been selected and there are no omitted variables. Spherical errors Error terms are assumed to be spherical otherwise the OLS estimator is inefficient. however. For example. This assumption can also be violated in limited dependent variable models. The mis-measurement will bias the estimation of the intercept parameter. The specification must be linear in its parameters. This assumption can be violated if the measurement of the dependent variable is consistently positive or negative.Wikipedia. Expected error is zero The expected value of the error term is assumed to be zero. so this assumption will be violated. An equation with a parameter dependent on an independent variable does not qualify as linear. the error is correlated with income. both the intercept and slope parameters may be biased. The multiplicative error term will not have a mean of 0. Heteroskedacity occurs when the amount of error is correlated with an independent variable. but the slope parameters will remain unbiased. for example y = alpha + beta(x) * x. Low income people generally spend a similar amount on food. 2006). The OLS estimator remains unbiased. Data transformations are often used to convert an equation into a linear form (see.Econometrics . The intercept may also be biased if there is a logarithmic transformation.
although exploratory data analysis may by useful for generating new hypotheses. In the presence of non-spherical errors. sociology and political science. but most often they are with observational data. For example.wikipedia. Analysis of data from an observational study is guided by the study protocol. such as astronomy. Methods See also: Methodology of econometrics Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories. correcting the specification is one possible way to deal with autocorrelation. Autocorrelation may be the result of misspecification such as choosing the wrong functional form. analyzing economic history." If a dependent variable takes a while to fully absorb a shock.Wikipedia. Spatial autocorrelation can also occur geographic areas are likely to have similar errors. measurement error decreases.org/wiki/Econometrics large amount or as little as low income people spend. Instrumental variable techniques are commonly used to address this problem. the generalized least squares estimator can be shown to be BLUE. There must be at least one observation for every parameter being estimated and the data cannot have perfect multicollinearity. but still unbiased estimate. epidemiology. rather than in controlled experiments. Econometrics may use standard statistical models to study economic questions. Autocorrelation can be visualized on a data plot when a given observation is more likely to lie above a fitted line if adjacent observations also lie above the fitted regression line. Perfect multicollinearity will occur in a "dummy variable trap" when a base dummy variable is not omitted resulting in perfect correlation between the dummy variables and the constant term. Full rank The sample data matrix must have full rank or OLS cannot be estimated. Heteroskedacity can also be caused by changes in measurement practices. Multicollinearity (as long as it is not "perfect") can be present resulting in a less efficient. as statistical offices improve their data. This assumption is violated when there is autocorrelation. Endogeneity can be the result of simultaneity.Econometrics . Autocorrelation is common in time series data where a data series may experience "inertia. the design of observational studies in econometrics is similar to the design of studies in other observational disciplines. the free encyclopedia http://en. where causality flows back and forth between both the dependent and independent variable. such as supply and demand 4 of 13 15/03/2014 15:34 . and forecasting. Economics often analyzes systems of equations and inequalities. so the error term declines over time. In these cases. In this. developing econometric models. Exogeneity of independent variables This assumption is violated if the variables are endogenous.
cross-sectional data. Consequently. Such methods may allow researchers to estimate models and investigate their empirical consequences. Multi-dimensional panel data sets contain observations across time. without directly manipulating the system. Instrumental variables In many econometric contexts.wikipedia. Cross-sectional data sets contain observations at a single point in time. at many points in time (time series observations). for example. Such concerns include mathematical well-posedness: the existence. Another concern is the numerical efficiency and accuracy of software. and at multiple forecast horizons (a third dimension). including two IV variants. and across some third dimension. for example. Regression methods are important in econometrics because economists typically cannot use controlled experiments. the free encyclopedia http://en. For an economic model described by more than one equation. because the assumptions for valid use of the method are violated. the Survey of Professional Forecasters contains forecasts for many forecasters (cross-sectional observations). and Three-Stage Least Squares (3SLS). cross-sectionally. controlled and randomized experiments provide statistical inferences that may yield better empirical performance than do purely observational studies. the commonly-used ordinary least squares method may not recover the theoretical relation desired or may produce estimates with poor statistical properties. such as the field of system identification in systems analysis and control theory. Panel data sets contain both time-series and cross-sectional observations. A third concern is also the usability of econometric software. and multidimensional panel data. Here. Experimental economics In recent decades. 5 of 13 15/03/2014 15:34 . Data Data sets to which econometric analyses are applied can be classified as time-series data. One widely used remedy is the method of instrumental variables (IV). These methods are analogous to methods used in other areas of science.Econometrics . Observational data may be subject to omitted-variable bias and a list of other problems that must be addressed using causal analysis of simultaneous-equation models.org/wiki/Econometrics hypothesized to be in equilibrium. and stability of any solutions to econometric equations. econometricians have increasingly turned to use of experiments to evaluate the oftencontradictory conclusions of observational studies. Time-series data sets contain observations over time. One of the fundamental statistical methods used by econometricians is regression analysis. uniqueness. For example. simultaneousequation methods may be used to remedy similar problems. the field of econometrics has developed methods for identification and estimation of simultaneous-equation models. many individuals' incomes in a given year. inflation over the course of several years. Econometricians often seek illuminating natural experiments in the absence of evidence from controlled experiments. panel data. Computational methods Computational concerns are important for evaluating econometric methods and for use in decision making. Two-Stage Least Squares (2SLS).Wikipedia.
it is necessary to have the valuation distribution in hand to engage in mechanism design. The key difficulty with bidding data from these auctions is that bids only partially reveal information on the underlying valuations. One would like to estimate these valuations in order to understand the magnitude of profits each bidder makes. where all bids are observed. The first requires the researcher to completely solve the model and then use maximum likelihood.Econometrics . there have been many advances that can bypass the full solution of the model and that estimate models in two stages.Wikipedia.org/wiki/Econometrics Structural econometrics Structural econometrics extends the ability of researchers to analyze data by using economic models as the lens through which to view the data. More importantly. In a first price sealed bid auction the expected payoff of a bidder is given by: where v is the bidder valuation. The researcher then searches for parameters of the model that match the outputs of the model to the data. There are two ways of doing this. This will then allow the investigator to estimate the valuation distribution. it is then possible to use the above relation and the estimated probability function and its derivative to point wise estimate the underlying valuation. A good example of structural econometrics is in the estimation of first price sealed bid auctions with independent private values. The optimal bid solves a first order condition: which can be re-arranged to yield the following equation for Notice that the probability that a bid wins an auction can be estimated from a data set of completed auctions. Importantly. the free encyclopedia http://en. This can be done using simple non-parametric estimators. The parameter measures the increase in the natural log 6 of 13 15/03/2014 15:34 . these methods allow the researcher to consider more complicated models with strategic interactions and multiple equilibria. However. bids shade the underlying valuations. b is the bid. If all bids are observed. Example A simple example of a relationship in econometrics from the field of labor economics is: This example assumes that the natural logarithm of a person's wage is a linear function of the number of years of education that person has acquired. Structural econometric analyses begin with an economic model that captures the salient features of the agents under investigation.wikipedia. The benefit of this approach is that any policy recommendations are not subject to the Lucas critique since counter-factual analyses take an agent's re-optimization into account.
the Journal of Econometrics. Unless the econometrician controls for place of birth in the above equation. the Journal of Applied Econometrics. Applied Econometrics and International Development. If the researcher could randomly assign people to different levels of education. and the Journal of Economic and Social Measurement (http://www. Economists also fail to use economic reasoning for model selection. often using data sets with many strongly associated covariates. the Journal of Business & Economic Statistics. Econometric Theory.. the econometrician observes the years of education of and the wages paid to people who differ along many dimensions.Econometrics . economists fail to report estimates of the size of effects (apart from statistical significance) and to discuss their economic importance. Another technique is to include in the equation additional set of measured covariates which are not instrumental variables. together with the assumption that is uncorrelated with education produces a misspecified model. the effect of birthplace on wages may be falsely attributed to the effect of education on wages. The econometric goal is to estimate the parameters. The most obvious way to control for birthplace is to include a measure of the effect of birthplace in the equation above. Regarding the plurality of models compatible with observational data-sets. the Econometrics Journal. the Review of Economics and Statistics. people born in certain places may have higher wages and higher levels of education. properly withhold 7 of 13 15/03/2014 15:34 . then the equation can be estimated with ordinary least squares. Journals The main journals which publish work in econometrics are Econometrica. resulting in enormous numbers of models with similar explanatory ability but different covariates and regression estimates. the free encyclopedia http://en. An overview of econometric methods used to study this problem were provided by Card (1999). yet render identifiable.nl/html/07479662. those experiments cannot be conducted. the data set thus generated would allow estimation of the effect of changes in years of education on wages.Wikipedia. Exclusion of birthplace. economic variables cannot be experimentally manipulated as treatments randomly assigned to subjects. if is uncorrelated with years of education.iospress. In reality. In a study of the use of econometrics in major economics journals. The term is a random variable representing all other factors that may have direct influence on wage. the estimated coefficient on Years of Education in the equation above reflects both the effect of education on wages and the effect of other variables on wages.php). For example. Limitations and criticisms See also: Criticisms of econometrics Like other forms of statistical analysis.wikipedia. especially for deciding which variables to include in a regression. In some cases. Instead. Given this kind of data. badly specified econometric models may show a spurious correlation where two variables are correlated but causally unrelated. McCloskey concluded that economists report p values (following the Fisherian tradition of tests of significance of point null-hypotheses). In such cases. if those other variables were correlated with education. For example. neglecting concerns of type II errors. Econometric Reviews.org/wiki/Econometrics of the wage attributable to one more year of education. under specific assumptions about the random variable . economists rely on observational studies.. Edward Leamer urged that "professionals .
v. p. Notable econometricians Sir James Ball James Durbin William Greene Lars Peter Hansen Jerry Hausman Fumio Hayashi David Forbes Hendry James Heckman Lawrence Klein CEV Leser Halbert White See also Augmented Dickey–Fuller test Choice modelling Cowles Foundation Econometric software Financial modeling Granger causality Important publications in econometrics Macroeconomic model Methodological individualism Predetermined variables Single equation methods (econometrics) Spatial econometrics Unit root Notes 1. the free encyclopedia http://en.org/wiki/Econometrics belief until an inference can be shown to be adequately insensitive to the choice of assumptions". 1 (http://books. Hashem Pesaran (1987). 1-34]. ^ M. 8-22]. 8 [pp.dictionaryofeconomics.Wikipedia. and H. Horowitz.Econometrics .wikipedia. Friedrich Hayek in his The Use of Knowledge in Society argued that "knowledge of the particular circumstances of time and place" is not easily aggregated and is often ignored by professional economists. 2. (1990). eds. "Econometrics. Economists from the Austrian School argue that aggregate economic models are not well suited to describe economic reality because they waste a large part of specific knowledge. P. Reprinted in J. 8 of 13 15/03/2014 15:34 . p.." The New Palgrave: A Dictionary of Economics. Abstract (http://www.com /article?id=pde2008_E000007&edition=current&q=Econometrics&topicid=&result_number=2) (2008 revision by J. Econometrics: The New Palgrave.google.com/books?id=gBsgr7BPJsoC&dq=econometrics&printsec=find& pg=PA1=false#v=onepage&q&f=false) [pp. J. Pesaran). Eatwell et al. Geweke.
205. ^ Kennedy 2003. 141 (http://www." Econometrica. ^ P. Description (http://mitpress.dictionaryofeconomics. "causality in economics and econometrics. Koopmans.asp?ttype=2&tid=9577). T. 369 (http://www. 135. 12. ^ Edward E. ^ • H. Wold (1969). Samuelson. "A Note on the Term 'Econometrics'. p. 633-665 (http://www. Abstract (http://www. 5. A Guide to Econometrics. 2nd Edition. 2004.pdf) 21. • Aris Spanos (2008).pages. ^ Kennedy 2003. 37(3). Nordhaus. D.Wikipedia.mit. the free encyclopedia http://en. 22(2). 15.jstor. 23-note. p. 22. C." Journal of Economic Literature. ^ Kennedy 2003. 18. p. ^ Kennedy 2003. ^ Greene (2012). p. 129. Hoover (2008)." The New Palgrave Dictionary of Economics. 5th ed." The New Palgrave Dictionary of Economics. 110. Pesaran (1990). 37(2).. "statistics and economics. ^ Kennedy 2003.com/article?id=pde2008_C000569& q=experimental%20methods%20in%20economics&topicid=&result_number=11) and galley proof. Abstract (http://www. 130. p.org/pss/1912787)-381. and TOC (http://mitpress.edu /catalog/item/default. p. 9 of 13 15/03/2014 15:34 . Leamer (2008).com/article?id=pde2008_D000244& edition=current&q=Computational%20economics&topicid=&result_number=19). 131. ^ Kennedy 2003.com /books?id=gBsgr7BPJsoC&dq=econometrics&printsec=find&pg=PA2=false#v=onepage&q&f=false)." Econometrics: The New Palgrave. preview (http://books.com/article?id=pde2008_S000251&edition=& field=keyword&q=statistical%20decision%20theory&topicid=&result_number=1) 23.Econometrics . 9. Vinod (1999). 22. P." The New Palgrave Dictionary of Economics. p. 16. 2nd Edition.edu/~kdh9/Source%20Materials/Research/Palgrave_Causality_Final. ^ Paul A.google.com /books?id=B8I5SP69e4kC&printsec=find&pg=PR5=gbs_atb#v=onepage&q&f=false). Wold 1954. Abstract.dictionaryofeconomics. • Kevin D.com/article?id=pde2008_S000200& edition=current&q=Specification%20problems%20in%20econometrics&topicid=&result_number=1) 20.edu/~bdm25/jel. p. 95. (http://www. 19. and J. (http://www. 13. 10. (http://www. 11. pp. and 18. 142. p. ^ Clive Granger (2008).org /pss/1907540)-177. R. ^ For an overview of a linear implementation of this framework. McGraw-Hill. 14.dictionaryofeconomics. ^ Greene 2012. "Causality and Econometrics. ^ Herman O. "Econometrics as Pioneering in Nonexperimental Model Building.dictionaryofeconomics.wikipedia. ^ B.dictionaryofeconomics.com/article?id=pde2008_F000161&edition=current&q=forecast& topicid=&result_number=7) 17.google. p p. N. p. "The Numerical Reliability of Econometric Software." The New Palgrave Dictionary of Economics. "Econometrics. ^ Peter Kennedy (economist) (2003). 12.jstor.org/pss/1907538)-146]. see linear regression. Berger (2008). as described and cited in Pesaran (1987) above. D. citing Ragnar Frisch (1936). 162 (http://www.asp?ttype=2&tid=9577&mode=toc). "decision theory in econometrics. p. Samuelson and William D. "forecasting. McCullough and H. 10. Stone (1954).mit.com/article?id=pde2008_S000502&edition=current& q=statistics&topicid=&result_number=1) 5. 18th ed.org/wiki/Econometrics 2. (http://www." The New Palgrave Dictionary of Economics. "Report of the Evaluative Committee for Econometrica. pp. "statistical decision theory.dictionaryofeconomics." The New Palgrave Dictionary of Economics. (http://econ. 2nd Edition. • James O. p. ^ Greene 2010. [p p.duke.jstor." Econometrica 22(2)." Econometrica. 13. 8. 3. 6. p. ^ Kennedy 2003. ^ • H. 2nd Edition. ^ Geweke.edu/catalog/item/default. 133. 7. Abstract. ch.drexel. A. Abstract.pdf). 4. Horowitz & Pesaran 2008. 4(1)." Econometrica. "specification problems in econometrics. 2 (http://books. Economics. 2nd Edition. 9. ^ • Keisuke Hirano (2008). Abstract.
elsevier. Garnett. 30. ^ Card. 527-46 (http://faculty. 32. 3 (http://www. "The Causal Effect of Education on Earning".Description (http://www. v.com 10 of 13 15/03/2014 15:34 . ^ Pearl. ^ Guerre.com/wps/find/bookdescription. pp.. 34.org /pss/1803924). Quandt (1983). p.jstor. "Computational Methods for Macroeconometric Models. In Ashenfelter. 35.wiley.1111%2F1468-0262. I. description (http://www. ^ McCloskey (May 1985).com/science/handbooks /15734412/4) Robert F. ^ "The Econometrics Journal . ISBN 978-1-84720-776-0.00123 (http://dx. 62-64 References Handbook of Econometrics Elsevier. 1801–1863. What Do Economists Know? New Economics of Knowledge. description (http://www. D.asp?ref=1368-4221).sciencedirect. 1 (http://www. Engle and Daniel L.com /bw/journal. David (1999).org /10.Wiley Online Library" (http://www. ^ Stephen T. JSTOR 2298122 (//www.com/science/article/pii/S1573441283010168)-764.wikipedia.com /article?id=pde2008_C000559&edition=current&q=&result_number=1) • Richard E. O. pp. (2001). p. doi:10." ch." Handbook of Computational Economics. P. Edward (March 1983). Hajivassiliou (2008). ^ Rust. 25.v. 28.doi. v. Retrieved 2013-10-08.  (http://www.edu/Ziliak/doc/Size%20Matters%20Journal%20of%20SocioEconomics%20Ziliak%20and%20McCloskey. 31. 170 36. 29. (1994). M.com/science/article /pii/S1574002196010052143)-169. Edward (March 1983). Wiley.jstor.com/science/handbooks /15734412/2). "Let's Take the Con out of Econometrics" (http://www. Reasoning. Causality: Model.jstor. pp.Econometrics . Ziliak and Deirdre N.org/wiki/Econometrics 24. • Ray C. E. (http://www. John (1987). "Let's Take the Con out of Econometrics" (http://www.jstor. American Economic Review 75 (2).1111/1468-0262. 4 (http://www. Edward Elgar Publishing. Miller. v. (2000). ISBN 978-0-415-15260-0. ^ Hotz. ^ Leamer. (1986). (1984).sciencedirect.sciencedirect. "computational methods in econometrics. 1. ed.com/wps/find/bookdescription.org /pss/1803924). Q. 699 (http://www.org/stable /2298122). 1. Robert A. Links to volume chapter-preview links: Zvi Griliches and Michael D. Fair (1996). American Economic Review 73 (1): 34. 1999. ISBN 0444822895. Perrigne. Vuong. the free encyclopedia http://en. and Inference." The New Palgrave Dictionary of Economics. "Size Matters: The Standard Error of Regressions in the American Economic Review.dictionaryofeconomics. ^ Leamer.sciencedirect.pdf) (press +). "Optimal Nonparametric Estimation of First Price Auctions". in Handbook of Econometrics. Joseph. 2nd Edition. Swann.roosevelt.sciencedirect.org/stable/1911259).com/science/handbooks /15734412/3).. 27. Routledge. V. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher". JSTOR 1911259 (//www. Judea (2000). McCloskey (2004). Econometrica 55 (5): 999–1033.com. Handbook of Labor Economics. 33. v.elsevier. ^ Robert F.Wikipedia. Putting Econometrics in Its Place: A New Direction in Applied Economics.cws_home /601080/description#description). 12." Journal of Socio-economics. (1983). Review of Economic Studies 60 (3): 497–529. Intriligator. 2 (http://www.cws_home /601081/description#description). Abstract. ^ G.00123).com/science /handbooks/15734412/1). 33(5). Econometrica 68 (3): 525–574. Cambridge University Press. (1993). ^ • Vassilis A.. "Conditional Choice Probabilities and the Estimation of Dynamic Models". pp. "Computational Problems and Methods. v. Card. 26.elsevier. ed. McFadden. American Economic Review 73 (1): 43.sciencedirect. "The Loss Function has been mislaid: the Rhetoric of Significance Tests". ISBN 0521773628. 2008. Amsterdam: Elsevier.
1057%2F9780230226203. ISBN 978-1-4039-1799-7 Links (http://www. ISBN 978-0-262-61183-1. 5 (http://www. v. Palgrave Macmillan. "The Credibility Revolution in Empirical Economics: How Better Research Design Is Taking the Con out of Econometrics].) Econometric Analysis." Oxford Economic Papers (1989) 41#1 pp 189–214 Kelejian. Lawrence E. 2. (http://books.151000380&_alpha=& _acct=C000050221&_version=1&_userid=10&md5=10d43da5ed3104bf3d8bb99f72c80e11& refID=151000380#151000380) to first-page previews of 21 articles. Links to first-page chapter previews. Kennedy.edu/titles/6946.edu/titles/5386. (2009) v.org/article?id=pde2008_E000007). James D.com. New York: Oxford University Press. Econometric Theory and Methods.sciencedirect. Joel. 11 of 13 15/03/2014 15:34 . William H. 1.proxyau. and Kerry Patterson. John.com/books /p/princeton?id=B8_1UBmqVUoC&printsec=frontcover&cd=1&source=gbs_ViewAPI& hl=en#v=onepage&q&f=false) Hughes Hallett.com/books?id=gBsgr7BPJsoC&dq=econometrics&printsec=find& pg=PR5=false#v=onepage&q&f=false) (from The New Palgrave: A Dictionary of Economics. Palgrave Handbook of Econometrics: (2007) v.cws_home/601082/description#description).com/science/handbooks/01697161/11) International Encyclopedia of the Social & Behavioral Sciences (2001). Pesaran.aspx?pid=269866) to description and contents. Horowitz. doi:10.com/products /title.org/wiki/Econometrics /wps/find/bookdescription. (2007). (http://www. . Oates (1989. the free encyclopedia http://en.com/us/catalog/general/subject /Economics/Econometrics/~~/dmlldz11c2EmY2k9OTc4MDE5NTEyMzcyMg==?view=usa& ci=9780195123722#Description) Mills. MacKinnon (2004). Econometrics (1993). ISBN 0-691-01018-8 Description and contents links. "Econometrics" (http://www. v. Joshua & Pischke.palgrave.. Angrist.html) and preview. Cambridge. 6A (http://www.com/science?_ob=RefWorkIndexURL& _idxType=SC&_cdi=23486&_refWorkId=21&_explode=151000377. et al. 11. Steven N.aspx?PID=267962) to description and contents. Links (http://www.com/science/handbooks/15734412/5) James J..palgrave.Econometrics . "Econometrics and the Theory of Economic Policy: The Tinbergen-Theil Contributions 40 Years On. (2000) Econometrics. 1987). 3–30. (1994) Time Series Analysis.) Introduction to Econometrics.Wikipedia.doi." links (http://www. Article-preview links (http://books.sciencedirect. Princeton University Press.1057/9780230226203. Blume.0425 (http://dx. Description (http://press. Andrew J.cws_home/712946/description#description). eds.oup. 3rd ed.com/content/aea/jep/2010/00000024/00000002 /art00001) Eatwell. ed.sciencedirect. Prentice Hall. (http://www.dictionaryofeconomics. (http://press. Princeton University Press. (http://www. Heckman and Edward E.. (1990). Elsevier. 6B (http://www.com /wps/find/bookdescription. Applied Econometrics. John. Statistics. Greene. Fumio. and Wallace E. Description. Leamer. Hayashi. Geweke.sciencedirect.elsevier. v.0425). pp.google.google. Russell Davidson and James G.com/science/handbooks/15734412/6/part/PA) & v. Peter (2003).com/science/handbooks/15734412/6/part/PB) Handbook of Statistics. Hashem (2008). Harry H. Jörn Steffen (2010). In Durlauf.princeton.princeton.org /10. Abstract.wrlc. Mass: MIT Press.com/products/title. "Econometrics and Time Series. 1: Econometric Theoryv.sciencedirect.. 24(2). Econometrics: The New Palgrave. 4th ed. ed.wikipedia. Description (http://www. The New Palgrave Dictionary of Economics (Palgrave Macmillan).ingentaconnect. Terence C. A guide to econometrics. (1999.html) Hamilton.
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