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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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83.77*1+0. the expected value of the error term is zero. It is consistent if it converges to the true value as sample size gets larger. but linear regression is still the most frequently used starting point for an analysis. In modern econometrics. Gauss–Markov theorem The Gauss–Markov theorem shows that the OLS estimator is the best (minimum variance). the free encyclopedia http://en.Wikipedia. Ordinary least squares (OLS) is often used for estimation since it provides the BLUE or "best linear unbiased estimator" (where "best" means most efficient. other estimation techniques such as maximum likelihood estimation. classical or "frequentist" approaches. This means relationship between GDP growth and that if GDP growth increased by one percentage point. or generalized least squares are used. as hypothesized. and there is no perfect multicollinearity. Linearity 2 of 13 15/03/2014 15:34 . Here is Okun's law representing the estimated to be !1. the test would fail to find evidence that changes in the growth rate and unemployment rate were related. generalized method of moments.94 points is found using regression analysis. For example. : The unknown parameters and can be estimated.Econometrics .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. 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.83). The fitted line unemployment rate would be predicted to drop by . and it is efficient if the estimator has lower standard error than other unbiased estimators for a given sample size. (!1. If the estimate of were not significantly different from 0.org/wiki/Econometrics The basic tool for econometrics is the linear regression model. This relationship is represented in a linear regression where the change in unemployment rate ( ) is a function of an intercept ( ). and consistency. efficiency. Estimators that incorporate prior beliefs are advocated by those who favor Bayesian statistics over traditional. consider Okun's law. the the unemployment rate. which relates GDP growth to the unemployment rate. An estimator is unbiased if its expected value is the true value of the parameter. unbiased estimator) given the Gauss-Markov assumptions. unbiased estimator assuming the model is linear. errors are homoskedastic and not autocorrelated. a given value of GDP growth multiplied by a slope coefficient and an error term. Econometricians try to find estimators that have desirable statistical properties including unbiasedness. Theory See also: Estimation theory Econometric theory uses statistical theory to evaluate and develop econometric methods. When these assumptions are violated or other statistical properties are desired.wikipedia. other statistical tools are frequently used.
In such cases. Low income people generally spend a similar amount on food. The intercept may also be biased if there is a logarithmic transformation. in a regression on food expenditure and income. Expected error is zero The expected value of the error term is assumed to be zero. but the slope parameters will remain unbiased. so this assumption will be violated. The equation qualifies as linear while can be transformed to be linear by replacing (beta)^2 by another parameter. Santos Silva and Tenreyro. where beta(x) is a function of x. The multiplicative error term will not have a mean of 0. Spherical errors Error terms are assumed to be spherical otherwise the OLS estimator is inefficient. then the equation f(x)=c is the formula for a “ball” centered at " with radius # in n-dimensional space. Data transformations are often used to convert an equation into a linear form (see.org/wiki/Econometrics The dependent variable is assumed to be a linear function of the variables specified in the model.wikipedia.Wikipedia.Econometrics . For example. For example. the error is correlated with income. however. Heteroskedacity occurs when the amount of error is correlated with an independent variable. The mis-measurement will bias the estimation of the intercept parameter. This does not mean that there must be a linear relationship between the independent and dependent variables. 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. The specification must be linear in its parameters. say gamma. however. This assumption can be violated if the measurement of the dependent variable is consistently positive or negative. The independent variables can take non-linear forms as long as the parameters are linear. This assumption can also be violated in limited dependent variable models. the free encyclopedia http://en. The OLS estimator remains unbiased. both the intercept and slope parameters may be biased. The term "spherical errors" will describe the multivariate normal distribution: if in the multivariate normal density. 2006). Spherical errors occur when errors have both uniform variance (homoscedasticity) and are uncorrelated with each other. An equation with a parameter dependent on an independent variable does not qualify as linear. See the Cobb-Douglas equation above. while high income people may spend a very 3 of 13 15/03/2014 15:34 . for example y = alpha + beta(x) * x.
but most often they are with observational data. epidemiology. Instrumental variable techniques are commonly used to address this problem. sociology and political science. Full rank The sample data matrix must have full rank or OLS cannot be estimated. Autocorrelation may be the result of misspecification such as choosing the wrong functional form. There must be at least one observation for every parameter being estimated and the data cannot have perfect multicollinearity. analyzing economic history. such as astronomy. Methods See also: Methodology of econometrics Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories. as statistical offices improve their data.Econometrics . measurement error decreases. Economics often analyzes systems of equations and inequalities. Analysis of data from an observational study is guided by the study protocol.org/wiki/Econometrics large amount or as little as low income people spend.Wikipedia. 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. Autocorrelation is common in time series data where a data series may experience "inertia. rather than in controlled experiments. In these cases. and forecasting. Multicollinearity (as long as it is not "perfect") can be present resulting in a less efficient. Heteroskedacity can also be caused by changes in measurement practices. In this. such as supply and demand 4 of 13 15/03/2014 15:34 . although exploratory data analysis may by useful for generating new hypotheses. the free encyclopedia http://en. correcting the specification is one possible way to deal with autocorrelation. Exogeneity of independent variables This assumption is violated if the variables are endogenous. This assumption is violated when there is autocorrelation. In the presence of non-spherical errors. Econometrics may use standard statistical models to study economic questions. but still unbiased estimate." If a dependent variable takes a while to fully absorb a shock. 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. the design of observational studies in econometrics is similar to the design of studies in other observational disciplines. Spatial autocorrelation can also occur geographic areas are likely to have similar errors. Endogeneity can be the result of simultaneity. developing econometric models. For example.wikipedia. so the error term declines over time. the generalized least squares estimator can be shown to be BLUE. where causality flows back and forth between both the dependent and independent variable.
Such methods may allow researchers to estimate models and investigate their empirical consequences. Panel data sets contain both time-series and cross-sectional observations. Consequently. Instrumental variables In many econometric contexts. One of the fundamental statistical methods used by econometricians is regression analysis. These methods are analogous to methods used in other areas of science. For example. controlled and randomized experiments provide statistical inferences that may yield better empirical performance than do purely observational studies. cross-sectionally. and across some third dimension.org/wiki/Econometrics hypothesized to be in equilibrium. including two IV variants. Econometricians often seek illuminating natural experiments in the absence of evidence from controlled experiments. because the assumptions for valid use of the method are violated. Another concern is the numerical efficiency and accuracy of software. A third concern is also the usability of econometric software. Data Data sets to which econometric analyses are applied can be classified as time-series data. 5 of 13 15/03/2014 15:34 . Multi-dimensional panel data sets contain observations across time. Cross-sectional data sets contain observations at a single point in time. Experimental economics In recent decades. many individuals' incomes in a given year. the field of econometrics has developed methods for identification and estimation of simultaneous-equation models. and Three-Stage Least Squares (3SLS). simultaneousequation methods may be used to remedy similar problems. without directly manipulating the system. such as the field of system identification in systems analysis and control theory.wikipedia. Such concerns include mathematical well-posedness: the existence. the Survey of Professional Forecasters contains forecasts for many forecasters (cross-sectional observations). for example. For an economic model described by more than one equation. Time-series data sets contain observations over time. and multidimensional panel data. inflation over the course of several years.Wikipedia. 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. Two-Stage Least Squares (2SLS). One widely used remedy is the method of instrumental variables (IV). Here. cross-sectional data. uniqueness. the commonly-used ordinary least squares method may not recover the theoretical relation desired or may produce estimates with poor statistical properties. Regression methods are important in econometrics because economists typically cannot use controlled experiments.Econometrics . at many points in time (time series observations). panel data. the free encyclopedia http://en. and stability of any solutions to econometric equations. for example. econometricians have increasingly turned to use of experiments to evaluate the oftencontradictory conclusions of observational studies. and at multiple forecast horizons (a third dimension). Computational methods Computational concerns are important for evaluating econometric methods and for use in decision making.
where all bids are observed. bids shade the underlying valuations. Structural econometric analyses begin with an economic model that captures the salient features of the agents under investigation. 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. 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. One would like to estimate these valuations in order to understand the magnitude of profits each bidder makes. This can be done using simple non-parametric estimators. This will then allow the investigator to estimate the valuation distribution. The first requires the researcher to completely solve the model and then use maximum likelihood.Econometrics . it is necessary to have the valuation distribution in hand to engage in mechanism design. the free encyclopedia http://en. 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. The key difficulty with bidding data from these auctions is that bids only partially reveal information on the underlying valuations. 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. it is then possible to use the above relation and the estimated probability function and its derivative to point wise estimate the underlying valuation. If all bids are observed.Wikipedia. More importantly.wikipedia. The parameter measures the increase in the natural log 6 of 13 15/03/2014 15:34 . there have been many advances that can bypass the full solution of the model and that estimate models in two stages. Importantly. However.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. b is the bid. A good example of structural econometrics is in the estimation of first price sealed bid auctions with independent private values. In a first price sealed bid auction the expected payoff of a bidder is given by: where v is the bidder valuation. these methods allow the researcher to consider more complicated models with strategic interactions and multiple equilibria.
. badly specified econometric models may show a spurious correlation where two variables are correlated but causally unrelated. the Review of Economics and Statistics. the Journal of Econometrics. together with the assumption that is uncorrelated with education produces a misspecified model. those experiments cannot be conducted. An overview of econometric methods used to study this problem were provided by Card (1999). In such cases.nl/html/07479662. if is uncorrelated with years of education. Applied Econometrics and International Development. 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.wikipedia.org/wiki/Econometrics of the wage attributable to one more year of education. McCloskey concluded that economists report p values (following the Fisherian tradition of tests of significance of point null-hypotheses). especially for deciding which variables to include in a regression. yet render identifiable. neglecting concerns of type II errors. the Econometrics Journal. the Journal of Business & Economic Statistics. the effect of birthplace on wages may be falsely attributed to the effect of education on wages. the econometrician observes the years of education of and the wages paid to people who differ along many dimensions. under specific assumptions about the random variable . if those other variables were correlated with education. resulting in enormous numbers of models with similar explanatory ability but different covariates and regression estimates. the Journal of Applied Econometrics. In some cases. The most obvious way to control for birthplace is to include a measure of the effect of birthplace in the equation above. Another technique is to include in the equation additional set of measured covariates which are not instrumental variables. people born in certain places may have higher wages and higher levels of education. properly withhold 7 of 13 15/03/2014 15:34 . Instead. Unless the econometrician controls for place of birth in the above equation. In reality. economic variables cannot be experimentally manipulated as treatments randomly assigned to subjects. Econometric Theory.iospress. Given this kind of data. and the Journal of Economic and Social Measurement (http://www. the data set thus generated would allow estimation of the effect of changes in years of education on wages. In a study of the use of econometrics in major economics journals. For example. The term is a random variable representing all other factors that may have direct influence on wage. then the equation can be estimated with ordinary least squares. Regarding the plurality of models compatible with observational data-sets. economists fail to report estimates of the size of effects (apart from statistical significance) and to discuss their economic importance.Wikipedia. Edward Leamer urged that "professionals . If the researcher could randomly assign people to different levels of education.Econometrics . Exclusion of birthplace. Econometric Reviews. Limitations and criticisms See also: Criticisms of econometrics Like other forms of statistical analysis. Journals The main journals which publish work in econometrics are Econometrica.php). For example. economists rely on observational studies. The econometric goal is to estimate the parameters. the free encyclopedia http://en. often using data sets with many strongly associated covariates. Economists also fail to use economic reasoning for model selection..
and H. Hashem Pesaran (1987).org/wiki/Econometrics belief until an inference can be shown to be adequately insensitive to the choice of assumptions".Wikipedia. p.com/books?id=gBsgr7BPJsoC&dq=econometrics&printsec=find& pg=PA1=false#v=onepage&q&f=false) [pp. 1 (http://books. Geweke.wikipedia. p. Horowitz. (1990). 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. 8-22]. 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. Econometrics: The New Palgrave.google. Reprinted in J." The New Palgrave: A Dictionary of Economics. ^ M. Eatwell et al. the free encyclopedia http://en. P. eds. v. 2. 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.dictionaryofeconomics.Econometrics . J. Abstract (http://www. 8 of 13 15/03/2014 15:34 . 8 [pp.. Pesaran). 1-34]. "Econometrics.com /article?id=pde2008_E000007&edition=current&q=Econometrics&topicid=&result_number=2) (2008 revision by J.
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com/books?id=gBsgr7BPJsoC&dq=econometrics&printsec=find& pg=PR5=false#v=onepage&q&f=false) (from The New Palgrave: A Dictionary of Economics.com/us/catalog/general/subject /Economics/Econometrics/~~/dmlldz11c2EmY2k9OTc4MDE5NTEyMzcyMg==?view=usa& ci=9780195123722#Description) Mills. Palgrave Macmillan. Applied Econometrics.com /wps/find/bookdescription. Blume.google. John. Princeton University Press. doi:10. A guide to econometrics. v.com/products /title. Steven N.aspx?pid=269866) to description and contents.wrlc. and Kerry Patterson.wikipedia. Links to first-page chapter previews. Fumio. (http://press.com/science/handbooks/01697161/11) International Encyclopedia of the Social & Behavioral Sciences (2001).oup." Oxford Economic Papers (1989) 41#1 pp 189–214 Kelejian. "Econometrics and Time Series.com/science?_ob=RefWorkIndexURL& _idxType=SC&_cdi=23486&_refWorkId=21&_explode=151000377. "Econometrics" (http://www. Pesaran. pp. Statistics. Econometrics: The New Palgrave. Harry H. 6A (http://www.. In Durlauf. Palgrave Handbook of Econometrics: (2007) v.0425).proxyau. Mass: MIT Press.org/article?id=pde2008_E000007). Russell Davidson and James G.. ISBN 0-691-01018-8 Description and contents links.0425 (http://dx. ed. ISBN 978-0-262-61183-1.elsevier. Peter (2003). (1994) Time Series Analysis. 24(2). Kennedy. 11 of 13 15/03/2014 15:34 .sciencedirect. (2009) v.aspx?PID=267962) to description and contents.com/science/handbooks/15734412/6/part/PA) & v. The New Palgrave Dictionary of Economics (Palgrave Macmillan). . Horowitz. Heckman and Edward E. 6B (http://www. Links (http://www. Econometrics (1993). Elsevier. Princeton University Press. Econometric Theory and Methods.com/science/handbooks/15734412/6/part/PB) Handbook of Statistics. (http://books. Jörn Steffen (2010). (http://www. Andrew J. ISBN 978-1-4039-1799-7 Links (http://www. Hashem (2008). Cambridge.) Introduction to Econometrics.sciencedirect. James D.palgrave.com. Hayashi. (http://www. Joel.Econometrics . Geweke.) Econometric Analysis. 1987).com/science/handbooks/15734412/5) James J. New York: Oxford University Press.princeton. Description (http://www.. (2007). Prentice Hall.doi.edu/titles/5386. 2. Terence C. Leamer.1057/9780230226203. "The Credibility Revolution in Empirical Economics: How Better Research Design Is Taking the Con out of Econometrics]. (2000) Econometrics. 3–30. and Wallace E.sciencedirect.com/products/title.sciencedirect.html) and preview. 1: Econometric Theoryv.cws_home/712946/description#description).sciencedirect. Joshua & Pischke.1057%2F9780230226203. 4th ed." links (http://www. ed. 5 (http://www.princeton.org /10. Lawrence E.Wikipedia. Greene. Abstract. 11.org/wiki/Econometrics /wps/find/bookdescription. v. (1990).com/books /p/princeton?id=B8_1UBmqVUoC&printsec=frontcover&cd=1&source=gbs_ViewAPI& hl=en#v=onepage&q&f=false) Hughes Hallett.html) Hamilton. Oates (1989. eds. "Econometrics and the Theory of Economic Policy: The Tinbergen-Theil Contributions 40 Years On. et al. the free encyclopedia http://en. Description (http://press. v.palgrave.dictionaryofeconomics.ingentaconnect. Article-preview links (http://books.com/content/aea/jep/2010/00000024/00000002 /art00001) Eatwell. 1. (http://www.edu/titles/6946. Angrist. John..151000380&_alpha=& _acct=C000050221&_version=1&_userid=10&md5=10d43da5ed3104bf3d8bb99f72c80e11& refID=151000380#151000380) to first-page previews of 21 articles. MacKinnon (2004). William H.google. Description. (1999.cws_home/601082/description#description). 3rd ed.
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