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# Econometrics 1

Introductory Econometrics

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## The Nature of Econometrics and Economic Data

Stefan P. Schleicher University of Graz
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## Estimation of parameters of functions Testing hypotheses about parameters of functions

Testing of hypothesis

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## Steps in empirical economic analysis (1)

Econometric analysis
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## Hypothesis from economic theory about economic relationship between variables

Micro and macroeconomic theory Cross section Time series Combination of both Source of data

Data collection

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## Steps in empirical economic analysis (2)

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Econometric specification = econometric model = hypothesis about data generation process (DGP)

Functional form Numerical estimates for parameters based on data sample Testing suggested hypothesis about parameters based on data sample

Parameter estimation

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## Structure of data sample

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Cross-sectional data

(random) sample from underlying population Rarely independent over time Data frequency Cycles

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## Pooled cross-sectional and time series data Panel or longitudinal data

The same cross-sectional units are followed over a given time period
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## The fundamental controversies

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Ceteris paribus

other (relevant) factors being equal Direct causal relationships Endogenous (output) and exogenous (input) variables Theory of stochastic processes

Structural models

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## A brief history of econometrics (1)

Fertilizer experiments Ragnar Frisch Simon Kuznets John Maynard Keynes Jan Tinbergen Foundations of econometric theory

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## The anti-thesis of non-structural macro-econometric modelling

Stationary and non-stationary time-series models ARIMA, VAR Clive W. Granger and Robert F. Engle

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## David F. Hendry, Stephen G. Hall

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References

Textbook Wooldridge, Jeffrey M. (2005) Introductory Econometrics: A Modern Approach. South-Western College Publishing BPD 37.00

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