FUNDAMENTOS DE

ECONOMETRÍA

Universidad de Piura
2021-I
Dr. Fernando Fernández Bazán
¿QUÉ HACEMOS LOS
ECONOMISTAS?
AUDIENCIA EN LONDRES
LA NUEVA CARA DE LA
ECONOMÍA
PALABRAS CLAVE EN
ECONOMÍA
 TEMAS EN LA CIMA

 2019. A. Banerjee y M. Kremer y E. Duflo: enfoque experimental

para combatir la pobreza global
 2018. P. Romer y W. Nordhaus: integración del progreso
tecnológico y cambio climático en el análisis económico
 2017. Richard Thaler: incorporación de supuestos más realísticos,
tomando en cuenta la psicología del comportamiento
 2016. O. Hart y B. Holstrom: disyuntivas en contratos
 2015. Angus Deaton: desigualdad de ingresos
 2014. Jean Tirole: poder de mercado y regulación
 ESTHER DUFLO

• “Si realmente queremos

cambiar el mundo,
necesitamos una mejor ciencia
económica para lograrlo.”
 ESTHER DUFLO (2)

• Questions of economics and

economic policy are central to the
present crisis. Is migration actually
threatening the livelihoods of poor
workers? Has international trade
worsened inequality?
• Why are our societies becoming
increasingly unequal, and what can
we (or should we) do about it?
How can society help all those
people whom the markets leave
behind?
 E. DUFLO (3)

• Good economics starts with some facts that are troubling,

makes some guesses based on what we already know about
human behaviour and theories that have been shown to
work, uses data to test those guesses, refines (or radically
alters) its line of attack based on the new set of facts and,
eventually, with some luck, gets to a solution.
 RAJ CHETTY

• Antiguamente: “si le haces una pregunta a tres economistas,

recibirás tres respuestas diferentes” (New York Times,
Octubre 2013)
• “What kind of science bestows its most distinguished honor
on scholars with opposing ideas?”
• “But the headline-grabbing differences between the
findings of these Nobel laureates are less significant than
the profound agreement in their scientific approach to
economic questions, which is characterized by
formulating and testing precise hypotheses.”
 ¿LA ECONOMÍA ES UNA
CIENCIA?
• “ I’m troubled by the sense
among skeptics that
disagreements about the
answers to certain questions
suggest that economics is a
confused discipline, a fake
science whose findings cannot
be a useful basis for making
policy decisions.”
• “That view is unfair and
uninformed. It makes demands
on economics that are not made
of other empirical disciplines,
like medicine, and it ignores an
emerging body of work,
building on the scientific
approach of last week’s
winners, that is transforming
economics into a field firmly
grounded in fact.”
 EL RETO FUNDAMENTAL QUE
ENFRENTAMOS LOS ECONOMISTAS
• “the fundamental challenge
faced by economists — and a
root cause of many
disagreements in the field — is
our limited ability to run
experiments.
• If we could randomize policy
decisions and then observe
what happens to the economy
and people’s lives, we would
be able to get a precise
understanding of how the
economy works and how to
improve policy. ”
 DOS GRANDES ALIADOS
• “economists have recently
begun to overcome these
challenges by developing
tools that approximate
scientific experiments to
obtain compelling answers to
specific policy questions.”
• And as the availability of data
increases, economics will continue
to become a more empirical,
scientific field. In the meantime, it
is simplistic and irresponsible to
use disagreements among
economists on a handful of difficult
questions as an excuse to ignore
the field’s many topics of
consensus and its ability to inform
policy decisions on the basis of
evidence instead of ideology.
 JOSHUA ANGRIST

• "If you ask me, economics has never been better," says Josh
Angrist, an MIT economist who led the study.
• "It's never been more useful. It's never been more scientific
and more evidence-based."
INFLUENCIA CRECIENTE EN
OTRAS CIENCIAS SOCIALES
 ¿QUÉ ES LA
ECONOMETRÍA?
STICK TO THE FACTS
¿DATOS?
¿QUÉ PATRONES EXPLICAN
LOS DATOS?
EDUCACIÓN E INGRESOS
LABORALES
CONSUMIDORES INFORMADOS
Y MARCAS “PREMIUM”
PESCA Y PIRATERÍA
PESCADORES O PIRATAS (2)
 ALGUNAS DEFINICIONES

“Econometrics is the use of statistical techniques to

understand economic issues and test theories. Without
evidence, economic theories are abstract and might have no
bearing on reality (even if they are completely rigorous).
Econometrics is a set of tools we can use to confront theory
with real-world data.” (Guy Judge)
 DICCIONARIO MERRIAM-
WEBSTER

• “the application of statistical methods to the study of 

economic data and problems”
• Mezcla de economía y métrica
• Proviene de la palabra “économétrie”, introducida por
Ragnar Frisch en 1926
• Otras palabras derivadas: econometrista (sustantivo),
econométrico (adjetivo), econométricamente (adverbio)
 IMF (2011)

• There are often competing models capable of explaining the same recurring
relationship, called an empirical regularity, but few models provide useful clues
to the magnitude of the association. Yet this is what matters most to
policymakers. When setting monetary policy, for example, central bankers need
to know the likely impact of changes in official interest rates on inflation and
the growth rate of the economy. It is in cases like this that economists turn to
econometrics.
• Econometrics uses economic theory, mathematics, and statistical inference to
quantify economic phenomena. In other words, it turns theoretical economic
models into useful tools for economic policymaking. The objective of
econometrics is to convert qualitative statements (such as “the relationship
between two or more variables is positive”) into quantitative statements (such
as “consumption expenditure increases by 95 cents for every one dollar
increase in disposable income”). 
 ANGRIST & PISCHKE

• Today’s econometric applications make heavy use of quasi-experimental

research designs and randomised trials of the sort once seen only in medical
research. In fact, the notion of a randomised experiment has become a
fundamental unifying concept for most applied econometric research. Even
where random assignment is impractical, the notion of the experiment we’d
like to run guides our choice of empirical questions and disciplines our use
of non-experimental tools and data.
• The path to understanding econometric tools begins with causal questions
motivated by economic reasoning. These questions are then answered with
data and a focused and carefully executed empirical analysis. What’s the
effect of health insurance on health? Does arresting batterers reduce spousal
abuse? Do peer effects matter for student achievement? Does central bank
liquidity save banks in a banking crisis? 
 PREGUNTAS

• ¿Cuál es el efecto de acceder a educación universitaria

sobre los salarios?
• ¿Cuál es el efecto de la inmigración en el mercado laboral?
• ¿Cuál es el efecto de un endurecimiento en las multas sobre
las infracciones de tránsito?
• ¿Cuál es el efecto de duplicar el sueldo de los maestros en
el aprendizaje estudiantil?
 ¿PARA QUÉ SIRVE?

• “En un mundo de información masiva, ¿cómo seleccionar

la que es veraz y útil para determinados fines? ¿cómo
descartar la que no lo es? ¿cómo entender el
funcionamiento de las nuevas formas de producción de
bienes, servicios, información y conocimiento basadas en la
robótica y en la inteligencia artificial?” JF Jimeno (Nada es
gratis, enero 2020)
UN EJEMPLO ACTUAL
 A. BULLARD: ELECCIONES
TRÁGICAS
(DIARIO PERU 21, 30 DE MARZO 2020)

• “Preferimos evitar muertos visibles y con nombre, que

muertos invisibles anónimos. Si las medidas de
confinamiento reducen el crecimiento económico morirá
gente, pues el PBI esta correlacionado con la expectativa
de vida. Morirá más gente por falta de alimento, educación
o salud. Y no necesariamente hoy. El efecto se verá en
varias décadas al futuro. Es posible que prefiramos reducir
la estadística visible de muertos por coronavirus que la
invisible gente que morirá por reducción del crecimiento.”
 REFERENCIAS

• Angrist et al (2020): “Inside job or Deep impact?; Journal

of economic literature, 58 (1), 2020
• Axbard (2016): “Income opportunities and sea piracy in
Indonesia: Evidence from satellite data”, AEA: Applied
Economics, 8(2), 2016
• Bronnnenberg et al (2015): “Do pharmacists buy Bayer?
Informed Shoppers and the Brand Premium”, Quarterly
Journal of Economics, 2015
CONTENIDOS
 INTRODUCCIÓN

• Repaso de probabilidad
• Repaso de estadística
• El ideal experimental
 IDENTIFICACIÓN

• Modelo lineal
• Modelo lineal general
• Modelos avanzados: Experimentos naturales, variables
instrumentales y regresiones discontinuas
 INFERENCIA

• Estimación de la varianza del modelo

• Contrastes de hipótesis
• Estimación bajo restricciones
• Estimación robusta de la varianza
• Mínimos Cuadrados Generalizados
EVALUACIÓN
 EVALUACIONES

• 3 controles de lectura (peso 1 cada uno): 31 de marzo, 28 de

abril y 26 de mayo
• 2 trabajos individuales (peso 1 cada uno): 12 de mayo y 9 de
junio
• Participación en clase (peso 1)
• 1 trabajo grupal (peso 2, no anulable): 16 de junio
• Examen final (peso 3, no anulable): por definir
• La nota mínima de los trabajos, controles o participación, se
puede anular.
BIBLIOGRAFÍA
 LIBROS

• Bibliografía Básica
• Stock y Watson: "Introducción a la econometría", 3ra
Edición, Madrid, 2012
• Angrist & Pischke: "Mostly harmless econometrics",
Princeton University Press, New Jersey, 2009
• Bibliografía Avanzada
• Greene, W.: "Econometric Analysis", Fifth Edition, 2003