Econometrics

For broader coverage of this topic, see Mathematical economics.

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Econometrics is an application of statistical methods to economic data in order to give empirical content to economic relationships.[1] 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."[2] An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships."[3] Jan Tinbergen is one of the two founding fathers of econometrics.[4][5][6] The other, Ragnar Frisch, also coined the term in the sense in which it is used today.[7]

A basic tool for econometrics is the multiple linear regression model.[8] Econometric theory uses statistical theory and mathematical statistics to evaluate and develop econometric methods.[9][10] Econometricians try to find estimators that have desirable statistical properties including unbiasedness, efficiency, and consistency. Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories, developing econometric models, analysing economic history, and forecasting.

  1. ^ M. Hashem Pesaran (1987). "Econometrics", The New Palgrave: A Dictionary of Economics, v. 2, p. 8 [pp. 8–22]. Reprinted in J. Eatwell et al., eds. (1990). Econometrics: The New Palgrave, p. 1 Archived 15 March 2023 at the Wayback Machine [pp. 1–34]. Abstract Archived 18 May 2012 at the Wayback Machine (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran).
  2. ^ P. A. Samuelson, T. C. Koopmans, and J. R. N. Stone (1954). "Report of the Evaluative Committee for Econometrica", Econometrica 22(2), p. 142. [p p. 141-146], as described and cited in Pesaran (1987) above.
  3. ^ Paul A. Samuelson and William D. Nordhaus, 2004. Economics. 18th ed., McGraw-Hill, p. 5.
  4. ^ "1969 - Jan Tinbergen: Nobelprijs economie - Elsevierweekblad.nl". elsevierweekblad.nl. 12 October 2015. Archived from the original on 1 May 2018. Retrieved 1 May 2018.
  5. ^ Magnus, Jan & Mary S. Morgan (1987) The ET Interview: Professor J. Tinbergen in: 'Econometric Theory 3, 1987, 117–142.
  6. ^ Willlekens, Frans (2008) International Migration in Europe: Data, Models and Estimates. New Jersey. John Wiley & Sons: 117.
  7. ^ • H. P. Pesaran (1990), "Econometrics", Econometrics: The New Palgrave, p. 2 Archived 15 March 2023 at the Wayback Machine, citing Ragnar Frisch (1936), "A Note on the Term 'Econometrics'", Econometrica, 4(1), p. 95.
        • Aris Spanos (2008), "statistics and economics", The New Palgrave Dictionary of Economics, 2nd Edition. Abstract. Archived 18 May 2012 at the Wayback Machine
  8. ^ Cite error: The named reference Greene Econometrics – multiple linear regression model was invoked but never defined (see the help page).
  9. ^ Greene, William (2012). Econometric Analysis (7th ed.). Pearson Education. pp. 34, 41–42. ISBN 9780273753568.
  10. ^ Wooldridge, Jeffrey (2012). "Chapter 1: The Nature of Econometrics and Economic Data". Introductory Econometrics: A Modern Approach (5th ed.). South-Western Cengage Learning. p. 2. ISBN 9781111531041.