【Econometrics】 What is Econometrics?

What is Econometrics?

 

Econometrics is the quantitative analysis of actual economic phenomena based on concurrent development of theory and observation, related by appropriate methods of inference. 

 

To simply put, it is a study process of mathematical statistics and statistical theory to extract simple economic relationships.

 

The most basic tool is linear regression model.

 

The Econometric Society and The Econometrica depicts Econometrics as an amalgam of literary economics (theories), mathematics, and statistics, distinguishing it as a stand-alone category from Mathematical Economics or Statistical Economics.

 

That said, an econometric study is consisted of: 

 

1. Statement of theory or hypothesis

2. Specification of the mathematical model of the theory

3. Specification of the statistical, or econometric, model

4. Obtaining the data

5. Estimation of the parameters of the econometric model

6. Hypothesis testing

7. Forecasting or prediction

8. Using the model for control or policy purposes.

 

 

What is this Series about?

 

This series will focus on the three main pieces.

 

Econometric Models
(Mathematical/Statistical Models)

 

Econometrics Analysis

(Statistical Tests/Interpretations)

 

and 

 

Influential Econometric Papers

 

 

 

Topics in Mind

 

Basic Linear Algebra & Regression

 

Significance Level & Tests

 

Heteroskedasticity

 

Potential Outcomes & Ordinary Least Square (OLS) Regression

 

Interpretation of Coefficients: Alpha, Beta, Logarithmic, 

 

Omitted Variable Bias (OVB)

 

Heterogeneous Treatment Effect (HTE)

 

Difference-in-Differences (DiD)

 

Instrumental Variable (IV)

 

Intention-to-Treat Estimators (ITT)

 

Propensity Score Matching (PSM)

 

Regression Discontinuity (RD)

 

Time Series Models: AR, MA, ARMA, EMWA, GARCH

 

...