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# Econometrics

Econometrics is the application of statistical methods to economic data and is described as the branch of economics that aims to give empirical content to economic relations. [1]

88 relations: Applied Econometrics and International Development, Augmented Dickey–Fuller test, Bayes estimator, Bayesian statistics, Bias of an estimator, Choice modelling, Clive Granger, Cognate, Comparison of statistical packages, Consistent estimator, Control theory, Cowles Foundation, David Card, Deirdre McCloskey, Dependent and independent variables, Econometric model, Econometric Reviews, Econometric Theory, Econometrica, Economic data, Economic equilibrium, Economic history, Economics (textbook), Economics Network, Edward E. Leamer, Efficiency (statistics), Empirical evidence, Estimation theory, Estimator, Experiment, Exploratory data analysis, Financial econometrics, Financial modeling, Frequentist probability, Generalized least squares, Generalized method of moments, Granger causality, Herman Wold, Jan Tinbergen, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Journal of Econometrics, Labour economics, Linear regression, M. Hashem Pesaran, Macroeconomic model, Mathematical statistics, Maximum likelihood estimation, Methodological individualism, Model selection, ... Expand index (38 more) »

## Applied Econometrics and International Development

Applied Econometrics and International Development (AEID) is an international journal of economics published by the Euro-American Association of Economic Development Studies.

## Augmented Dickey–Fuller test

In statistics and econometrics, an augmented Dickey–Fuller test (ADF) tests the null hypothesis that a unit root is present in a time series sample.

## Bayes estimator

In estimation theory and decision theory, a Bayes estimator or a Bayes action is an estimator or decision rule that minimizes the posterior expected value of a loss function (i.e., the posterior expected loss).

## Bayesian statistics

Bayesian statistics, named for Thomas Bayes (1701–1761), is a theory in the field of statistics in which the evidence about the true state of the world is expressed in terms of degrees of belief known as Bayesian probabilities.

## Bias of an estimator

In statistics, the bias (or bias function) of an estimator is the difference between this estimator's expected value and the true value of the parameter being estimated.

## Choice modelling

Choice modelling attempts to model the decision process of an individual or segment via revealed preferences or stated preferences made in a particular context or contexts.

## Clive Granger

Sir Clive William John Granger (4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to non-linear time series.

## Cognate

In linguistics, cognates are words that have a common etymological origin.

## Comparison of statistical packages

The following tables compare general and technical information for a number of statistical analysis packages.

## Consistent estimator

In statistics, a consistent estimator or asymptotically consistent estimator is an estimator—a rule for computing estimates of a parameter θ0—having the property that as the number of data points used increases indefinitely, the resulting sequence of estimates converges in probability to θ0.

## Control theory

Control theory in control systems engineering deals with the control of continuously operating dynamical systems in engineered processes and machines.

## Cowles Foundation

The Cowles Foundation for Research in Economics is an economic research institute at Yale University.

## David Card

David Edward Card (born 1956) is a Canadian labour economist and Professor of Economics at the University of California, Berkeley.

## Deirdre McCloskey

Deirdre Nansen McCloskey (born September 11, 1942), born Donald N. McCloskey, is the Distinguished Professor of Economics, History, English, and Communication at the University of Illinois at Chicago (UIC).

## Dependent and independent variables

In mathematical modeling, statistical modeling and experimental sciences, the values of dependent variables depend on the values of independent variables.

## Econometric model

Econometric models are statistical models used in econometrics.

## Econometric Reviews

Econometric Reviews is a scholarly econometrics journal.

## Econometric Theory

Econometric Theory is an economics journal specialising in econometrics, published by Cambridge Journals.

## Econometrica

Econometrica is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics.

## Economic data

Economic data or economic statistics are data (quantitative measures) describing an actual economy, past or present.

## Economic equilibrium

In economics, economic equilibrium is a state where economic forces such as supply and demand are balanced and in the absence of external influences the (equilibrium) values of economic variables will not change.

## Economic history

Economic history is the study of economies or economic phenomena of the past.

## Economics (textbook)

Economics is an introductory textbook by American economists Paul Samuelson and William Nordhaus.

## Economics Network

The Economics Network is one of the subject networks originally established by the Higher Education Academy (HEA).

## Edward E. Leamer

Edward Emory Leamer (born May 24, 1944) is a professor of economics and statistics at UCLA.

## Efficiency (statistics)

In the comparison of various statistical procedures, efficiency is a measure of quality of an estimator, of an experimental design, or of a hypothesis testing procedure.

## Empirical evidence

Empirical evidence, also known as sensory experience, is the information received by means of the senses, particularly by observation and documentation of patterns and behavior through experimentation.

## Estimation theory

Estimation theory is a branch of statistics that deals with estimating the values of parameters based on measured empirical data that has a random component.

## Estimator

In statistics, an estimator is a rule for calculating an estimate of a given quantity based on observed data: thus the rule (the estimator), the quantity of interest (the estimand) and its result (the estimate) are distinguished.

## Experiment

An experiment is a procedure carried out to support, refute, or validate a hypothesis.

## Exploratory data analysis

In statistics, exploratory data analysis (EDA) is an approach to analyzing data sets to summarize their main characteristics, often with visual methods.

## Financial econometrics

Financial econometrics is the application of statistical methods to financial market data.

## Financial modeling

Financial modeling is the task of building an abstract representation (a model) of a real world financial situation.

## Frequentist probability

Frequentist probability or frequentism is an interpretation of probability; it defines an event's probability as the limit of its relative frequency in a large number of trials.

## Generalized least squares

In statistics, generalized least squares (GLS) is a technique for estimating the unknown parameters in a linear regression model.

## Generalized method of moments

In econometrics and statistics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models.

## Granger causality

The Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another, first proposed in 1969.

## Herman Wold

Herman Ole Andreas Wold (25 December 1908 – 16 February 1992) was a Norwegian-born econometrician and statistician who had a long career in Sweden.

## Jan Tinbergen

Jan Tinbergen (April 12, 1903June 9, 1994) was an important Dutch economist.

## Journal of Applied Econometrics

The Journal of Applied Econometrics is a peer-reviewed academic journal covering econometrics, published by John Wiley & Sons.

## Journal of Econometrics

The Journal of Econometrics is a scholarly journal in econometrics.

## Labour economics

Labour economics seeks to understand the functioning and dynamics of the markets for wage labour.

## Linear regression

In statistics, linear regression is a linear approach to modelling the relationship between a scalar response (or dependent variable) and one or more explanatory variables (or independent variables).

## M. Hashem Pesaran

Mohammad Hashem Pesaran (born 30 March 1946) is a British-Iranian economist.

## Macroeconomic model

A macroeconomic model is an analytical tool designed to describe the operation of the economy of a country or a region.

## Mathematical statistics

Mathematical statistics is the application of mathematics to statistics, as opposed to techniques for collecting statistical data.

## Maximum likelihood estimation

In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of a statistical model, given observations.

## Methodological individualism

Methodological individualism is the requirement that causal accounts of social phenomena explain how they result from the motivations and actions of individual agents, at least in principle.

## Model selection

Model selection is the task of selecting a statistical model from a set of candidate models, given data.

## Natural experiment

A natural experiment is an empirical study in which individuals (or clusters of individuals) exposed to the experimental and control conditions are determined by nature or by other factors outside the control of the investigators, but the process governing the exposures arguably resembles random assignment.

## Natural logarithm

The natural logarithm of a number is its logarithm to the base of the mathematical constant ''e'', where e is an irrational and transcendental number approximately equal to.

## Null hypothesis

In inferential statistics, the term "null hypothesis" is a general statement or default position that there is no relationship between two measured phenomena, or no association among groups.

## Observational study

In fields such as epidemiology, social sciences, psychology and statistics, an observational study draws inferences from a sample to a population where the independent variable is not under the control of the researcher because of ethical concerns or logistical constraints.

## Okun's law

In economics, Okun's law (named after Arthur Melvin Okun, who proposed the relationship in 1962) is an empirically observed relationship between unemployment and losses in a country's production.

## Omitted-variable bias

In statistics, omitted-variable bias (OVB) occurs when a statistical model incorrectly leaves out one or more relevant variables.

## Ordinary least squares

In statistics, ordinary least squares (OLS) or linear least squares is a method for estimating the unknown parameters in a linear regression model.

## P-value

In statistical hypothesis testing, the p-value or probability value or asymptotic significance is the probability for a given statistical model that, when the null hypothesis is true, the statistical summary (such as the sample mean difference between two compared groups) would be the same as or of greater magnitude than the actual observed results.

## Parameter identification problem

In statistics and econometrics, the parameter identification problem is the inability in principle to identify a best estimate of the value(s) of one or more parameters in a regression.

## Paul Samuelson

Paul Anthony Samuelson (15 May 1915 – 13 December 2009) was an American economist and the first American to win the Nobel Memorial Prize in Economic Sciences.

## Phenomenon

A phenomenon (Greek: φαινόμενον, phainómenon, from the verb phainein, to show, shine, appear, to be manifest or manifest itself, plural phenomena) is any thing which manifests itself.

## Polynomial least squares

In mathematical statistics, polynomial least squares comprises a broad range of statistical methods for estimating an underlying polynomial that describes observations.

## Predetermined variables

Predetermined variables are variables that were determined prior to the current period.

## Quasi-experiment

A quasi-experiment is an empirical interventional study used to estimate the causal impact of an intervention on its target population without random assignment.

## Ragnar Frisch

Ragnar Anton Kittil Frisch (3 March 1895 – 31 January 1973) was a Norwegian economist and the co-recipient of the first Nobel Memorial Prize in Economic Sciences in 1969 (with Jan Tinbergen).

## Regression analysis

In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships among variables.

## Richard Stone

Sir John Richard Nicholas Stone (30 August 1913 – 6 December 1991) was an eminent British economist, educated at Westminster School, Cambridge University (Caius and King's), who in 1984 received the Nobel Memorial Prize in Economic Sciences for developing an accounting model that could be used to track economic activities on a national and, later, an international scale.

## Ronald Fisher

Sir Ronald Aylmer Fisher (17 February 1890 – 29 July 1962), who published as R. A. Fisher, was a British statistician and geneticist.

## Simultaneous equations model

Simultaneous equation models are a type of statistical model in the form of a set of linear simultaneous equations.

## Single-equation methods (econometrics)

A variety of methods are used in econometrics to estimate models consisting of a single equation.

## Spatial econometrics

Spatial econometrics is the field where spatial analysis and econometrics intersect.

## Spurious relationship

In statistics, a spurious relationship or spurious correlation is a mathematical relationship in which two or more events or variables are not causally related to each other, yet it may be wrongly inferred that they are, due to either coincidence or the presence of a certain third, unseen factor (referred to as a "common response variable", "confounding factor", or "lurking variable").

## Statistical hypothesis testing

A statistical hypothesis, sometimes called confirmatory data analysis, is a hypothesis that is testable on the basis of observing a process that is modeled via a set of random variables.

## Statistical model

A statistical model is a mathematical model that embodies a set of statistical assumptions concerning the generation of some sample data and similar data from a larger population.

## Statistical significance

In statistical hypothesis testing, a result has statistical significance when it is very unlikely to have occurred given the null hypothesis.

## Statistical theory

The theory of statistics provides a basis for the whole range of techniques, in both study design and data analysis, that are used within applications of statistics.

## Statistics

Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data.

## Stephen Ziliak

Stephen T. Ziliak (born October 17, 1963) is an American professor of economics whose research and essays span disciplines from statistics and beer brewing to medicine and poetry.

## Supply and demand

In microeconomics, supply and demand is an economic model of price determination in a market.

## System identification

The field of system identification uses statistical methods to build mathematical models of dynamical systems from measured data.

## Systems analysis

The Merriam-Webster dictionary defines system analysis as "the process of studying a procedure or business in order to identify its goals and purposes and create systems and procedures that will achieve them in an efficient way".

## The Econometrics Journal

The Econometrics Journal is a peer-reviewed academic journal that covers all areas of econometrics research, ranging from computational and theoretical to methodological topics.

## The New Palgrave Dictionary of Economics

The New Palgrave Dictionary of Economics (2008), 2nd ed., is an eight-volume reference work on economics, edited by Steven N. Durlauf and Lawrence E. Blume and published by Palgrave Macmillan.

## The Review of Economics and Statistics

The Review of Economics and Statistics is a peer-reviewed academic journal covering applied quantitative economics.

## Tjalling Koopmans

Tjalling Charles Koopmans (August 28, 1910 – February 26, 1985) was a Dutch American mathematician and economist.

## Type I and type II errors

In statistical hypothesis testing, a type I error is the rejection of a true null hypothesis (also known as a "false positive" finding), while a type II error is failing to reject a false null hypothesis (also known as a "false negative" finding).

## Unit root

In probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical inference involving time series models.

## William Nordhaus

William Dawbney "Bill" Nordhaus (born May 31, 1941) is an economist and Sterling Professor of Economics at Yale University, best known for his work in economic modeling and climate change.

## References

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