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Econometrics
Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8–22 Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1 p. 1–34Abstract (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). 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". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today. A basic tool for econometrics is the multiple linear regression model. ''Economet ...
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Ragnar Frisch
Ragnar Anton Kittil Frisch (3 March 1895 – 31 January 1973) was an influential Norwegian economist known for being one of the major contributors to establishing economics as a quantitative and statistically informed science in the early 20th century. He coined the term econometrics in 1926 for utilising statistical methods to describe economic systems, as well as the terms microeconomics and macroeconomics in 1933, for describing individual and aggregate economic systems, respectively. He was the first to develop a statistically informed model of business cycles in 1933. Later work on the model together with Jan Tinbergen won the two the first Nobel Memorial Prize in Economic Sciences in 1969. Frisch became dr.philos. with a thesis on mathematics and statistics at the University of Oslo in 1926''.'' After his doctoral thesis, he spent five years researching in the United States at the University of Minnesota and Yale University. After teaching briefly at Yale from 1930-3 ...
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Econometric Model
Econometric models are statistical models used in econometrics. An econometric model specifies the statistical relationship that is believed to hold between the various economic quantities pertaining to a particular economic phenomenon. An econometric model can be derived from a deterministic economic model by allowing for uncertainty, or from an economic model which itself is stochastic. However, it is also possible to use econometric models that are not tied to any specific economic theory. A simple example of an econometric model is one that assumes that monthly spending by consumers is linearly dependent on consumers' income in the previous month. Then the model will consist of the equation :C_t = a + bY_ + e_t, where ''C''''t'' is consumer spending in month ''t'', ''Y''''t''-1 is income during the previous month, and ''et'' is an error term measuring the extent to which the model cannot fully explain consumption. Then one objective of the econometrician is to obtain estim ...
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Jan Tinbergen
Jan Tinbergen (; ; 12 April 19039 June 1994) was a Dutch economist who was awarded the first Nobel Memorial Prize in Economic Sciences in 1969, which he shared with Ragnar Frisch for having developed and applied dynamic models for the analysis of economic processes. He is widely considered to be one of the most influential economists of the 20th century and one of the founding fathers of econometrics.Magnus, Jan & Mary S. Morgan (1987) ''The ET Interview: Professor J. Tinbergen'' in: 'Econometric Theory 3, 1987, 117-142. His important contributions to econometrics include the development of the first macroeconometric models, the solution of the identification problem, and the understanding of dynamic models. Tinbergen was a founding trustee of Economists for Peace and Security. In 1945, he founded the Bureau for Economic Policy Analysis (CPB) and was the agency's first director. Biography Tinbergen was the eldest of five children of Dirk Cornelis Tinbergen and Jeannette va ...
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Economic History
Economic history is the academic learning of economies or economic events of the past. Research is conducted using a combination of historical methods, statistical methods and the application of economic theory to historical situations and institutions. The field can encompass a wide variety of topics, including equality, finance, technology, labour, and business. It emphasizes historicizing the economy itself, analyzing it as a dynamic force and attempting to provide insights into the way it is structured and conceived. Using both quantitative data and qualitative sources, economic historians emphasize understanding the historical context in which major economic events take place. They often focus on the institutional dynamics of systems of production, labor, and capital, as well as the economy's impact on society, culture, and language. Scholars of the discipline may approach their analysis from the perspective of different schools of economic thought, such as mainstre ...
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Economic Forecasting
Economic forecasting is the process of making predictions about the economy. Forecasts can be carried out at a high level of aggregation—for example for GDP, inflation, unemployment or the fiscal deficit—or at a more disaggregated level, for specific sectors of the economy or even specific firms. Economic forecasting is a measure to find out the future prosperity of a pattern of investment and is the key activity in economic analysis. Many institutions engage in economic forecasting: national governments, banks and central banks, consultants and private sector entities such as think-tanks, companies and international organizations such as the International Monetary Fund, World Bank and the OECD. A broad range of forecasts are collected and compiled b"Consensus Economics" Some forecasts are produced annually, but many are updated more frequently. The economist typically considers risks (i.e., events or conditions that can cause the result to vary from their initial estimates) ...
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Multiple Linear Regression
In statistics, linear regression is a linear approach for modelling the relationship between a scalar response and one or more explanatory variables (also known as dependent and independent variables). The case of one explanatory variable is called ''simple linear regression''; for more than one, the process is called multiple linear regression. This term is distinct from multivariate linear regression, where multiple correlated dependent variables are predicted, rather than a single scalar variable. In linear regression, the relationships are modeled using linear predictor functions whose unknown model parameters are estimated from the data. Such models are called linear models. Most commonly, the conditional mean of the response given the values of the explanatory variables (or predictors) is assumed to be an affine function of those values; less commonly, the conditional median or some other quantile is used. Like all forms of regression analysis, linear regression focuses on ...
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Statistics
Statistics (from German: '' Statistik'', "description of a state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventional to begin with a statistical population or a statistical model to be studied. Populations can be diverse groups of people or objects such as "all people living in a country" or "every atom composing a crystal". Statistics deals with every aspect of data, including the planning of data collection in terms of the design of surveys and experiments.Dodge, Y. (2006) ''The Oxford Dictionary of Statistical Terms'', Oxford University Press. When census data cannot be collected, statisticians collect data by developing specific experiment designs and survey samples. Representative sampling assures that inferences and conclusions can reasonably extend from the sample to the population as a whole. An ...
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Richard Stone
Sir John Richard Nicholas Stone (30 August 1913 – 6 December 1991) was an eminent British economist, educated at Westminster School and Gonville and Caius College and King's College at the University of Cambridge. In 1984, he was awarded 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. Early life Richard Stone was born in London, UK on 30 August 1913. He received an English upper middle class education when he was a child as he attended Cliveden Place and Westminster School. However, he had not been taught mathematics and science until secondary school. When he was 17 years old, he followed his father to India as his father was appointed as a judge in Madras. From India, he visited many Asian countries: Malaya, Singapore, and Indonesia. After travelling for one year, he went back to London and studied at Gonville and Caius College, Cambridge i ...
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Tjalling Koopmans
Tjalling Charles Koopmans (August 28, 1910 – February 26, 1985) was a Dutch-American mathematician and economist. He was the joint winner with Leonid Kantorovich of the 1975 Nobel Memorial Prize in Economic Sciences for his work on the theory of the optimum allocation of resources. Koopmans showed that on the basis of certain efficiency criteria, it is possible to make important deductions concerning optimum price systems. Biography Koopmans was born in 's-Graveland, Netherlands. He began his university education at the Utrecht University at seventeen, specializing in mathematics. Three years later, in 1930, he switched to theoretical physics. In 1933, he met Jan Tinbergen, the winner of the 1969 Nobel Memorial Prize in Economics, and moved to Amsterdam to study mathematical economics under him. In addition to mathematical economics, Koopmans extended his explorations to econometrics and statistics. In 1936 he graduated from Leiden University with a PhD, under the dir ...
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Ordinary Least Squares
In statistics, ordinary least squares (OLS) is a type of linear least squares method for choosing the unknown parameters in a linear regression model (with fixed level-one effects of a linear function of a set of explanatory variables) by the principle of least squares: minimizing the sum of the squares of the differences between the observed dependent variable (values of the variable being observed) in the input dataset and the output of the (linear) function of the independent variable. Geometrically, this is seen as the sum of the squared distances, parallel to the axis of the dependent variable, between each data point in the set and the corresponding point on the regression surface—the smaller the differences, the better the model fits the data. The resulting estimator can be expressed by a simple formula, especially in the case of a simple linear regression, in which there is a single regressor on the right side of the regression equation. The OLS estimator is c ...
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Ceteris Paribus
' (also spelled '; () is a Latin phrase, meaning "other things equal"; some other English translations of the phrase are "all other things being equal", "other things held constant", "all else unchanged", and "all else being equal". A statement about a causal, empirical, or logical relation between two states of affairs is ''ceteris paribus'' if it is acknowledged that the statement, although usually accurate in expected conditions, can fail because of, or the relation can be abolished by, intervening factors. chapter 2 A ''ceteris paribus'' assumption is often key to scientific inquiry, because scientists seek to eliminate factors that perturb a relation of interest. Thus epidemiologists, for example, may seek to control independent variables as factors that may influence dependent variables—the outcomes of interest. Likewise, in scientific modeling, simplifying assumptions permit illustration of concepts considered relevant to the inquiry. An example in economics is " ...
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Economic Data
Economic data are data describing an actual economy, past or present. These are typically found in time-series form, that is, covering more than one time period (say the monthly unemployment rate for the last five years) or in cross-sectional data in one time period (say for consumption and income levels for sample households). Data may also be collected from surveys of for example individuals and firms or aggregated to sectors and industries of a single economy or for the international economy. A collection of such data in table form comprises a data set. Methodological economic and statistical elements of the subject include measurement, collection, analysis, and publication of data. 'Economic statistics' may also refer to a subtopic of official statistics produced by official organizations (e.g. statistical institutes, intergovernmental organizations such as United Nations, European Union or OECD, central banks, ministries, etc.). Economic data provide an empirical basis f ...
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