# Econometrics

**econometriceconometricianeconometric analysiseconometrymacroeconometricsapplied econometricseconometriciansmacroeconometric forecastingmicroeconometricsmodels, econometric**

Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.wikipedia

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### Jan Tinbergen

**JanTinbergenJ. Tinbergen**

Jan Tinbergen is considered by many to be one of the founding fathers of econometrics.

He is widely considered to be one of the most influential economists of the 20th century and one of the founding fathers of econometrics.

### Ragnar Frisch

**Ragnar Anton Kittil Frisch**

Ragnar Frisch is credited with coining the term in the sense in which it is used today.

He is known for being one of the founders of the discipline of econometrics, and for coining the widely used term pair macroeconomics/microeconomics in 1933.

### Econometric model

**econometric modelingeconometric modelseconometric**

Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories, developing econometric models, analysing economic history, and forecasting.

Econometric models are statistical models used in econometrics.

### Economic history

**economic historianeconomiceconomic historians**

Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories, developing econometric models, analysing economic history, and forecasting.

The quantitative—in this case, econometric—study of economic history is also known as cliometrics.

### Generalized method of moments

**GMM**

When these assumptions are violated or other statistical properties are desired, other estimation techniques such as maximum likelihood estimation, generalized method of moments, or generalized least squares are used.

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

### Economic data

**Dataeconomic statisticsGeneral**

Applied econometrics uses theoretical econometrics and real-world data for assessing economic theories, developing econometric models, analysing economic history, and forecasting.

Economic data provide an empirical basis for economic research, whether descriptive or econometric.

### Ordinary least squares

**OLSleast squaresOrdinary least squares regression**

Ordinary least squares (OLS) is often used for estimation since it provides the BLUE or "best linear unbiased estimator" (where "best" means most efficient, unbiased estimator) given the Gauss-Markov assumptions.

OLS is used in fields as diverse as economics (econometrics), data science, political science, psychology and engineering (control theory and signal processing).

### Parameter identification problem

**identificationidentification problemidentified**

Consequently, the field of econometrics has developed methods for identification and estimation of simultaneous-equation models.

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.

### Simultaneous equations model

**simultaneous equationsIndirect least squaresLimited information maximum likelihood**

Consequently, the field of econometrics has developed methods for identification and estimation of simultaneous-equation models.

They are often used in econometrics.

### Polynomial least squares

The variance in a prediction of the dependent variable (unemployment) as a function of the independent variable (GDP growth) is given in polynomial least squares.

Polynomial least squares has applications in radar trackers, estimation theory, signal processing, statistics, and econometrics.

### Journal of Econometrics

The main journals that publish work in econometrics are Econometrica, the Journal of Econometrics, the Review of Economics and Statistics, Econometric Theory, the Journal of Applied Econometrics, Econometric Reviews, the Econometrics Journal, Applied Econometrics and International Development, and the Journal of Business & Economic Statistics.

The Journal of Econometrics is a scholarly journal in econometrics.

### Supply and demand

**demandsupplylaw of supply and demand**

Economics often analyses systems of equations and inequalities, such as supply and demand hypothesized to be in equilibrium.

This can be done with simultaneous-equation methods of estimation in econometrics.

### Regression analysis

**regressionmultiple regressionregression model**

One of the fundamental statistical methods used by econometricians is regression analysis.

The subfield of econometrics is largely focused on developing techniques that allow researchers to make reasonable real-world conclusions in real-world settings, where classical assumptions do not hold exactly.

### The Review of Economics and Statistics

**Review of Economics and StatisticsReview of Economics and Statistics, TheThe Review of Economic Statistics**

The main journals that publish work in econometrics are Econometrica, the Journal of Econometrics, the Review of Economics and Statistics, Econometric Theory, the Journal of Applied Econometrics, Econometric Reviews, the Econometrics Journal, Applied Econometrics and International Development, and the Journal of Business & Economic Statistics.

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

### Econometrica

The main journals that publish work in econometrics are Econometrica, the Journal of Econometrics, the Review of Economics and Statistics, Econometric Theory, the Journal of Applied Econometrics, Econometric Reviews, the Econometrics Journal, Applied Econometrics and International Development, and the Journal of Business & Economic Statistics.

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

### The Econometrics Journal

**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.

### Augmented Dickey–Fuller test

**ADF testaugmentedaugmented Dickey–Fuller**

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.

### Journal of Applied Econometrics

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

### Choice modelling

**stated preferencechoice modelchoice models**

Indeed many alternative models exist in econometrics, marketing, sociometrics and other fields, including utility maximization, optimization applied to consumer theory, and a plethora of other identification strategies which may be more or less accurate depending on the data, sample, hypothesis and the particular decision being modelled.

### Edward E. Leamer

**Edward Leamer**

Regarding the plurality of models compatible with observational data-sets, Edward Leamer urged that "professionals ... properly withhold belief until an inference can be shown to be adequately insensitive to the choice of assumptions".

Leamer is the author of 4 books and over 100 articles on a range of subjects especially including applied econometrics and quantitative international economics.

### Financial econometrics

**financial econometric**

It differs from other forms of econometrics because the emphasis is usually on analyzing the prices of financial assets traded at competitive, liquid markets.

### Econometric Reviews

Econometric Reviews is a scholarly econometrics journal.

### Natural experiment

**natural experimentsnaturalexperimental variable**

Econometricians often seek illuminating natural experiments in the absence of evidence from controlled experiments.

Using statistical methods developed in econometrics, Angrist capitalized on the approximate random assignment of the Vietnam War draft lottery, and used it as an instrumental variable associated with eligibility (or non-eligibility) for military service.

### Single-equation methods (econometrics)

**Single equation methods (econometrics)General**

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

### Econometric Theory

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