Econometric Modelling With Time Series: Specification Estimation And Testing (Themes In Modern Econometrics)

Econometrics is the science of using statistical methods to analyze economic data. It is a branch of economics that uses mathematical and statistical techniques to quantify economic relationships and to test economic theories. Econometrics is used to forecast economic outcomes, to evaluate the effectiveness of economic policies, and to make decisions about economic resource allocation.

In recent years, there have been a number of important developments in econometrics. These developments have led to new methods for specifying, estimating, and testing economic models. The purpose of this article is to provide an overview of some of the most important specification, estimation, and testing themes in modern econometrics.

Specification

Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics)

by Vance Martin

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Language	:	English
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The specification of an econometric model is the process of choosing the variables that will be included in the model and the functional form of the model. The choice of variables is determined by the economic theory that is being tested. The functional form of the model is determined by the nature of the economic relationship that is being studied.

Estimation

The estimation of an econometric model is the process of finding the values of the model's parameters. The parameters are the coefficients that determine the relationship between the variables in the model. The most common method of estimation is ordinary least squares (OLS). OLS is a method of finding the values of the parameters that minimize the sum of the squared residuals. The residuals are the differences between the actual values of the dependent variable and the values that are predicted by the model.

Testing

The testing of an econometric model is the process of evaluating the model's performance. The most common tests are the t-test and the F-test. The t-test is used to test the significance of individual parameters. The F-test is used to test the significance of the overall model.

Themes in Modern Econometrics

There are a number of themes that have emerged in modern econometrics. These themes include:

• The use of Bayesian methods. Bayesian methods are a class of statistical methods that use probability distributions to represent uncertainty. Bayesian methods have become increasingly popular in econometrics because they provide a more flexible and intuitive way to model uncertainty.
• The use of nonparametric methods. Nonparametric methods are a class of statistical methods that do not make any assumptions about the distribution of the data. Nonparametric methods have become increasingly popular in econometrics because they are more robust to departures from normality.
• The use of high-dimensional data. High-dimensional data are data that have a large number of variables. High-dimensional data have become increasingly common in econometrics because of the advent of new technologies that allow for the collection of large amounts of data.
• The use of machine learning methods. Machine learning methods are a class of statistical methods that can be used to learn from data. Machine learning methods have become increasingly popular in econometrics because they can be used to solve a wide variety of problems that are difficult to solve with traditional methods.

The developments in econometrics in recent years have led to a number of new methods for specifying, estimating, and testing economic models. These new methods have made it possible to analyze more complex economic relationships and to test more rigorous economic theories. As a result, econometrics has become an increasingly important tool for economists and policymakers.

Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics)

by Vance Martin

4.8 out of 5

Language	:	English
File size	:	69856 KB
Text-to-Speech	:	Enabled
Screen Reader	:	Supported
Enhanced typesetting	:	Enabled
Print length	:	925 pages

FREE