Econometria

ntroductory Econometrics

Based on the textbook by Ramanathan:

Introductory Econometrics

Robert M. Kunst

robert.kunst@univie.ac.at

University of Vienna

and

Institute for Advanced Studies Vienna

September 23, 2011

Introductory Econometrics University of Vienna and Institute for Advanced Studies ViennaIntroduction Repetition of statistical terminology Simple linear regression model

Outline

Introduction

Empirical economic research and econometrics

Econometrics

The econometric methodology

The data

The model

Repetition of statistical terminology

Sample

Parameters

Estimate

Test

p–values

Expectation and variance

Properties of estimators

Simple linear regression model

The descriptive linear regression problem

The stochastic linear regression model

Variances and covariances of the OLS estimator

Homogeneous linear regression

The t–test

Goodness of fit

The F-total–test

Introductory Econometrics University of Vienna and Institute for Advanced Studies ViennaIntroduction Repetition of statistical terminology Simple linear regression model

Empirical economic research and econometrics

Empirical economic research and econometrics

Empirical economic research is the internal wording for

introductory econometrics. Econometrics focuses on the interface

of economic theory and the actual economic world.

The information on economics comes in the shape of data.

This data (quantitative rather than qualitative) is the subject of

the analysis.

In current usage, methods for the statistical analysis of the data

are called ‘econometrics’, not for the gathering or compilation of

the data.

Introductory Econometrics University of Vienna and Institute for Advanced Studies ViennaIntroduction Repetition of statistical terminology Simple linear regression model

Econometrics

Econometrics

Word appears for the first time around 1900: analogy construction

to biometrics etc.

Founding of the Econometric Society and its journal Econometrica

(1930, Ragnar Frisch and others): mathematical and statistical

methods in economics.

Today, mathematical methods in economics (mathematical

economics) are no more regarded as ‘econometrics’, while they

continue to dominate the Econometric Society and also

Econometrica.

Introductory Econometrics University of Vienna and Institute for Advanced Studies ViennaIntroduction Repetition of statistical terminology Simple linear regression model

Econometrics

Central issues of econometrics

In the early days, the focus is on the collection of data (national

accounts).

Cowles Commission: genuine autonomous research on procedures

for the estimation of linear dynamic models for aggregate variables

with simultaneous feedback (private consumption → GDP →

income → private consumption): issues that are otherwise unusual

in the field of statistics.

In recent decades, a shift of attention toward microeconometric

analysis, decreasing dominance of the macroeconometric model:

microeconometrics is closer to the typical approach of statistics

used in other disciplines.

Introductory Econometrics University of Vienna and Institute for Advanced Studies ViennaIntroduction Repetition of statistical terminology Simple linear regression model

Econometrics

Selected textbooks of econometrics

◮ Ramanathan, R. (2002). Introductory Econometrics with

Applications. 5th edition, South-Western.

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