What is Econometrics?
Econometrics is the quantitative analysis of actual economic phenomena based on concurrent development of theory and observation, related by appropriate methods of inference. To simply put, it is a study process of mathematical statistics and statistical theory to extract simple economic relationships. The most basic tool is linear regression model.
The Econometric Society and The Econometrica depicts Econometrics as an amalgam of literary economics (theories), mathematics, and statistics, distinguishing it as a stand-alone category from Mathematical Economics or Statistical Economics.
That said, an econometric study is consisted of:
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Statement of theory or hypothesis
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Specification of the mathematical model of the theory
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Specification of the statistical, or econometric, model
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Obtaining the data
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Estimation of the parameters of the econometric model
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Hypothesis testing
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Forecasting or prediction
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Using the model for control or policy purposes.
What is this Series about?
This series will focus on the three main pieces.
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Econometric Models (Mathematical/Statistical Models)
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Econometrics Analysis (Statistical Tests/Interpretations)
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Influential Econometric Papers
Topics in Mind
Introduction to Econometrics
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Review of Linear Algebra
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Linear Regression
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BLUE estimators and Tests
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Intepretation of Coefficients (Alpha, Beta, Log)
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Significance Level and Hypothesis Tests
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Heteroskedasticity and Test
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Normality and Test
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Serial Correlation and Test
Impact Evaluation
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Potential Outcome and Ordinary Least Square (OLS)
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Omitted Variable Bias (OVB)
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Heterogeneous Treatment Effect (HTE)
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Difference-in-Differences (DiD)
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Instrumental Variable (IV)
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Intention-to-Treat Estimators (ITT)
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Propensity Score Matching (PSM)
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Regression Discontinuity (RD or RDD)
Time Series
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AR
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MA
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ARMA
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EMWA
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GARCH