• Table of Contents
    • Abstract
    • Keywords
    • Article
      • 1 What is econometrics?
      • 2 Quantitative research in economics: historical backgrounds
      • 3 The birth of econometrics
      • 4 Early advances in econometric methods
        • 4.1 Identification of structural parameters
        • 4.2 Estimation and inference in simultaneous equation models
        • 4.3 Developments in time series econometrics
      • 5 Consolidation and applications
        • 5.1 Macroeconometric modelling
        • 5.2 Dynamic specification
        • 5.3 Techniques for short-term forecasting
      • 6 A new phase in the development of econometrics
      • 7 Rational expectations and the Lucas critique
        • 7.1 Model consistent expectations
        • 7.2 Detection and modelling of structural breaks
      • 8 VAR macroeconometrics
        • 8.1 Unrestricted VARs
        • 8.2 Structural VARs
        • 8.3 Structural cointegrating VARs
        • 8.4 Macroeconometric models with microeconomic foundations
      • 9 Model and forecast evaluation
      • 10 Microeconometrics: an overview
      • 11 Econometrics of panel data
      • 12 Nonparametric and semiparametric estimation
      • 13 Theory-based empirical models
      • 14 The bootstrap
      • 15 Programme evaluation and treatment effects
      • 16 Integration and simulation methods in econometrics
        • 16.1 Deterministic approximation of integrals
        • 16.2 Simulation approximation of integrals
        • 16.3 Simulation methods in non-Bayesian econometrics
        • 16.4 Simulation methods in Bayesian econometrics
      • 17 Financial econometrics
      • 18 Appraisals and future prospects
    • Bibliography
    • How to cite this article

econometrics

John Geweke and Joel Horowitz and Hashem Pesaran
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
Alternate versions available: 1987 Edition
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Abstract

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly. Major advances have taken place in the analysis of cross-sectional data by means of semiparametric and nonparametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledged and attempts have been made to take it into account either by integrating out its effects or by modelling the sources of heterogeneity when suitable panel data exist. The counterfactual considerations that underlie policy analysis and treatment valuation have been given a more satisfactory foundation. New time-series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Nonlinear econometric techniques are used increasingly in the analysis of cross-section and time-series observations. Applications of Bayesian techniques to econometric problems have been promoted largely by advances in computer power and computational techniques. The use of Bayesian techniques has in turn provided the investigators with a unifying framework where the tasks of forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process, thus providing a basis for ‘real time econometrics’.
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Keywords

acceptance sampling; adaptive expectations hypothesis; ARMA processes; asset pricing models; asset return volatility; auctions; Bachelier, L.; Bayesian computation; Bayesian econometrics; Bayesian inference; Benini, R.; binary logit and probit models; bootstrap; building cycle; bunch maps; causality in economics and econometrics; censored regression models; central limit theorems; cointegration; common factors; conditional hazard functions; conditional mean functions; conditional median functions; confluence analysis; convexity; correlation analysis; Cowles Commission; curse of dimensionality; Davenant, C.; diagnostic tests; discrete choice models; discrete response models; distributed lags; Douglas, P.H.; Duhem–Quine thesis; duration models; dynamic decision models; dynamic specification; dynamic stochastic general equilibrium models; Econometric Society; econometrics; economic distance; economic laws; Edgeworth expansions; Edgeworth, F. Y.; efficient market hypothesis; Engel curve; error correction models; Euler equations; experimental economics; financial econometrics; Fisher, I.; Fisher, R. A.; fixed effects and random effects; forecast error variances; forecast evaluation; forecasting; Frisch, R. A. K.; full information maximum likelihood; Galton, F.; Gaussian quadrature; generalized method of moments; geometric distributed lag model; Gibbs sampling; Haavelmo, T.; habit persistence; Hastings–Metropolis algorithm; hedonic prices; homogeneity; Hooker, R.H.; identification; impulse response analysis; indirect utility function; inference; instrumental variables; integration; inventory cycle; joint hypotheses; Juglar cycle; Juglar, C.; k-class estimators; kernel estimators; King, G.; Kitchin, J.; Kondratieff, N.; Koopmans, T. C.; Kuznets, S.; labour market search; Lagrange multiplier; latent variables; least absolute deviations estimators; likelihood ratio; limited information maximum likelihood; linear models; local linear estimation; logit models; long waves; longitudinal data; Lucas critique; macroeconometric models; Markov chain Monte Carlo methods; maximum likelihood; measurement; measurement errors; method of simulated moments; microeconometrics; microfoundations; misspecification; Mitchell, W. C.; model evaluation; model selection; model testing; model uncertainty; monotonicity; Monte Carlo simulation; Moore, H.L.; multicollinearity; multinomial probit model; National Bureau of Economic Research; nonlinear simultaneous equation models; non-nested tests; nonparametric models; observed variables; ordinary least squares; parameter uncertainty; Pearson K.; Petty, W.; Phillips curve; policy evaluation; political arithmeticians; probability; probability calculus; probability distribution; purchasing power parity; quantile functions; random assignment; random utility models; random variables; random walk theory; rational expectations; real time econometrics; regional migration; regression analysis; revealed preference theory; saddlepoint expansions; sampling theory; Schultz, H.; semiparametric estimation; sensitivity analysis; series estimators; significance tests; simulated method of moments; simulation methods; simultaneous equations models; simultaneous linear equations; social experimentation in economics; spatial econometrics; specification tests; splines; spurious correlation; state dependence; state space models; statistical inference; statistics and economics; stochastic models; stock return predictability; structural change; structural estimation; structural VAR; survival models; three-stage least squares; time-series analysis; Tinbergen, J.; Tobit models; treatment effect; truncated regression models; uncovered interest parity; unit roots; value distribution; vector autoregressions (VAR); Vining, R.; Waugh, F.; Weibull hazard model; Working, H.
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How to cite this article

Geweke, John, Joel Horowitz and Hashem Pesaran. "econometrics." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 23 July 2014 <http://www.dictionaryofeconomics.com/article?id=pde2008_E000007> doi:10.1057/9780230226203.0425

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