Abstract
Econometrics can be used to answer many practical questions in economics and finance:
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Suppose you own a business. How might you use the previous 10 years’ worth of monthly sales data to predict next month’s sales?
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You wish to test whether the “Permanent income hypothesis” holds. Can you see whether consumption spending is a relatively constant fraction of national income?
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You are a financial researcher. You wish to determine whether gold prices lead stock prices, or vice versa. Is there a relationship between these variables? If so, can you use it to make money?
Answering each of these questions requires slightly different statistical apparatuses, yet they all fall under the umbrella of “time series econometrics.”
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03 April 2021
The book was inadvertently published without the data sets and a blurb on the cover and all had been corrected now:
Notes
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Acemoglu et al. (2000) argue that a colonizing country might negatively affect a colony’s legal and cultural institutions. To the extent that those institutions are still around today, the colonial history from dozens if not hundreds of years ago could have a lingering effect.
References
Acemoglu, D., Johnson, S., & Robinson, J. A. (2000). The colonial origins of comparative development: An empirical investigation (Technical report), National Bureau of Economic Research.
Azevedo, J. P. (2011). WBOPENDATA: Stata module to access world bank databases. Statistical Software Components S457234, Boston College Department of Economics.
Dicle, M. F., & Levendis, J. (2011). Importing financial data. Stata Journal, 11(4), 620–626.
Drukker, D. M. (2006). Importing federal reserve economic data. Stata Journal, 6(3), 384–386.
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Levendis, J.D. (2018). Introduction. In: Time Series Econometrics. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-98282-3_1
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DOI: https://doi.org/10.1007/978-3-319-98282-3_1
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