The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Econometrics

  • John Geweke
  • Joel Horowitz
  • Hashem Pesaran
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_188

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’.

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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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • John Geweke
    • 1
  • Joel Horowitz
    • 1
  • Hashem Pesaran
    • 1
  1. 1.