Econometrics intro - lecture 1

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what is econometrics?
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Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.
More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference".
Econometrics allows economists "to sift through mountains of data to extract simple relationships".
microeconometrics
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analysis of cross section and panel data and by its focus on individual consumers, firms, and micro-level decision makers.
Practitioners rely heavily on the theoretical tools of microeconomics including utility maximization, profit maximization, and market equilibrium.
Do smaller class sizes bring real benefits in student performance? Does the presence of health insurance induce individuals to make heavier use of the health care system?
Macroeconometrics
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It is involved in the analysis of time-series data, usually of broad aggregates such as price levels, the money supply, exchange rates, output, investment, economic growth and so on.
Macroeconomic projections (forecasts) as well as assessment of effects of economic policies are the most important outcomes.
Some modern approaches utilise microfundations, however the final model aggregates decisions of individuals.
Financial econometrics
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It is concerned with long time-series data and occasionally vast panel data sets, but with a sharply focused orientation toward models of volatility of the financial returns.
The issue of particular interest is the measurement of risk and its determinants.
What is time series data?
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s a sequence of data points indexed in time order.
successive measurements made from the same source over a time interval and used to track change over time.
example: weather forecast
panel data vs time data
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time series focuses on a single individual at multiple time intervals while panel data focuses on multiple individuals at multiple time intervals
panel data
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observations about different cross sections across time.
Focuses on multiple individuals at multiple time intervals
examples: GDP across multiple countries, Unemployment across different states,
theoretical econometrics
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theorists develop new techniques for estimation and hipothesis testing and analyze the consequence of applying those methods
The distinction is far from sharp; practitioners routinely develop new analytical tools for the purposes of the study that they are involved in.
applied econometrics
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using those methods and teh analysis of data (real world and simluated)
The distinction is far from sharp; practitioners routinely develop new analytical tools for the purposes of the study that they are involved in.

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