Econometrics

307 Pages·2015·15.74 MB·English

Econometrics
Francis X. Diebold
University of Pennsylvania
February 17, 2015
1/307
Copyright (cid:13)c 2013 onward, by Francis X. Diebold.
This work is licensed under the Creative Commons
Attribution-NonCommercial-NoDerivatives 4.0 International
License. (Briefly: You can use, copy and distribute
non-commercially, so long as you give me attribution and do not
modify.) To view a copy of the license, visit
http://creativecommons.org/licenses/by-nc-nd/4.0.
The painting is Enigma, by Glen Josselsohn, from Wikimedia
Commons.
2/307
Introduction
3/307
Who Uses Econometrics
Statistical analysis of economic data:
(cid:73) Economics
(cid:73) Finance
(cid:73) Business
(cid:73) Consulting
(cid:73) Government
4/307
What Makes Econometrics Special
Econometrics is not just “statistics using economic data.”
Special issues related to the properties of economic data.
(cid:73) No experiments; only “observational data”
(cid:73) Special issues and features that arise routinely in economic
data
(cid:73) Predictive modeling, causal modeling
5/307
Types of Recorded Economic Data
(cid:73) Continuous vs. discrete
(cid:73) Time series vs. cross section
(cid:73) Panel
Complement: Explore nominal, ordinal, interval and ratio data
6/307
Web Data Resources
(cid:73) Resources for Economists (AEA)
(cid:73) FRED (Federal Reserve Economic Data)
(cid:73) National Bureau of Economic Research
(cid:73) Quandl
(cid:73) FRB Phila Real-Time Data Research Center
7/307
Software
(cid:73) R
CRAN
RStudio
R-bloggers
(cid:73) More: Eviews, Python
(cid:73) Still more: Econometrics Journal software links
8/307
Graphics
9/307
Graphics
Let’s have some fun and look at the pictures first...
10/307