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1. Econometric Model Definition
2. Structural Econometric Modeling
3. Econometric Modeling Software

• MODLER is an econometric modeling software package. Operative Theoretical Economic Models for Teaching and Research.
• Draco Econometrics is a free open source econometric software for Windows. It lets you create or import dataset from Text, ODS, XlS, etc. You can create time series or panel data using various options like Column Operations, Row Operations, Sheet Operations, etc. It provides various techniques to study econometrics.

Please note that, We have divided the 'Econometrics' course in to TWO parts as follows:

1. Econometrics#1: Regression Modeling, Statistics with EViews

2. Econometrics#2: Econometrics Modeling and Analysis in EViews

This is the Second part and will cover Multivariate Modeling, Autocorrelation Techniques, VAR Modeling, Stationarity and Unit Root Testing, CoIntegration Testing and Volatility & ARCH Modeling.

This course aims to provide basic to intermediate skills on implementing Econometrics/Predictive modelling concepts using Eviews software. Whilst its important to develop understanding of econometrics/quantitative modelling concepts, its equally important to be able to implement it using suitable software packages. This course fills the gap between understanding the concepts and implementing them practically. The course works across multiple software packages such as Eviews, MS Office, PDF writers, and Paint. Econometric modeling course aims to provide quantitative/econometric modelling skills typically/specifically in Finance sector. Quantitative methods and predictive modelling concepts could be extensively used in understanding the financial markets movements, and studying tests and effects. The course picks theoretical and practical datasets for econometrics/quantitative/predictive analysis. Implementations are done using Eviews software. Observations, interpretations, predictions and conclusions are explained then and there on the examples as we proceed through the training. The course also emphasizes on the regression models, and AIMS to also cover Auto-Correlation, Co-Integration and ARCH (Auto Regressive Conditional Heteroscedasticity) models.

 Essential skillsets – Prior knowledge of Quantitative methods and MS Office, Paint

 Desired skillsets — Understanding of Data Analysis and VBA toolpack in MS Excel will be useful

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The course works across multiple software packages such as Eviews, MS Office, PDF writers, and Paint.

• Students
• Quantitative and Econometrics Modellers, Financial markets professionals

Econometric models are statistical models used in econometrics. An econometric model specifies the statistical relationship that is believed to hold between the various economic quantities pertaining to a particular economic phenomenon. An econometric model can be derived from a deterministiceconomic model by allowing for uncertainty, or from an economic model which itself is stochastic. However, it is also possible to use econometric models that are not tied to any specific economic theory.^[1]

A simple example of an econometric model is one that assumes that monthly spending by consumers is linearly dependent on consumers' income in the previous month. Then the model will consist of the equation

${\displaystyle C_t=a+b{Y}_{t-1}+e_t,}$

where C_t is consumer spending in month t, Y_t-1 is income during the previous month, and e_t is an error term measuring the extent to which the model cannot fully explain consumption. Then one objective of the econometrician is to obtain estimates of the parametersa and b; these estimated parameter values, when used in the model's equation, enable predictions for future values of consumption to be made contingent on the prior month's income.

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Formal definition[edit]

In econometrics, as in statistics in general, it is presupposed that the quantities being analyzed can be treated as random variables. An econometric model then is a set of joint probability distributions to which the true joint probability distribution of the variables under study is supposed to belong. In the case in which the elements of this set can be indexed by a finite number of real-valued parameters, the model is called a parametric model; otherwise it is a nonparametric or semiparametric model. A large part of econometrics is the study of methods for selecting models, estimating them, and carrying out inference on them.

The most common econometric models are structural, in that they convey causal and counterfactual information,^[2] and are used for policy evaluation. For example, an equation modeling consumption spending based on income could be used to see what consumption would be contingent on any of various hypothetical levels of income, only one of which (depending on the choice of a fiscal policy) will end up actually occurring.

Basic models[edit]

Some of the common econometric models are:

Use in policy-making[edit]

Comprehensive models of macroeconomic relationships are used by central banks and governments to evaluate and guide economic policy. One famous econometric model of this nature is the Federal Reserve Bank econometric model.

See also[edit]

References[edit]

1. ^Sims, Christopher A. (1980). 'Macroeconomics and Reality'. Econometrica. 48 (1): 1–48. CiteSeerX10.1.1.163.5425. doi:10.2307/1912017. JSTOR1912017.
2. ^Pearl, J. (2000). Causality: Models, Reasoning, and Inference. New York: Cambridge University Press. ISBN0521773628.

Econometric Model Definition

Further reading[edit]

• Asteriou, Dimitros; Hall, Stephen G. (2011). 'The Classical Linear Regression Model'. Applied Econometrics (Second ed.). Palgrave MacMillan. pp. 29–91. ISBN978-0-230-27182-1.
• Davidson, Russell; James G. MacKinnon (1993). Estimation and Inference in Econometrics. Oxford University Press. ISBN0-19-506011-3.
• Granger, Clive (1991). Modelling Economic Series: Readings in Econometric Methodology. Oxford University Press. ISBN0-19-828736-4.
• Pagan, Adrian; Aman Ullah (1999). Nonparametric Econometrics. Cambridge University Press. ISBN0-521-58611-9.
• Pedace, Roberto (2013). 'Building the Classical Linear Regression Model'. Econometrics for Dummies. Hoboken, NJ: Wiley. pp. 59–134. ISBN978-1-118-53384-0.

Structural Econometric Modeling

External links[edit]

• Econometrics lecture (introduction to regression models) on YouTube by Mark Thoma

Econometric Modeling Software