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