Comentarios Finales sobre Econometria

Walter Sosa Escudero

Sobre la definicion de econometria

• Integracion vertical de la estadistica debido a las caracteristicas particulares de la economia: fuertes dependencias (series temporales, modelos dinamicos), datos no muestrales e inhabilidad de experimentar y aislar efectos causales (variables explicativas estocasticas), errores como "heterogeneidad no observable", no "de medicion" (heterocedasticidad, no linealidad).

• Desarrollo conjunto de la econometria y de la economía. La econometria como parte de la economía,

Linea temporal de la econometria• 1944 Haavelmo: probability

approach• 1950 Cowles group: simultaneity,

identification, FIML• 1950 Durbin & Watson: serial

correlation test• 1953 Klein: A Textbook of

Econometrics• 1953 Theil: Two- Stage Least-

Squares• 1960 Chow: tests for structural

change• 1964 Sargan: dynamic modelling• 1969 Ramsey: RESET test

• 1974 Heckman: self- selection• 1974 McFadden, et al.: discrete

choice• 1974 Granger & Newbold:

spurious regression• 1978 Hausman: exogeneity test• 1979 Godfrey- Breusch- Pagan-

Bera- Engle: LM tests• 1980 Hendry: Alchemy or science:

Test (3x)• 1981 Granger: non- stationarity

and cointegration• 1982 Engle: ARCH• 1982 Hansen: GMM

Premios Nobel en econometria• Jan Tinbergen and Ragnar Frisch were awarded in 1969 (the first

Nobel Price for Economic Sciences) for having developed and applied dynamic models for the analysis of economic processes

• Lawrence Klein was awarded in 1980 for his computer modeling work in the field.

• Trygve Haavelmo was awarded in 1989 for his work on the foundations of econometrics.

• Daniel McFadden and James Heckman shared the award in 2000 for their work in microeconometrics.

• Robert Engle and Clive Granger were awarded in 2003 for work on analysing economic time series. Engle pioneered the method of autoregressive conditional heteroskedasticity (ARCH) and Granger the method of cointegration.

Trabajos en econometria

• Sector público: analisis de encuestas de hogares, pronosticos monterarios y reales, evaluación de programas sociales.

• Sector privado: modelos de demanda, precios de transferencia, pronostico de variables de empresa, aplicaciones en finanzas.

Como seguir...

• Cursos: Economia de la Distribucion (Gasparini), Economia Internacional Monetaria (Kawamura), Economia Aplicada (Rossi), Economia Laboral (Cruces), tésis.

• Maestria: Econometria Avanzada (WSE), Microeconometria (Galiani), Econometria de Series Temporales (Garegnani/Montes Rojas), Organización industrial (Brambilla)

Econometria en internet• Econometriclinkswww.feweb.vu.nl/econometriclinks

• Econometric Resources on the Internet: www.oswego.edu/~kane/econometrics

• ELSA (Econometrics Lab Software Archive, Berkeley): http://emlab.berkeley.edu

• Econometria Avanzada (Facebook) http://www.facebook.com/groups/econometriaudesa/

Recomendaciones bibliograficas• Basico: Wooldridge (2002, Introduction to Econometrics: A Modern

Approach). Kennedy (2001, A Guide to Econometrics).• Intermedio: Greene (2001, Econometric Analysis).• Avanzado: Davidson y MacKinnon (2004, Econometric Theory and

Methods).• Micro: Deaton (1997, The Analysis of Household Surveys). Angrist y

Pischke (2009, Mostly Harmless Econometrics), Duflo y Mullainathan (2008, Poor Economics)

• Macro: Enders (2004, Applied Econometric Time Series), Favero (2000, Macroeconometric Analysis). Easterly (2001, The Elusive Quest for Growth). Acemoglu y Robinson (2012, Why Nations Fail)

• Finanzas: Cambell, Lo y MacKinlay (1997, The Econometrics of Financial Markets), Malkiel (2003, A Random Walk Down Wall Street).

• Cuestiones sociales: Gasparini, Sosa Escuedero y Cicowiez, 2013, Pobreza y Desigualdad en America Latina. Conceptos, Herramientas y Aplicaciones, Ed. Temas)

• Historia: Stigler (1999, Statistics on the Table).• Divulgacion: Campanario y Lousteau (2012, Otra Vuelta a la

Economia), Silver (2012, The Signal and The Noise), Diez Mil Palabras: La Estadistica es La Gramàtica del Futuro)