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Comentarios Finales sobre Econometria

Comentarios Finales sobre Econometria. Walter Sosa Escudero. Sobre la definicion de econometria.

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Comentarios Finales sobre Econometria

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  1. Comentarios Finales sobre Econometria Walter Sosa Escudero

  2. 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,

  3. 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 Linea temporal de la econometria

  4. 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.

  5. 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.

  6. 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)

  7. Econometria en internet • Econometriclinkswww.feweb.vu.nl/econometriclinks • EconometricResourcesonthe Internet: www.oswego.edu/~kane/econometrics • ELSA (EconometricsLab Software Archive, Berkeley): http://emlab.berkeley.edu • Econometria Avanzada (Facebook) http://www.facebook.com/groups/econometriaudesa/

  8. 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)

  9. 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)

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