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econometrics : ウィキペディア英語版
econometrics

Econometrics is the application of mathematics, statistical methods, and computer science, to economic data and is described as the branch of economics that aims to give empirical content to economic relations.〔M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 (8-22 ). Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave'', (p. 1 ) (1-34 ). (Abstract ) (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran).〕 More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference."〔P. A. Samuelson, T. C. Koopmans, and J. R. N. Stone (1954). "Report of the Evaluative Committee for ''Econometrica''," ''Econometrica'' 22(2), p. 142. , as described and cited in Pesaran (1987) above.〕 An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships."〔Paul A. Samuelson and William D. Nordhaus, 2004. ''Economics''. 18th ed., McGraw-Hill, p. 5.〕 The first known use of the term "econometrics" (in cognate form) was by Polish economist Paweł Ciompa in 1910.〔http://www.dziejekrakowa.pl/biogramy/index.php?id=516〕 Ragnar Frisch is credited with coining the term in the sense in which it is used today.〔• H. P. Pesaran (1990), "Econometrics," ''Econometrics: The New Palgrave'', (p. 2 ), citing Ragnar Frisch (1936), "A Note on the Term 'Econometrics'," ''Econometrica'', 4(1), p. 95.
   • Aris Spanos (2008), "statistics and economics," ''The New Palgrave Dictionary of Economics'', 2nd Edition. (Abstract. )〕
==Basic econometric models: linear regression==
The basic tool for econometrics is the linear regression model. In modern econometrics, other statistical tools are frequently used, but linear regression is still the most frequently used starting point for an analysis.〔Greene (2012), 12.〕 Estimating a linear regression on two variables can be visualized as fitting a line through data points representing paired values of the independent and dependent variables.
For example, consider Okun's law, which relates GDP growth to the unemployment rate. This relationship is represented in a linear regression where the change in unemployment rate (\Delta\ \text) is a function of an intercept ( \beta_0 ), a given value of GDP growth multiplied by a slope coefficient \beta_1 and an error term, \varepsilon:
: \Delta\ \text = \beta_0 + \beta_1\text + \varepsilon.
The unknown parameters \beta_0 and \beta_1 can be estimated. Here \beta_1 is estimated to be −1.77 and \beta_0 is estimated to be 0.83. This means that if GDP growth increased by one percentage point, the unemployment rate would be predicted to drop by 1.77 points. The model could then be tested for statistical significance as to whether an increase in growth is associated with a decrease in the unemployment, as hypothesized. If the estimate of \beta_1 were not significantly different from 0, the test would fail to find evidence that changes in the growth rate and unemployment rate were related. The variance in a prediction of the dependent variable (unemployment) as a function of the independent variable (GDP growth) is given in polynomial least squares.

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