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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
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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 LeastSquares
1960 Chow: tests for structural
change
1964 Sargan: dynamic modelling
1969 Ramsey: RESET test
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1974 Heckman: self- selection
1974 McFadden, et al.: discrete
choice
1974 Granger & Newbold:
spurious regression
1978 Hausman: exogeneity test
1979 Godfrey- Breusch- PaganBera- 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
• Econometriclinks
www.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)