,Introductory Econometrics
Module Code: EF5154J
Academic Year:2023/2024
Lecturer: Dr. Marjan Zhaf
, What is Econometrics
The unifying methodology of modern econometric theory → Norwegian Trygve Haavelmo (1911 -
[winner of the 1989 Nobel Memorial Prize in Economic Sciences, for his seminal paper ‘The proba
approach in econometrics’, Econometrica (1944)].
Quantitative economic or financial economic models must necessarily be probability models (know
stochastic).
Deterministic models are deliberately inconsistent with observed financial economic quantities, an
incoherent to apply deterministic models to non-deterministic (i.e. stochastic) data.
Economic models should be explicitly designed to incorporate randomness; stochastic errors shou
simply added to deterministic models to make them random.
Once we accept that an economic model is a probability model, then an appropriate tool to
quantify/measure, estimate, and conduct inferences about the economy or any system (i.e. financ
portfolio comprised of financial assets) is through the powerful theory of mathematical statistics.
The appropriate method for a quantitative economic analysis follows from the probabilistic constr
the financial economic model.
Module Code: EF5154J
Academic Year:2023/2024
Lecturer: Dr. Marjan Zhaf
, What is Econometrics
The unifying methodology of modern econometric theory → Norwegian Trygve Haavelmo (1911 -
[winner of the 1989 Nobel Memorial Prize in Economic Sciences, for his seminal paper ‘The proba
approach in econometrics’, Econometrica (1944)].
Quantitative economic or financial economic models must necessarily be probability models (know
stochastic).
Deterministic models are deliberately inconsistent with observed financial economic quantities, an
incoherent to apply deterministic models to non-deterministic (i.e. stochastic) data.
Economic models should be explicitly designed to incorporate randomness; stochastic errors shou
simply added to deterministic models to make them random.
Once we accept that an economic model is a probability model, then an appropriate tool to
quantify/measure, estimate, and conduct inferences about the economy or any system (i.e. financ
portfolio comprised of financial assets) is through the powerful theory of mathematical statistics.
The appropriate method for a quantitative economic analysis follows from the probabilistic constr
the financial economic model.
