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,

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 processesJan TinbergenRagnar Frisch1969 Lawrence Klein was awarded in 1980 for his computer modeling work in the field.Lawrence Klein1980 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.Daniel McFaddenJames Heckman2000 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.Robert EngleClive Granger2003autoregressive conditional heteroskedasticitycointegration Lars P. Hansen (2011): Generalized Method of Moments Christopher Sims (2013): Vector autorregressions Angus Deaton (2015): microeconometric analysis of household surveys.

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), Big Data (WSE), tésis. Maestria: Econometria Avanzada (WSE), Econometria de Series Temporales (Garegnani/Montes Rojas), Organización industrial (Brambilla), Topicos de econometria (Gabrielli / Herrera).

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 (2014, Mastering metrics), 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), El Lado Oscuro de la Econometria. Web: Nate Silver (FiveThirtyEight).