Econometrics Methodology
The application of statistics to economic models is commonly called econometrics. At one time there was little commonality between the fields of statistics and econometrics. From the point of view of the economist, statistics was primarily concerned with estimating and testing reduced-form relationships using Classical (objective) and Bayesian (subjective) approaches. Econometrics, on the other hand, concerned itself with structural relationships that described the macroeconomic interactions of sets of agents in the determination of equilibrium Gross Domestic Product and the microeconomic interactions of sets of agents in the determination of equilibrium prices and quantities in specific markets. Over time, statistics and econometrics moved closer together as practitioners in both disciplines learned from the other.
Ragnar Frisch is credited with coining the term `econometrics' and he is one of the founders of the Econometrics Society, see Christ (1983). Econometrics aims at giving empirical content to economic relationships. The three key ingredients are economic theory, economic data, and statistical methods. Neither `theory without measurement', nor `measurement without theory' are sufficient for explaining economic phenomena. It is as Frisch emphasized their union that is the key for success in the future development of econometrics.
Badi Baltagi is an expert on panel data methods. Briefly, the term “panel data” refers to the pooling of observations on a cross-section of households, countries, firms, etc. over several time periods. This can be achieved by surveying a number of households or individuals and following them over time. Baltagi has a leading econometrics textbook on panel data and over 100 publications in this area. These include econometric methods as well as economics applications. Some of his applications include: physician's and nurses Labor supply; as well as rational addiction to cigarettes and liquor. Productivity and technical change in electric utilities, as well as US airlines; Gasoline demand in the OECD; financial development and openness; and the effects of regional trade agreements on foreign direct investment, to mention a few. Recent papers include:
CPR Working Paper No. 123. Panel Data Inference under Spatial Dependence. Badi H. Baltagi and Alain Pirotte. March 2010. 38 pp.
CPR Working Paper No. 120. Health Care Expenditures and Income in the OECD Reconsidered: Evidence from Panel Data. Badi Baltagi and Francesco Moscone. January 2010. 24 pp.
CPR Working Paper No. 116. A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models. Badi H. Baltagi and Long Liu. July 2009. 9 pp.
CPR Working Paper No. 115. Testing the Fixed Effects Restrictions? A Monte Carlo Study of Chamberlain's Minimum Chi-Squared Test. Badi H. Baltagi, Georges Bresson, and Alain Pirotte. March 2009. 12 pp.
CPR Working Paper No. 113. A Generalized Spatial Panel Data Model with Random Effects. Badi H. Baltagi, Peter Egger, and Michael Pfafermayr. February 2009. 43 pp.
CPR Working Paper No. 112. Testing for Sphericity in a Fixed Effects Panel Data Model. Badi H. Baltagi, Qu Feng, and Chihwa Kao. July 2009. [Revised from February 2009. 31 pp.]
CPR Working Paper No. 111. Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model. Badi H. Baltagi, Byoung Cheol Jung, and Seuck Heun Song. December 2008. 53 pp.
William Horrace conducts research in the areas of applied and theoretical econometrics. Recent projects include exploring the probabilistic properties of multivariate truncated distributions and the large sample properties of estimators along spatial dimensions. His recent empirical projects focus on understanding production behavior and risk in various fisheries of the Bering Sea. Recent papers include:
CPR Working Paper No. 121. Alternative Technical Efficiency Measures: Skew, Bias, and Scale. Qu Feng and William C. Horrace. March 2010. 31 pp.
CPR Working Paper No. 117. The Value of Statistical Life: Pursuing the Deadliest Catch. Kurt E. Schnier, William C. Horrace, and Ronald G. Felthoven. October 2009. 47 pp.
Chihwa Kao is an econometrician whose current research is on econometrics involving large dimensional data set, e.g., estimation and testing for the cross-sectional dependence in panel data models. Recent papers include:
CPR Working Paper No. 112. Testing for Sphericity in a Fixed Effects Panel Data Model. Badi H. Baltagi, Qu Feng, and Chihwa Kao. July 2009. [Revised from February 2009. 31 pp.]
Thomas Kniesner does policy-relevant research at the nexus of econometrics, health economics, and labor economics. He has two ongoing general project areas: empirical research on how federal income tax reforms have affected the labor supply and economic well-being of American families; and improving the cost-effectiveness of workplace safety policy. Recent papers include:
CPR Working Paper No. 122. The Value of a Statistical Life: Evidence from Panel Date. Thomas J. Kniesner, W. Kip Viscusi, Christopher Woock and James P. Ziliak. March 2010. 41 pp.
CPR Working Paper No. 118. Policy Relevant Heterogeneity in the Value of Statistical Life: New Evidence from Panel Data Quantile Regressions. Thomas J. Kniesner, W. Kip Viscusi, and James P. Ziliak. October 2009. 32 pp. Forthcoming in Journal of Risk and Uncertainty 40(1), 2010.
Jan Ondrich continues his work with applied econometric analysis, focusing on the fields of labor economics, the demography of aging, and urban economics. The labor economics topics include 1) the impact of maternity leave legislation on the post-childbirth labor force participation of German women and 2) the role of housing wealth in the retirement behavior of spouses, for which he has funding from the Social Security Administration. His work on the demography of aging, together with Doug Wolf, is to develop prospective models in end-of-life changes in disability and functioning and is supported by NIA. The topics in urban economics include housing discrimination, teacher retention in urban schools, as well as the determinants of the location of foreign direct investment in China. He has recently finished a study to provide new estimates of discrimination in small business lending with Hu, Liu, and Yinger, with support from the Kauffman Foundation.
Christopher Rohlfs specializes in public sector applied microeconomics, especially related to national defense. His research interests include cost-benefit analyses of public policies and measuring the economic values of non-market amenities such as survival and freedom. In his dissertation, Rohlfs examined the cost of reducing fatalities in wartime, the economic cost of conscription, and the long-term effects of military service on violent and criminal behavior. He is currently involved in projects examining air bag usage in automobiles, the up-armoring of Humvees in Iraq, and the econometrics underlying hedonic estimation of the values of product attributes.
For more information about CPR programs and research projects, contact Peggy Austin. You may also obtain general information about CPR by calling +1 315-443-3114, or by sending an email to ctrpol@syr.edu.