Ekonometrija

Ekonometrija se bavi primjenom statističkih metoda na ekonomske podatke.^[1] Ekonomisti koriste statistiku za testiranje svojih teorija ili pravljenje predviđanja budućih kretanja u ekonomiji. Pošto ekonomski podaci nisu eksperimentalne prirode, a nerijetko se javljaju i slučajnosti, u ekonometriji se koriste stohastički umjesto determinističkih modela.

Ekonometrija je „kvantitativna analiza stvarnih ekonomskih pojava zasnovana na istovremenom razvoju teorije i posmatranja, povezanih odgovarajućim metodama zaključivanja“.^[2] Uvodni udžbenik ekonomije opisuje ekonometriju kao omogućavanje ekonomistima „da obrade brdo podataka kako bi formulisali jednostavne odnose“.^[3] Jan Tinbergen je jedan od dva osnivača ekonometrije.^[4]^[5]^[6] Drugi, Ragnar Friš, takođe je skovao termin u smislu u kom se danas koristi.^[7]

Osnovni alat za ekonometriju je model višestruke linearne regresije.^[8] Ekonometrijska teorija koristi statističku teoriju i matematičku statistiku za procenu i razvoj ekonometrijskih metoda.^[9]^[10] Ekonometričari pokušavaju da pronađu procene koje imaju poželjna statistička svojstva uključujući nepristrasnost, efikasnost i doslednost. Primenjena ekonometrija koristi teorijsku ekonometriju i podatke iz stvarnog sveta za procenu ekonomskih teorija, razvoj ekonometrijskih modela, analizu ekonomske istorije i predviđanje.

Osnovni modeli: linearna regresija

Osnovni alat za ekonometriju je model višestruke linearne regresije.^[8] U savremenoj ekonometriji, drugi statistički alati se često koriste, ali je linearna regresija i dalje najčešće korišćena polazna tačka za analizu.^[8] Procena linearne regresije na dve varijable mogu se vizualizovati kao uklapanje linije kroz tačke podataka koje predstavljaju uparene vrednosti nezavisnih i zavisnih promenljivih.

Na primer, razmotrite Okunov zakon, koji povezuje rast BDP-a sa stopom nezaposlenosti. Ovaj odnos je predstavljen u linearnoj regresiji gde je promena stope nezaposlenosti ( $\Delta \ {\text{Незапосленост}}$ ) funkcija preseka ( $\beta _{0}$ ), data vrednost rasta BDP-a pomnožena koeficijentom nagiba $\beta _{1}$ i termin greške, $\varepsilon$ :

\Delta \ {\text{Незапосленост}}=\beta _{0}+\beta _{1}{\text{Раст}}+\varepsilon .

Nepoznati parametri $\beta _{0}$ i $\beta _{1}$ se mogu proceniti. Ovde se procenjuje da je $\beta _{0}$ 0,83 i $\beta _{1}$ se procenjuje na -1,77. To znači da ako se rast BDP-a poveća za jedan procentni poen, predviđa se pad stope nezaposlenosti za 1,77 * 1 poen, dok se ostalo drži konstantnim. Model bi se zatim mogao testirati na statističku značajnost u pogledu toga da li je povećanje rasta BDP-a povezano sa smanjenjem nezaposlenosti, kao što je pretpostavljeno. Ako se procena $\beta _{1}$ nije značajno razlikovala od 0, test ne bi uspeo da pronađe dokaze da su promene u stopi rasta i stopi nezaposlenosti bile povezane. Varijanca u predviđanju zavisne varijable (nezaposlenosti) kao funkcija nezavisne varijable (rast BDP) data je u polinomskim najmanjim kvadratima.

Istorija

Prednosti primjene matematike i statistike na oblast ekonomije su uočene vrlo brzo. U drugom dijelu 17. vijeka, Sir Vilijam Piti je 1676. godine objavio jedan veoma važan članak o metodološkim osnovama ekonometrije.^[11] Po Džejfiju^[12] Lion Valras, profesor na Univerzitetu Luizijane je prepoznat kao začetnik ekonomske teorije opšte ravnoteže koja se smatra teorijskom osnovom moderne ekonomije.

Dana 29. decembra 1930. godine u Klivlendu, grupa ekonomista, statističara i matematičara je osnovala „Društvo ekonometrije“ s ciljem promovisanja matematičkih i statističkih teorija u vezi s ekonomijom. Tada je osnovan dvomjesečni časopis „Econometrica“ koji se prvi put pojavio u januaru 1933. godine. Razvoj simultanih modela jednačina koje bi se mogle koristiti u vremenskim serijama za ekonomska predviđanja, bio je momenat kada je ekonometrija postala posebna oblast ekonomije. Simultani modeli su i danas veoma bitan dio ekonometrije.^[13]

Izvori

^ M. Hashem Pesaran (1987). "Econometrics," The New Palgrave: A Dictionary of Economics, v. 2, p. 8 [pp. 8–22]. Reprinted in J. Eatwell et al., eds. Econometrics: The New Palgrave. 1990. Tekst „pages1–34” ignorisan (pomoć) Abstract Arhivirano 18 maj 2012 na sajtu Wayback Machine (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran).
^ P. A. Samuelson, T. C. Koopmans, and J. R. N. Stone (1954). "Report of the Evaluative Committee for Econometrica," Econometrica 22(2), p. 142. [p p. 141-146], as described and cited in Pesaran (1987) above.
^ Paul A. Samuelson and William D. Nordhaus, 2004. Economics. 18th ed., McGraw-Hill, p. 5.
^ „1969 - Jan Tinbergen: Nobelprijs economie - Elsevierweekblad.nl”. elsevierweekblad.nl. 12. 10. 2015. Arhivirano iz originala 1. 5. 2018. g. Pristupljeno 1. 5. 2018. CS1 održavanje: Format datuma (veza)
^ Magnus, Jan & Mary S. Morgan (1987) The ET Interview: Professor J. Tinbergen in: 'Econometric Theory 3, 1987, 117–142.
^ Willlekens, Frans (2008). International Migration in Europe: Data, Models and Estimates. New Jersey. John Wiley & Sons: 117.
^ • 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. Arhivirano 18 maj 2012 na sajtu Wayback Machine
^ ^a ^b ^v Greene, William (2012). „Chapter 1: Econometrics”. Econometric Analysis (7th izd.). Pearson Education. str. 47—48. ISBN 9780273753568. „Ultimately, all of these will require a common set of tools, including, for example, the multiple regression model, the use of moment conditions for estimation, instrumental variables (IV) and maximum likelihood estimation. With that in mind, the organization of this book is as follows: The first half of the text develops fundamental results that are common to all the applications. The concept of multiple regression and the linear regression model in particular constitutes the underlying platform of most modeling, even if the linear model itself is not ultimately used as the empirical specification.”
^ Greene, William (2012). Econometric Analysis (7th izd.). Pearson Education. str. 34, 41—42. ISBN 9780273753568.
^ Wooldridge, Jeffrey (2012). „Chapter 1: The Nature of Econometrics and Economic Data”. Introductory Econometrics: A Modern Approach (5th izd.). South-Western Cengage Learning. str. 2. ISBN 9781111531041.
^ Petty, W.: Political arithmetic. In: William Petty, The Economic Writings. , vol 1. Kelley, New York, pp. 233–313 (1676)
^ Jaffé, W.: Walras, Léon. In: Sills, D.L. (ed.) International Encyclopedia of the Social Sciences, vol. 16. Macmillan and Free Press, New York, pp. 447–453 (1968)
^ Wonnacott, R.J., Wonnacott, T.H.: Econometrics. Wiley, New York (1970)

Literatura

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Spoljašnje veze

Journal of Financial Econometrics
Econometric Society
The Econometrics Journal
Journal of Financial Econometrics
The Econometrics Journal
Econometric Links Arhivirano na sajtu Wayback Machine (24. jun 2021)
Teaching Econometrics (Index by the Economics Network (UK))
Applied Econometric Association
The Society for Financial Econometrics Arhivirano na sajtu Wayback Machine (17. novembar 2012)
The interview with Clive Granger – Nobel winner in 2003, about econometrics
„Antoine Augustin Cournot, 1801-1877”. The History of Economic Thought Website. The New School for Social Research. Arhivirano iz originala 2000-07-09. g. Pristupljeno 2008-08-21.

[Pesaran-1] M. Hashem Pesaran (1987). "Econometrics," The New Palgrave: A Dictionary of Economics, v. 2, p. 8 [pp. 8–22]. Reprinted in J. Eatwell et al., eds. Econometrics: The New Palgrave. 1990. Tekst „pages1–34” ignorisan (pomoć) Abstract Arhivirano 18 maj 2012 na sajtu Wayback Machine (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran).

[2] P. A. Samuelson, T. C. Koopmans, and J. R. N. Stone (1954). "Report of the Evaluative Committee for Econometrica," Econometrica 22(2), p. 142. [p p. 141-146], as described and cited in Pesaran (1987) above.

[3] Paul A. Samuelson and William D. Nordhaus, 2004. Economics. 18th ed., McGraw-Hill, p. 5.

[4] „1969 - Jan Tinbergen: Nobelprijs economie - Elsevierweekblad.nl”. elsevierweekblad.nl. 12. 10. 2015. Arhivirano iz originala 1. 5. 2018. g. Pristupljeno 1. 5. 2018. CS1 održavanje: Format datuma (veza)

[5] Magnus, Jan & Mary S. Morgan (1987) The ET Interview: Professor J. Tinbergen in: 'Econometric Theory 3, 1987, 117–142.

[6] Willlekens, Frans (2008). International Migration in Europe: Data, Models and Estimates. New Jersey. John Wiley & Sons: 117.

[7] • 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. Arhivirano 18 maj 2012 na sajtu Wayback Machine

[Greene_Econometrics_–_multiple_linear_regression_model-8] v Greene, William (2012). „Chapter 1: Econometrics”. Econometric Analysis (7th izd.). Pearson Education. str. 47—48. ISBN 9780273753568. „Ultimately, all of these will require a common set of tools, including, for example, the multiple regression model, the use of moment conditions for estimation, instrumental variables (IV) and maximum likelihood estimation. With that in mind, the organization of this book is as follows: The first half of the text develops fundamental results that are common to all the applications. The concept of multiple regression and the linear regression model in particular constitutes the underlying platform of most modeling, even if the linear model itself is not ultimately used as the empirical specification.”

[Greene_Econometrics_–_mathematical_statistics_and_statistical_theory-9] Greene, William (2012). Econometric Analysis (7th izd.). Pearson Education. str. 34, 41—42. ISBN 9780273753568.

[Wooldridge_Econometrics_–_mathematical_statistics-10] Wooldridge, Jeffrey (2012). „Chapter 1: The Nature of Econometrics and Economic Data”. Introductory Econometrics: A Modern Approach (5th izd.). South-Western Cengage Learning. str. 2. ISBN 9781111531041.

[11] Petty, W.: Political arithmetic. In: William Petty, The Economic Writings. , vol 1. Kelley, New York, pp. 233–313 (1676)

[12] Jaffé, W.: Walras, Léon. In: Sills, D.L. (ed.) International Encyclopedia of the Social Sciences, vol. 16. Macmillan and Free Press, New York, pp. 447–453 (1968)

[13] Wonnacott, R.J., Wonnacott, T.H.: Econometrics. Wiley, New York (1970)

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