Econometric Data Science
Econometric Data Science Francis X. Diebold University of Pennsylvania October 22, 2019 1 / 280 Copyright c 2013-2019, by Francis X. Diebold. All rights reserved. All materials are freely available for your use, but be warned: they are highly preliminary, significantly incomplete, and rapidly evolving. All are licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. (Briefly: I retain copyright, but you can use, copy and distribute non-commercially, so long as you give me attribution and do not modify. To view a copy of the license, visit http://creativecommons.org/licenses/by-nc-nd/4.0/.) In return I ask that you please cite the books whenever appropriate, as: "Diebold, F.X. (year here), Book Title Here, Department of Economics, University of Pennsylvania, http://www.ssc.upenn.edu/ fdiebold/Textbooks.html." The painting is Enigma, by Glen Josselsohn, from Wikimedia Commons. 2 / 280 Introduction 3 / 280 Numerous Communities Use Econometrics Economists, statisticians, analysts, "data scientists" in: I Finance (Commercial banking, retail banking, investment banking, insurance, asset management, real estate, ...) I Traditional Industry (manufacturing, services, advertising, brick-and-mortar retailing, ...) I e-Industry (Google, Amazon, eBay, Uber, Microsoft, ...) I Consulting (financial services, litigation support, ...) I Government (treasury, agriculture, environment, commerce, ...) I Central Banks and International Organizations (FED, IMF, World Bank, OECD, BIS, ECB, ...) 4 / 280 Econometrics is Special Econometrics is not just \statistics using economic data". Many properties and nuances of economic data require knowledge of economics for sucessful analysis. I Emphasis on predictions, guiding decisions I Observational data I Structural change I Volatility fluctuations ("heteroskedasticity") I Even trickier in time series: Trend, Seasonality, Cycles ("serial correlation") 5 / 280 Let's Elaborate on the \Emphasis on Predictions Guiding Decisions"..
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