Econometric Modeling

Econometric modeling (JEL C5) covers the construction, evaluation, and application of econometric models.

Scope

It includes model construction and selection, forecasting models, simulation, and model evaluation.

Sub-topics

• General
• Model Construction and Estimation
• Model Evaluation, Validation, and Selection
• Forecasting and Prediction Methods • Simulation Methods
• Quantitative Policy Modeling
• Large Data Sets: Modeling and Analysis
• Econometrics of Games and Auctions
• Financial Econometrics
• Other

Core questions

• How are econometric models built and selected?
• How are models used for forecasting?
• How is model performance evaluated?

Key concepts

• Model selection
• Forecasting
• Model evaluation
• Simulation
• Calibration

Frequently asked questions

What is model selection?

Choosing among competing econometric specifications using criteria balancing fit and parsimony.