文章基本信息

标题：Improving the teaching of econometrics
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作者：David F. Hendry ; Grayham E. Mizon ; Steve Cook 等
期刊名称：Cogent Economics & Finance
电子版ISSN：2332-2039
出版年度：2016
卷号：4
期号：1
页码：1170096
DOI：10.1080/23322039.2016.1170096
语种：English
出版社：Taylor and Francis Ltd
摘要：Abstract We recommend a major shift in the Econometrics curriculum for both graduate and undergraduate teaching. It is essential to include a range of topics that are still rarely addressed in such teaching, but are now vital for understanding and conducting empirical macroeconomic research. We focus on a new approach to macro-econometrics teaching, since even undergraduate econometrics courses must include analytical methods for time series that exhibit both evolution from stochastic trends and abrupt changes from location shifts, and so confront the “non-stationarity revolution”. The complexity and size of the resulting equation specifications, formulated to include all theory-based variables, their lags and possibly non-linear functional forms, as well as potential breaks and rival candidate variables, places model selection for models of changing economic data at the centre of teaching. To illustrate our proposed new curriculum, we draw on a large UK macroeconomics database over 1860–2011. We discuss how we reached our present approach, and how the teaching of macro-econometrics, and econometrics in general, can be improved by nesting so-called “theory-driven” and “data-driven” approaches. In our methodology, the theory-model’s parameter estimates are unaffected by selection when the theory is complete and correct, so nothing is lost, whereas when the theory is incomplete or incorrect, improved empirical models can be discovered from the data. Recent software like Autometrics facilitates both the teaching and the implementation of econometrics, supported by simulation tools to examine operational performance, designed to be feasibly presented live in the classroom.
关键词：teaching econometrics ; model selection ; theory retention ; location shifts ; indicator saturation ; A utometrics ; economic tools for teaching