Statistical Analysis of Econometric Models

Abstract In this article, a summary of some research bearing on the statistical analysis of econometric models is reviewed. Many estimation, testing, and prediction techniques used in econometrics have just large-sample justifications. Selected Bayesian inference results relating to econometric models are reviewed. On the problem of constructing econometric models, an approach that is a blend of traditional econometric and modern time series analysis techniques is described. Many statistical problems requiring further analysis are noted. It is concluded that better solutions to these problems, better data, more sophisticated use of economic theory, application of more rigorous diagnostic checks, including forecasting checks and use of well-designed simulation experiments, probably will produce improved macroeconometric models.