Econometrics
Econometrics applies statistical methods to economic data to estimate relationships, test theories and forecast. It provides empirical evidence on how shocks and policies affect economic outcomes. Economic Development stewards this page for the Nexus Consortium.
- 01InstitutionThe Global Centre for Risk and Innovation (GCRI)
- 02Service levelR0: information and enquiries
- 03In briefThe short answer
- 04The methodWhat econometrics covers
- 05Reference practiceEconometrics follows statistical and reporting standards
- 06In systemic risk workEstimating damage functions
- 07Applied inPlatforms that apply this method
GCRI · Institution · service level R0
The short answer.
Econometrics applies statistical methods to economic data to estimate relationships, test theories and forecast. Econometric evidence estimates how disasters, pandemics and financial shocks affect output, employment and prices. In the Nexus Consortium, Economic Development stewards its canonical page, and 8 other platforms apply it, including Food Nexus as well as Trade and Strategic Resources.
Systemic exposure in East Asia.
Where people and networks concentrate, the exposure through which shocks travel between systems, shown for East Asia as an example geography for this subject.
What econometrics covers.
- 01
Core methods
panel data models; time-series econometrics; vector autoregression; structural estimation; limited dependent variable models; identification strategies.
- 02
Data and instruments
national accounts; firm and household panels; financial market data; trade data; administrative records.
- 03
Validation
Models are assessed through specification tests, robustness checks and out-of-sample performance. Results are compared across datasets and methods.
- 04
Limits
Endogeneity, measurement error and structural change can bias estimates. Relationships may shift under extreme conditions.
- 05
Use in risk decisions
Econometric evidence estimates how disasters, pandemics and financial shocks affect output, employment and prices. It informs the economic case for risk reduction.
Econometrics follows statistical and reporting standards.
| Reference | What it sets |
|---|---|
| Panel and time-series methods | Estimation of economic relationships |
| System of National Accounts | Underlying data definitions |
| Replication standards in economics journals | Data and code availability |
Estimating damage functions.
Damage functions linking hazards to economic outcomes are estimated econometrically. Results depend on specification and on whether past relationships hold under new extremes. Replication with shared data and code is how these estimates are checked.
- Report specification sensitivity.
- Beware extrapolation beyond observed range.
- Share data and code where licences allow.
- Applications on Economic Development and Food Nexus.
Platforms that apply this method.
- Food NexusInstitutionGCRI
- Trade and Strategic ResourcesInstitutionGCRI
- Economic DevelopmentInstitutionGCRI
- Society and Human DevelopmentInstitutionGCRI
- Future of Work and SkillsInstitutionGCRI
- Asset Management NexusInstitutionGRA
- Capital Markets NexusInstitutionGRA
- Financial StabilityInstitutionGRA
- Public Finance and Sovereign DebtInstitutionGRA
Who maintains this page.
Economic Development stewards econometrics: it keeps this description current and reviews how the method is applied across the platforms.
Terms used on this page.
Each term as this page uses it. Where a standard-setting body defines the term, the wording follows that body.
| Term | Definition |
|---|---|
| Event study | Measuring abnormal returns around an event, such as a disclosure or vote, against a model of normal returns. |
| Flow-performance relationship | How investor flows into funds respond to past fund returns. |
| Price pressure | Temporary price movements caused by concentrated buying or selling rather than new information. |
| GARCH model | A model in which today's volatility depends on past shocks and past volatility. |
Where this page's references lead.
The bodies and documents this page is read against. Status and editions change; each link goes to the issuing body.
Where this page leads across the Consortium.
- Econometrics of food pricesGCRIApplied in Food Nexus.
- Econometrics for tradeGCRIApplied in Trade and Strategic Resources.
- Econometrics for developmentGCRIApplied in Economic Development.
- Econometrics for social outcomesGCRIApplied in Society and Human Development.
- Labour econometricsGCRIApplied in Future of Work and Skills.
- Econometrics for asset managementGRAApplied in Asset Management Nexus.
- Econometrics for capital marketsGRAApplied in Capital Markets Nexus.
- Econometrics for financial stabilityGRAApplied in Financial Stability.
- Econometrics for public finance and sovereign debtGRAApplied in Public Finance and Sovereign Debt.
Questions and answers.
Why does one institution host every method page?
How do I suggest a correction to a method page?
Around GCRI.
Start with an enquiry.
The current service level is R0: information and enquiries. An enquiry receives a reference and names the next step; applications, payments, compute allocations and registrations open only when their team, terms and review capacity exist.