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Econometric Computing Learning Resource (ECLR)

This is the home of the ECLR. It is the purpose of this resource to facilitate the application of Econometric techniques. There exist numerous software packages that can be used to solve Econometric problems. Some of them are menu driven (e.g. EVIEWS) and are great to tackle standard econometric problems. Others require more programming but therefore also allow the user to tackle non-standard problems. This resource provides support material for the use of EVIEWS and MATLAB.

This page will not really teach Econometrics, although it will provide sufficient econometric background to facilitate the implementation of the different econometric techniques. To do any serious econometrics you need to have some basic statistics knowledge. On this page Statistics you can review some of the required statistical background.

Programming
Languages
Menu-driven
software
Statistics
Introduction
Maths
Introduction
MATLAB Python EVIEWS Statistics Intro Maths Intro

Should you learn programming to do Econometrics?

First, the answer to this question is often no. If you need to apply a very standard econometric technique and don't have to do that too often, then it may well be that a menu driven software package (like EVIEWS) is exactly the right way to go.

However, if you want to achieve nonstandard things (and working on a PhD or even a MSc you are bound to want to do non-standard things) the picture is very different. A menu driven software package may do some related things but often not exactly what you want. Even if the software package has a "button" to do what you want to do, it is often badly documented what exactly happens underneath the hood. But most importantly, many nonstandard things just cannot be done in menu driven software. This is were MATLAB (or other software packages like GAUSS or OX) comes to the rescue. At the core it has nothing to do with econometrics. It is a matrix algebra maths programme in which you can do with data (stored in matrices) whatever you want. When we say whatever, then this is to be understood almost literally. And that is the point.

Therefore, there are powerful reasons why you may want to learn to use a proper programming language to solve your econometric problem:

  1. You can easily repeat the same analysis with many more dataset.
  2. For some analysis there are some very repetitive things you got to do. In some cases, writing a program will eliminate the need to do essentially the same thing many times. You instruct the software to do the repetitive work for you.
  3. By writing a MATLAB program (or script) you essentially also create a record of what you do. This is extremely useful when it comes to understanding previous work and to identify mistakes. This is possibly the most important advantage of writing your own programs.
  4. By having to instruct your computer what to actually do, you properly learn the underlying Econometrics. In other words, programming can be an awesome econometric learning tool.

If you did any programming in any other programming language, such as Visual Basic, C, C++, GAUSS, etc. you will recognise a lot of common patterns. Learning how to use MATLAB to do econometrics is 100% a trial and error process and hence this wiki will provide guidance but you will have to practice yourself.

Authors, Maintenance and Contributions

This wiki was created by Ralf Becker and Arthur Sinko with the financial support of a University of Manchester Investing in Success grant. If you have any suggestions please contact us by email. Contributions to this wiki are encouraged. Please contact us for details.


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