Econometrics

I am not an econometrician

Written by Rob Hyndman on 29 July 2014. Posted in Opinion

I am a statistician, but I have worked in a department of predominantly econometricians for the past 17 years. It is a little like an Australian visiting the United States. Initially, it seems that we talk the same language, do the same sorts of things, and have a very similar culture. But the longer you stay there, the more you realise there are differences that run deep and affect the way you see the world.

Theory-​​driven or data-​​driven

Econometrics is 'theory driven' while statistics is 'data driven'. I discovered this in the interview for my current job when someone criticized my research for being 'data driven' and asked me to respond. I was confused because I thought statistical research should be driven by data analytic issues, not by some pre-​​conceived theory, but that was not the perspective of the people interviewing me (fortunately, I was hired anyway.) Typically, econometricians test theory using data, but often do little if any exploratory data analysis. On the other hand, I tend to build models after looking at data sets. I think this distinction also extends to many other areas where statistics is applied.

As a result of this distinction, econometricians do a lot of hypothesis testing but produce few graphics. Many research seminars in our department involve someone describing a model, applying it to some data, and showing the estimated parameters, standard errors, results of various hypothesis tests, etc. They do all that without ever plotting the data to start with! This seems bizarre to me, and I still get annoyed about it even though I’ve seen it at least a hundred times. I teach my students to first spend time getting to know their data through plots and other data visualization methods before even thinking about fitting a model or doing a hypothesis test.

Probably because of the emphasis that econometricians place on their theoretical models,...