TAILIEUCHUNG - Handbook of Econometrics Vols1-5 _ Chapter 25

Chapter 25 ECONOMIC DATA ISSUES Large sample distribution theory is the cornerstone of statistical inference for econometric models. The limiting distribution of a statistic gives approximate distributional results that are often straightforward to derive, even in complicated econometric models. | Chapter 25 ECONOMIC DATA ISSUES ZVI GRILICHES Harvard University Contents 1. Introduction Data and econometricians-the uneasy alliance 1466 2. Economic data An overview 1470 3. Data and their discontents 1472 4. Random measurement errors and the classic EVM 1476 5. Missing observations and incomplete data 1485 6. Missing variables and incomplete models 1495 7. Final remarks 1507 References 1509 1 am indebted to the National Science Foundation SOC78-04279 and PRA81-O8635 for their support of my work on this range of topics to John Bound Bronwyn Hall J. A. Hausman and Ariel Pakes for research collaboration and many discussions and to O. Ashenfelter E. Berndt F. M. Fisher R. M. Hauser M. Intriligator S. Kuznets J. Medoff and R. Vernon for comments on an earlier draft. Handbook of Econometrics Volume III Edited by Z. Griliches and . Intriligator Elsevier Science Publishers B V 1986 1466 Z. Griliches 1. Introduction Data and econometricians-the uneasy alliance Then the officers of the children of Israel came and cried unto Pharaoh saying Wherefore dealest thou thus with thy servants There is no straw given unto thy servants and they say to us Make brick and behold thy servants are beaten but the fault is in thine own people. But he said Ye are idle ye are idle Therefore ye say Let us go and do sacrifice to the Lord. Go therefore now and work for there shall no straw be given you yet shall ye deliver the tale of bricks. Exodus 5 15-18 Econometricians have an ambivalent attitude towards economic data. At one level the data are the world that we want to explain the basic facts that economists purport to elucidate. At the other level they are the source of all our trouble. Their imperfection makes our job difficult and often impossible. Many a question remains unresolved because of multicollinearity or other sins of the data. We tend to forget that these imperfections are what gives us our legitimacy in the first place. If the data were perfect collected from well .

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