Econometric models arestatistical models used ineconometrics. An econometric model specifies thestatistical relationship that is believed to hold between the various economic quantities pertaining to a particular economic phenomenon. An econometric model can be derived from adeterministiceconomic model by allowing for uncertainty, or from an economic model which itself isstochastic. However, it is also possible to use econometric models that are not tied to any specific economic theory.^[1]

A simple example of an econometric model is one that assumes that monthlyspending by consumers is linearlydependent on consumers' income in the previous month. Then the model will consist of the equation

${\displaystyle C_t=a+b{Y}_{t-1}+e_t,}$

whereC_t isconsumer spending in montht,Y_t-1 is income during the previous month, ande_t is anerror term measuring the extent to which the model cannot fully explain consumption. Then one objective of theeconometrician is to obtain estimates of theparametersa andb; these estimated parameter values, when used in the model's equation, enable predictions for future values of consumption to be made contingent on the prior month's income.

Ineconometrics, as instatistics in general, it is presupposed that the quantities being analyzed can be treated asrandom variables. An econometric model then is aset ofjoint probability distributions to which the true joint probability distribution of the variables under study is supposed to belong. In the case in which the elements of this set can beindexed by a finite number of real-valuedparameters, the model is called aparametric model; otherwise it is anonparametric orsemiparametric model. A large part of econometrics is the study of methods forselecting models,estimating them, and carrying outinference on them.

The most common econometric models arestructural, in that they convey causal andcounterfactual information,^[2] and are used for policy evaluation. For example, an equation modeling consumption spending based on income could be used to see what consumption would be contingent on any of various hypothetical levels of income, only one of which (depending on the choice of afiscal policy) will end up actually occurring.

Some of the common econometric models are:

• Linear regression
• Generalized linear models
• Probit
• Logit
• Tobit
• ARIMA
• Vector Autoregression
• Cointegration
• Hazard

Comprehensive models ofmacroeconomic relationships are used bycentral banks and governments to evaluate and guide economic policy. One famous econometric model of this nature is theFederal Reserve Bank econometric model.

• Benefit financing model

• Asteriou, Dimitros; Hall, Stephen G. (2011). "The Classical Linear Regression Model".Applied Econometrics (Second ed.). Palgrave MacMillan. pp. 29–91.ISBN 978-0-230-27182-1.
• Davidson, Russell; James G. MacKinnon (1993).Estimation and Inference in Econometrics. Oxford University Press.ISBN 0-19-506011-3.
• Granger, Clive (1991).Modelling Economic Series: Readings in Econometric Methodology. Oxford University Press.ISBN 0-19-828736-4.
• Pagan, Adrian; Aman Ullah (1999).Nonparametric Econometrics. Cambridge University Press.ISBN 0-521-58611-9.
• Pedace, Roberto (2013). "Building the Classical Linear Regression Model".Econometrics for Dummies. Hoboken, NJ: Wiley. pp. 59–134.ISBN 978-1-118-53384-0.

• Manuscript of Bruce Hansen's book on Econometrics
• Econometrics lecture (introduction to regression models) onYouTube byMark Thoma

• Econometric models
• Mathematical and quantitative methods (economics)

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