Differences between Econometrics and Statistics?

[qqyyzz]

Hi everyone,

I'm trying my best to prepare for graduate school. Initially I was interested in economics, more specifically econometrics. However, I've been doing a bit of research and I found that econometrics and statistics have a lot of similarities. What exactly are the differences between PhD level theoretical econometrics and statistics? I've been searching the web for awhile and can't find any definitive answer.

I've been reading through this forum and there was a thread a couple of months back about statistics PhD programs. One of the posters, who had been admitted to a PhD program, warns against going into biostatistics. His reasoning was almost any biostats PhD job can be done with a regular stats PhD and biostats PhDs are less likely to find employment in finance and insurance etc. Since there are obvious similarities between econometrics and statistics, does this line of reasoning also apply to econometrics? Can statisticians work most econometric jobs? Can econometricians do a statistician's job?

What courses should I take to maximize my chance of getting into a statistics phd program? In the course for preparing for an econ PhD, I have already taken/plan on taking the following: calc through multivariate, linear algebra, differential equations (ordinary and partial), real analysis, probability theory and statistical inference. My university does not have any grad classes in stats, but would a grad class in econometrics help in that area?

Finally, this summer and next semester I have the opportunity to do graduate level game theory research (math and programming intensive). I know this would help me for econ grad school, how much would it help with a statistics phd program?

Edited May 14, 2010 by qqyyzz

[hubris]

Hi everyone,

I'm trying my best to prepare for graduate school. Initially I was interested in economics, more specifically econometrics. However, I've been doing a bit of research and I found that econometrics and statistics have a lot of similarities. What exactly are the differences between PhD level theoretical econometrics and statistics? I've been searching the web for awhile and can't find any definitive answer.

I've been reading through this forum and there was a thread a couple of months back about statistics PhD programs. One of the posters, who had been admitted to a PhD program, warns against going into biostatistics. His reasoning was almost any biostats PhD job can be done with a regular stats PhD and biostats PhDs are less likely to find employment in finance and insurance etc. Since there are obvious similarities between econometrics and statistics, does this line of reasoning also apply to econometrics? Can statisticians work most econometric jobs? Can econometricians do a statistician's job?

What courses should I take to maximize my chance of getting into a statistics phd program? In the course for preparing for an econ PhD, I have already taken/plan on taking the following: calc through multivariate, linear algebra, differential equations (ordinary and partial), real analysis, probability theory and statistical inference. My university does not have any grad classes in stats, but would a grad class in econometrics help in that area?

Finally, this summer and next semester I have the opportunity to do graduate level game theory research (math and programming intensive). I know this would help me for econ grad school, how much would it help with a statistics phd program?

...and what would you like to do/learn?

[qqyyzz]

...and what would you like to do/learn?

I'm interested in econ stats. However, I'm just curious about the differences as I've posted above. Additionally, I noted that someone said to avoid biostats for reasons listed above and I'm wondering if the same reasoning applies to econometrics.

[statsguy]

You are asking quite a lot in your post so I will try to do my best to answer some of your questions.

Hi everyone,

I'm trying my best to prepare for graduate school. Initially I was interested in economics, more specifically econometrics. However, I've been doing a bit of research and I found that econometrics and statistics have a lot of similarities. This is correct. What exactly are the differences between PhD level theoretical econometrics and statistics? This depends on the program. If you are in a Statistics PhD program, you will need to take one year of Mathematical Analysis (at the Rudin level) and at least one year of Probability Theory (which is basically Measure Theory/Lebesgue Integration + Probability Theory course). This is as high as you will need to go in most programs, but lots of students go further and take courses in Stochastic Processes, Numerical Analysis etc. I'm not as familiar with Econ PhD programs, but I can't imagine that taking several years of Mathematical Analysis/Probablity Theory is necessary. Probably two years of PhD level Statistical Theory courses is enough. I've been searching the web for awhile and can't find any definitive answer.

I've been reading through this forum and there was a thread a couple of months back about statistics PhD programs. One of the posters, who had been admitted to a PhD program, warns against going into biostatistics. His reasoning was almost any biostats PhD job can be done with a regular stats PhD and biostats PhDs are less likely to find employment in finance and insurance etc. This is absolutely true. Since there are obvious similarities between econometrics and statistics, does this line of reasoning also apply to econometrics? Can statisticians work most econometric jobs? It's likely Can econometricians do a statistician's job? It's less likely. IMHO it's much better to have a strong Stats background and then learn what you need to know about economics on your own/on the job or by taking a few electives. It seems that in Econ PhD program (at least those I've looked at), you will have to take several non stats courses and may have limited exposure to statistics. Several of the PhD grads in my program have gotten jobs in econometrics (some whose disertations had nothing to do with econometrics.)

What courses should I take to maximize my chance of getting into a statistics phd program? Lots of Math classes (esp real analysis) and as many Stat classes as possible. In the course for preparing for an econ PhD, I have already taken/plan on taking the following: calc through multivariate, linear algebra, differential equations (ordinary and partial), real analysis, probability theory and statistical inference. My university does not have any grad classes in stats, but would a grad class in econometrics help in that area? It most certainly won't hurt.

Finally, this summer and next semester I have the opportunity to do graduate level game theory research (math and programming intensive). I know this would help me for econ grad school, how much would it help with a statistics phd program? Again, it can't hurt, it's better than having no research.

If you want a job in econometrics, you can get it by getting an Econ Phd and focusing on Statistics, or by getting a Stats PhD and focusing on Econometrics. Both are probably equally competitive in the econometrics job market, but I think the Stats PhD will give you a deeper understanding of Statistics and will also be more flexible in the job market (if you ever want to do something else.) Choose your schools carefully.

[qqyyzz]

You are asking quite a lot in your post so I will try to do my best to answer some of your questions.

If you want a job in econometrics, you can get it by getting an Econ Phd and focusing on Statistics, or by getting a Stats PhD and focusing on Econometrics. Both are probably equally competitive in the econometrics job market, but I think the Stats PhD will give you a deeper understanding of Statistics and will also be more flexible in the job market (if you ever want to do something else.) Choose your schools carefully.

Thanks for the detailed answer! That helps me out a lot.

[lhfields]

A direct answer to your OP subject:

STATISTICS IS A VEHICLE FOR ECONOMETRICS.

Statistics is a means to an end. Most social science fields utilize statistics as a quantitative vehicle to enhance our understanding (e.g. inference) of different phenomena (e.g. research subject). So why someone might forgo the opportunity of exploring different fields as a Stats Ph? Why on earth someone apply as biostatistics or econometrics PhD? Some undergraduate or graduate students have a clear research goal and what they want to pursue (e.g. econ, applied math, or bioengineering could've been their undergrad majors). There's nothing wrong with specialization. In fact, most Stats PhD decide which subfield they are going to tackle in their 3rd-4th year.

LHF