ABSTRACT
Having developed an econometric model, the next task of the econometrician is to estimate the unknown parameters of the model. To this end, the econometrician must collect a data set containing observations on the dependent and independent variables of the model, and use the data for the estimation purposes. Choosing a right method of estimation is critical and merits special attention. This chapter explains how a method of estimation is chosen and is used in practice. Key topics
Estimators and point estimates
The sampling distribution of estimators
The ordinary least squares (OLS) method of estimation
Monte Carlo studies
The maximum likelihood (ML) method of estimation
