We present and discuss in this chapter the two main factors in statistical analysis of economic problems, namely models and data, as well as some related background.

Despite the analogy with physical systems leading to the use of engineering inference tools (e.g., Kalman …lter, stochastic di¤erential equations), the analysis of economic systems is much more delicate! On one hand, models need to be proposed with great care, and on the other hand, economic data are coarse in a variety of ways as well as rich in structure (e.g., panel and high frequency data). This chapter serves as a complement to statistical analysis of economic problems in the sense it emphasizes an examination of the rationale underlying proposed models and a closer look at the types of available data in order to derive appropriate statistical inference procedures.