Econometrics

Sorry if this is a silly question but what exactly is econometrics, and is it covered in any of the actuarial exams?
if so which ones?

 

Time series is a major part of econometrics. I believe there is a brief introduction to time series in CT6.

 

econometrics is just a branch of estimation:
- normally we are trying to
estimate regression coefficients in an economic model (e.g consumption vs
wage etc)
- lots of different regression functions specified e,g time series, linear, log linear etc
-lots of estimation methods - OLS, GLS, MLE,white, cochrane orcutt
-lot of assumptions about regression model - errors are normally distributed, constant variance (homoscedacity vs heteroscedascity), independence or lack of

A good book is "Econometrics" by Johnston and Dinardo

i cant see this being a major area of actuarial involvment, as usual its just a case of actuaries using only the necessary tools from other areas to solve the required mainstream problem in insurance:
e.g cox regression model in CT4 is the closest application of econometrics ive seen in the actuarial exams...