Editing Econometrics (section)

==Theory==
{{see also|Estimation theory}}
Econometric theory uses [[statistical theory]] and [[mathematical statistics]] to evaluate and develop econometric methods.<ref name="Greene Econometrics – mathematical statistics and statistical theory" /><ref name="Wooldridge Econometrics – mathematical statistics" /> Econometricians try to find [[estimator]]s that have desirable statistical properties including [[Bias of an estimator|unbiasedness]], [[Efficiency (statistics)|efficiency]], and [[Consistent estimator|consistency]]. An estimator is unbiased if its expected value is the true value of the [[parameter]]; it is consistent if it converges to the true value as the sample size gets larger, and it is efficient if the estimator has lower standard error than other unbiased estimators for a given sample size. [[Ordinary least squares]] (OLS) is often used for estimation since it provides the BLUE or "best linear unbiased estimator" (where "best" means most efficient, unbiased estimator) given the [[Gauss–Markov theorem|Gauss-Markov]] assumptions. When these assumptions are violated or other statistical properties are desired, other estimation techniques such as [[maximum likelihood estimation]], [[generalized method of moments]], or [[generalized least squares]] are used. [[Bayes estimator|Estimators that incorporate prior beliefs]] are advocated by those who favour [[Bayesian statistics]] over traditional, classical or [[Frequentist probability|"frequentist" approaches]].