Econometrics is divided into theoretical and applied components.
Theoretical econometricians investigate the properties of existing statistical tests and procedures for estimating unknowns in the model. They also seek to develop new statistical procedures that are valid (or robust) despite the peculiarities of economic data—such as their tendency to change simultaneously. Theoretical econometric relies heavily on mathematics, theoretical statistics, and numerical methods to prove that the new procedures have the ability to draw correct inferences.
Applied econometricians, by contrast, use econometric techniques developed by the theorists to translate qualitative economic statements into quantitative ones. Because applied econometricians are closer to the data, they often run into—and alert their theoretical counterparts to—data attributes that lead to problems with existing estimation techniques. For example, the econometrician might discover that the variance of the data (how much individual values in a series differ from the overall average) is changing over time
In a way most economists are applied as they test their ideas but only a few remain theoretical ones. Someone like Chris Sims is more like a theoretical econometrician whereas others who use his VAR model are the applied types. So when you study economics at higher levels, you may not opt for a theoretical application of econometric but applications of the tools is highly desired.
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