Parameter Estimation and Evaluation Empirical Studies and Statistical Inference Empirical Studies and Statistical Inference -Often the mathematical model is assumed to have a known func- tional form but subject to some low-dimensional unknown pa- rameters. The main objective of statistical inference is to use the observed data to estimate the unknown model parameters and conduct hypothesis testing about the parameters. .A popular procedure in empirical studies is to use a prespecified (say 5%)significance level (or equivalently a P-value)to judge whether an estimated parameter is statistically significant.If it is,the associated explanatory variable will be considered as an important factor and thus retained in the model.If a statistically significant variable is not included in the model,it will be called an omitted variable. Big Data,Machine Learning and Statistics Introduction to Statistics and Econometrics July8,2020 9/70Parameter Estimation and Evaluation Big Data, Machine Learning and Statistics Introduction to Statistics and Econometrics July 8, 2020 9/70 Empirical Studies and Statistical Inference Empirical Studies and Statistical Inference