Any research project answers a question. For example, you may ask: What explains why people eat crisps although they do not really want to? In this case, the aim of your thesis is to explain some observed behavior. This is done by providing conditions (a little model) under which you are likely to see the behavior in question. In other words, you provide a theory when the behavior occurs. Your thesis is theoretical.
You may also ask: Is it true that paying people reduces their motivation to help voluntarily? There are two ways of answering this question. You can use data that other people have collected (and if you have lots of time you can even collect your own data) or you can conduct an experiment. In this case, your thesis is empirical. More specifically, your thesis is econometrical if you use observed data and experimental if you run your own experiment*.
These are the three research methods that we use in our own work and that we feel capable of supervising.
*Master students should use the experimental approach.