Both of these terms refer to the concept of genre, or type, of literary text.
A drama is a work which is presented by means of mimesis or imitation. In other words, rather than someone telling you about a group of characters (which would be termed diegesis, or narration), actors imitate the characters on a stage or a screen, saying and doing what the imaginary characters would have said or done as scripted by the playwright.
A tragedy is a form of drama defined in Aristotle's Poetics as about characters better and grander than the average, engaged in an action of a certain seriousness. The plot of a tragedy usually involves some aspect of inevitability, in which the nature of the characters and a defining irrevocable decision lead to misfortune that is unavoidable.
In the Doll's House, the clash of wife and husband is due to both the nature of their characters and the irrevocable actions of the forged signature and firing, done, like the "hamartia" of classical tragedy, for good reasons.