AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary

Peter C. B. Phillips ()

Econometric Theory, 2005, vol. 21, issue 01, pages 1-2

Abstract: This issue of Econometric Theory marks 20 full years of publication of the journal ET and the beginning of our third decade. To celebrate the occasion, I invited a group of econometricians, including all the present and past co-editors of ET, to reflect on the future of econometrics. To focus discussion, I selected a theme that relates to a recent trend in the practical use of econometric methodology, one that seems destined to play an increasing role in the future of the subject automated modeling and inference. Accordingly, this issue contains contributions on various aspects of the theme of automation, introducing the notion of automated discovery, analyzing the validity of selection procedures, and discussing the practical utility of these automated methods in econometric modeling exercises.

Date: 2005

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