Econometrics: A Bird’s Eye View

John Geweke, Joel Horowitz and Mohammad Pesaran

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledged and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks of forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of “real time econometrics”. This paper attempts to provide an overview of some of these developments.

Keywords: History of econometrics; Microeconometrics; Macroeconometrics; Bayesian Econometrics; Nonparametric and Semi-parametric Analysis (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 (search for similar items in EconPapers)
Pages: 29
Date: 2006-11
New Economics Papers: this item is included in nep-cba, nep-his, nep-hpe and nep-sog
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https://files.econ.cam.ac.uk/repec/cam/pdf/cwpe0655.pdf (application/pdf)

Related works:
Working Paper: Econometrics: A Bird’s Eye View (2006)
Working Paper: Econometrics: A Bird's Eye View (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0655

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