Econometrics: A Bird's Eye View

73 Pages Posted: 30 Nov 2006

See all articles by John Geweke

John Geweke

University of Technology Sydney - Economics Discipline Group

Joel L. Horowitz

Northwestern University

M. Hashem Pesaran

University of Southern California - Department of Economics; University of Cambridge - Trinity College (Cambridge)

Date Written: December 2006

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

JEL Classification: C1, C2, C3, C4, C5

Suggested Citation

Geweke, John and Horowitz, Joel L. and Pesaran, M. Hashem, Econometrics: A Bird's Eye View (December 2006). CESifo Working Paper Series No. 1870, IZA Discussion Paper No. 2458, Available at SSRN: https://ssrn.com/abstract=947529

John Geweke

University of Technology Sydney - Economics Discipline Group ( email )

645 Harris Street
Sydney, NSW 2007
Australia
0295149797 (Phone)

HOME PAGE: http://www.censoc.uts.edu.au/about/members/jgeweke_papers.html

Joel L. Horowitz

Northwestern University ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

M. Hashem Pesaran (Contact Author)

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300
Los Angeles, CA 90089
United States

University of Cambridge - Trinity College (Cambridge) ( email )

United Kingdom

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