Econometrics

econometrics, technique of economic analysis that expresses economic theory in terms of mathematical relationships and then tests it empirically through statistical research. Econometrics attempts to develop accurate economic forecasting and to make possible successful policy planning. The term econometrics is generally attributed to Norwegian economist Ragnar Frisch, who wrote important studies on the subject in the mid-20th cent. and founded the Econometric Society. In the 1930s econometrics emerged as an important method of economic study on a national level, as part of a broad, new field called macroeconomics. In the 1950s economists such as Lawrence Klein applied Keynesian principles to econometrics and formed macroeconometric models of the economy of the United States. Scholars, economists, and public officials soon followed Klein's lead and began to use large-scale econometric models in both historical and planning analyses.

With changes in the 1970s from fixed to floating exchange rates and inflation heavily influencing the economy, criticism of econometircs grew considerably. The accuracy of econometric models was also questioned given their failure to predict, for example, the Asian financial failures in 1997–98. In the late 1990s econometrics began to be used in advertising (where it is also called "market-mix modeling" ), in which the models measure and predict sales performance. Econometrics has been significantly aided by advances in computer technology.

See R. J. Epstein, A History of Econometrics (1986); D. N. Gujarti, Basic Econometrics (3d ed. 1995); P. Kennedy, Guide to Econometrics (4th ed. 1998); and J. J. Heckman and E. E. Learner, Handbook of Econometrics (1999).

The Columbia Encyclopedia, 6th ed. Copyright© 2014, The Columbia University Press.

Selected full-text books and articles on this topic

A Concise Introduction to Econometrics: An Intuitive Guide
Philip Hans Franses.
Cambridge University Press, 2004
Introduction to Econometrics
G. S. Maddala.
Wiley, 2001
A Practical Introduction to Econometric Methods: Classical and Modern
Patrick K. Watson; Sonja S. Teelucksingh.
University of the West Indies Press, 2002
Econometrics: Alchemy or Science? : Essays in Econometric Methodology
David F. Hendry.
Oxford University Press, 2000 (New edition)
A Course in Econometrics
Arthur S. Goldberger.
Harvard University Press, 1991
Econometric Theory and Methods
Russell Davidson; James G. Mackinnon.
Oxford University Press, 2004
The Formation of Econometrics: A Historical Perspective
Qin Duo.
Clarendon Press, 1997
Dynamic Econometrics
David F. Hendry.
Oxford University Press, 1995
Essays in Econometrics: Spectral Analysis, Seasonality, Nonlinearity, Methodology, and Forecasting
Eric Ghysels; Norman R. Swanson; Mark W. Watson; Clive W. J. Granger.
Cambridge University Press, vol.1, 2001
Essays in Econometrics: Causality, Integration and Cointegration, and Long Memory
Eric Ghysels; Norman R. Swanson; Mark W. Watson; Clive W. J. Granger.
Cambridge University Press, vol.2, 2001
Probability, Econometrics and Truth: The Methodology of Econometrics
Hugo A. Keuzenkamp.
Cambridge University Press, 2000
Finite Sample Econometrics
Aman Ullah.
Oxford University Press, 2004
Modelling Economic Series: Readings in Econometric Methodology
C. W. J. Granger.
Clarendon Press, 1991
Probability Theory and Statistical Inference: Econometric Modeling with Observational Data
Aris Spanos.
Cambridge University Press, 1999
Stochastic Limit Theory: An Introduction for Econometricians
James Davidson.
Oxford University Press, 1994
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