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.

Econometrics: Selected full-text books and articles

Introductory Econometrics: Intuition, Proof, and Practice By Jeffrey S. Zax Stanford Economics and Finance, 2011
Introduction to Econometrics By G. S. Maddala; Kajal Lahiri Wiley, 2009 (4th edition)
A Practical Introduction to Econometric Methods: Classical and Modern By Patrick K. Watson; Sonja S. Teelucksingh University of the West Indies Press, 2002
A Concise Introduction to Econometrics: An Intuitive Guide By Philip Hans Franses Cambridge University Press, 2004
Econometric Theory and Methods By Russell Davidson; James G. Mackinnon Oxford University Press, 2004
A Guide to Modern Econometrics By Marno Verbeek Wiley, 2004 (2nd edition)
Econometrics: Alchemy or Science? : Essays in Econometric Methodology By David F. Hendry Oxford University Press, 2000 (New edition)
Dynamic Econometrics By David F. Hendry Oxford University Press, 1995
Essays in Econometrics: Spectral Analysis, Seasonality, Nonlinearity, Methodology, and Forecasting By Clive W. J. Granger; Eric Ghysels; Norman R. Swanson; Mark W. Watson Cambridge University Press, vol.1, 2001
Essays in Econometrics: Causality, Integration and Cointegration, and Long Memory By Clive W. J. Granger; Eric Ghysels; Norman R. Swanson; Mark W. Watson Cambridge University Press, vol.2, 2001
Finite Sample Econometrics By Aman Ullah Oxford University Press, 2004
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