Latent variables in econometrics

Unobservable variables in econometrics are represented in one of three ways: by variables contaminated by measurement errors, by proxy variables, or by various manifest indicators and/or causes. This paper contains a discussion of models involving each of these representations, and highlights certain interesting implications that have been insufficiently emphasized or completely unrecognized in the literature.     

An analysis of publication lags in econometrics

This note describes the lengthening in publication lags for econometric papers in seven journals since 1986 and briefly considers ways of shortening them.     

Teaching undergraduate econometrics with GRETL

This paper reviews GRETL, a software package for econometrics. Mainly it discusses GRETL's merits as an aid in teaching undergraduate econometrics. This discussion is in two parts. First one author, an instructor, reviews the teaching of undergraduate econometrics with GRETL. Then the second author, a student, discusses the experience of being introduced to GRETL as part of the introductory course and of putting it to work as part of his employment. The paper briefly discusses GRETL as a research tool. Copyright © 2006 John Wiley & Sons, Ltd.     

Using R to teach econometrics

R, an open‐source programming environment for data analysis and graphics, has in only a decade grown to become a de‐facto standard for statistical analysis against which many popular commercial programs may be measured. The use of R for the teaching of econometric methods is appealing. It provides cutting‐edge statistical methods which are, by R's open‐source nature, available immediately. The software is stable, available at no cost, and exists for a number of platforms, including various flavours of Unix and Linux, Windows (9x/NT/2000), and the MacOS. Manuals are also available for download at no cost, and there is extensive on‐line information for the novice user. This review focuses on using R for teaching econometrics. Since R is an extremely powerful environment, this review should also be of interest to researchers. Copyright © 2002 John Wiley & Sons, Ltd.     

Philosophy and objectives of econometrics

In this paper, the philosophy and objectives of econometrics are discussed. The roles of induction, deduction and reduction in economic research are explained. Further, the roles of sophisticated simplicity and predictive performance in model building are described. Many examples, drawn from the work of leading scientists, are provided to illustrate general points. In addition, the work that has been done leading to the formulation of a disaggregate Marshallian Macroeconomic Model is briefly described. It is concluded that greater emphasis in teaching to explain the roles of deduction, induction and reduction in economic research would be very beneficial in terms of producing more valuable and useful research results. Also, development and use of many more sophisticatedly simple models and further use of Bayesian inference and decision techniques will do much to promote more rapid progress in economic science.     

Semiparametric econometrics: A survey

Semiparametric econometric models contain both parametric and nonparametric components, reflecting in some fashion what has been learned from economic theory and previous empirical experience, and what remains unknown. They raise such questions as how well the parametric component can be estimated, and how to construct rules of inference with good statistical properties. The paper attempts to survey the econometric and most relevant statistical literature on semiparametric inference, and includes a partial bibliography.     

Thirty-five years of journal of econometrics

The paper discusses how the Journal of Econometrics started and has grown over the years. It analyzes a trend in the research areas of the published articles and reviews some of the important papers that have been published. It concludes with an assessment of the future of the journal.     

A classified bibliography of Monte Carlo studies in econometrics

The Monte Carlo method of exploring the properties of econometric estimators and significance tests has yielded a considerable amount of information that has practical value in guiding choice of technique in applied research. This paper presents a bibliography of such Monte Carlo studies over the period 1948–1972. About 150 citations are listed alphabetically by author, and also under a detailed subject-matter classification scheme.     

Structural vs. atheoretic approaches to econometrics

In this paper I attempt to lay out the sources of conflict between the so-called “structural” and “experimentalist” camps in econometrics. Critics of the structural approach often assert that it produces results that rely on too many assumptions to be credible, and that the experimentalist approach provides an alternative that relies on fewer assumptions. Here, I argue that this is a false dichotomy. All econometric work relies heavily on a priori assumptions. The main difference between structural and experimental (or “atheoretic”) approaches is not in the number of assumptions but the extent to which they are made explicit.