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Home » Economic » Econometrics

Econometrics: Retrospect and Prospect

Source: www.ssc.upenn.edu
Topic: Econometrics

Sort Desciption: The first issue of Journal of Econometrics was published in the early 1970s ... (As I write the Journal of Financial Econometrics is being. launched. ...

Content Inside: Econometrics: Retrospect and Prospect by Francis X. Diebold The first issue of Journal of Econometrics was published in the early 1970s more than twenty-five years ago. Since then econometrics has progressed remarkably. This occasion publication of the one- hundredth volume provides a fine forum for discussing both retrospect and prospect. I find the set of introductory essays remarkable insofar as taken together they illustrate beautifully what I consider to be three central themes in econometrics perhaps the central themes as we move into the new millennium. The first is the sweeping effect of improvements in information technology broadly defined to include not only processing speed but also data collection and storage capability on both econometric theory and practice. The second is the distinct recognition that empirical finance and time-series econometrics are natural partners and that the benefits from cross-fertilization are immense resulting in a booming new area financial econometrics. (As I write the Journal of Financial Econometrics is being launched.) The third is the continued importance and rapid development of ideas and methods related to forecasting whether in macroeconometrics microeconometrics or financial econometrics. As regards information technology consider first the pervasive effects of advances in processing speed which have produced an irreversible and ongoing shift away from closed-form analytic methods and toward algorithmic numerical and simulation methods. This move is obvious in all of the essays which bristle with computational technology but those by Geweke (Bayesian econometrics using Markov chain Monte Carlo methods) Horowitz (bootstrap methods for inference) and Hendry (model selection via intensive data- based search) are particularly notable. Perhaps even more important although more subtle is the way information technology is changing the questions we ask. Here improvements in data collection and storage feature ...

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