## Sunday, August 26, 2012

### "The Rise of Econometrics"

Readers of this blog will know that I have an (untrained) interest in the history of econometrics.

Even so, I'm afraid I don't see myself spending $1,300 to buy the set of volumes going by the name of this post's title, when Routledge publishes it in December! Edited by Duo Qin, you'll get 1,777 pages, and: "The set provides an authoritative one-stop resource to enable users to understand what has shaped econometrics into its current form. With a full index and comprehensive introductions to each volume, newly written by the editor, the collection also provides a synoptic view of many current key debates and issues." Hopefully I can persuade the UVic Library to get on board! In any case, the Table of Contents for this 4-volume set provides a fine reading guide for serious students of econometrics. Take a look, and then do some bedtime reading! © 2012, David E. Giles #### 6 comments: 1.$1,300 for 1,800 pages of previously published papers is a lot of money, but there sure are a lot of classic papers in there for all economists who deal with data, not just pure econometricians.

1. I agree on both counts!

2. It's a bit disturbing that none of the classic papers by Rob Engle (ARCH), Jerry Hausman (Specification Testing), Hal White (Heteroskedasticity), and Lars Hansen (GMM) are on the list (not to mention guys like Sargan!). Maybe they're coming in the 2nd volume of 1,800 pages, but it's worth noting the names I just mentioned had their biggest contributions before 1985, which is in line with the chronology of the papers listed in the table of contents of the 1st volume.

1. Very good point!

3. To Anonymous who is concerned that "The Rise of Econometrics" does not contain the classic papers by Engle, Hausman, White, and Hansen. T&F has commissioned me to collect another 1,800 page set, titled "Applied Econometrics." It's due out this fall. In fact, it will contain all four of these classic papers. Thanks for the tip.