Recently I read, with interest, a thought-provoking paper by Bryan Chen & Judea Pearl. The paper is titled, "Regression and causation: A critical examination of econometrics textbooks".
Here's the abstract:
"This report surveys six influential econometric textbooks in terms of their mathematical treatment of causal concepts. It highlights conceptual and notational differences among the authors and points to areas where they deviate significantly from modern standards of causal analysis. We find that econometric textbooks vary from complete denial to partial acceptance of the causal content of econometric equations and, uniformly, fail to provide coherent mathematical notation that distinguishes causal from statistical concepts. This survey also provides a panoramic view of the state of causal thinking in econometric education which, to the best of our knowledge, has not been surveyed before."
Whatever your favourite econometrics textbook might be, once you've read this paper you'll look at that book through a different lens - I promise you!
© 2012, David E. Giles