A Survey of Some Recent Econometric Methods

This survey is written mainly for the applied economist though we hope that the specialist econometrician will find something of interest too. Our aim has been to try to bring the applied worker as up to date as possible, and in the process to improve the quality of applied work, by providing access to the latest ideas in econometrics. We have tried to describe and explain in a relatively non-technical way the main developments that have taken place in the last ten years. Partly for reasons of space the survey is by no means exhaustive but it does cover a wide range of topics in both time-series and cross-section analysis. Among the subjects covered are the followoing: the nature of data (including integrated and fractionally integrated data), four estimation methods (maximum likelihood, method of moments, M-estimators and non-parametric estimation), inference (with stationary and integrated regressors), a comparison of various model evaluation principles, the formulation of models (including dynamic specification, cointegration and conditional expectations in mean and variance). Copyright 1989 by Royal Economic Society.