Aims of the lecture

• 1. To explain the origins of modern econometrics.

• 2. To explain the transition from measurement to testing.

• 3. To comment on the relationship between econometrics and economics more broadly.

Bibliography

A primary reference here is Walter Friedman, Fortune Tellers: The Story of America’s First Economic Forecasters (Princeton, NJ: Princeton University Press, 2014).

M. Morgan’s A History of Econometrics (Cambridge: Cambridge University Press, 1990) is the key text on the history of econometrics, which is the basis for much of this lecture. D. F. Hendry and M. Morgan’s The Foundations of Econometric Analysis (Cambridge: Cambridge University Press, 1995) is a book of readings covering the material on which Morgan’s history was based. There is value added in that the introduction contains interesting additional commentary on the articles.

J. D. Angrist and J.-S. Pischke’s “The Credibility Revolution in Empirical Economics: How Better Research Design Is Taking the Con out of Econometrics”, Journal of Economic Perspectives 24:2 (2010), 3–30, argues that there has been a profound change in econometric methods over the past 20 years. M. Panhans and J. Singleton’s “The Empirical Economist’s Toolkit: From Models to Methods”, History of Political Economy (forthcoming), seeks to understand the change in econometrics described by Angrist and Pischke.

Though it stops as the story told here begins, Judy Klein’s Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge: Cambridge University Press, 1997) covers the origins of time-series analysis.

This lecture does not go into detail on the history of the creation of statistics. Those who want a more detailed introduction to the topic than the brief account offered in this lecture can find it in four short pieces discussing developments in three countries: A. Vanoli, “National Accounting, History of “ (2008), in New Palgrave Dictionary of Economics, second edition (available online at www.dictionaryofeconomics.com); K. Tribe, “The Measurement of Economic Activity and the Growth Metric: Constructing National Income in Britain, 1907–41”, in The Economy of the Word: Language, History and Economics (Oxford: Oxford University Press, 2015), chapter 3;