[T]here are several aspects of the quantitative approach to economics, and no single one of these aspects, taken by itself, should be confounded with econometrics. Thus, econometrics is by no means the same as economic statistics. Nor is it identical with what we call general economic theory, although a considerable portion of this theory has a definitely quantitative character. Nor should econometrics be taken as synonymous with the application of mathematics to economics. Experience has shown that each of these three view-points, that of statistics, economic theory, and mathematics, is a necessary, but not by itself a sufficient, condition for a real understanding of the quantitative relations in modern economic life. It is the unification of all three that is powerful. And it is this unification that constitutes econometrics.

Some of the most fundamental economic facts … already present themselves to our observation as quantities made numerical by life itself. They carry meaning only by virtue of their numerical character. There would be movement even if we were unable to turn it into measurable quantity, but there cannot be prices independent of the numerical expression of every one of them, and of definite numerical relations among all of them.

Econometrics is nothing but the explicit recognition of this rather obvious fact, and the attempt to face the consequences of it. We might even go so far as to say that by virtue of it every economist is an econometrician whether he wants to be or not, provided he deals with this sector of our science and not, for example, with the history of organization of enterprise, the cultural aspects of economic life, economic motive, the philosophy of private property, and so on. It is easy to understand why explicit recognition of this fact should have been so difficult, and why it has taken so long to come about.

In order to draw inferences from data as described by econometric texts, it is necessary to make whimsical assumptions. The professional audience consequently and properly withholds belief until an inference is shown to be adequately insensitive to the choice of assumptions. The haphazard way we individually and collectively study the fragility of inferences leaves most of us unconvinced that any inference is believable.