This issue of Econometric Theory marks 20 full years of
publication of the journal ET and the beginning of our third
decade. To celebrate the occasion, I invited a group of
econometricians, including all the present and past co-editors of
ET, to reflect on the future of econometrics. To focus
discussion, I selected a theme that relates to a recent trend in the
practical use of econometric methodology, one that seems destined to
play an increasing role in the future of the subject—automated
modeling and inference. Accordingly, this issue contains contributions
on various aspects of the theme of automation, introducing the notion
of automated discovery, analyzing the validity of selection procedures,
and discussing the practical utility of these automated methods in
econometric modeling exercises.
Some of our participants in this anniversary Colloquium have
developed econometric software for the purpose of doing econometric
analysis automatically. They speak of their contributions and
experience in this issue. I have also included in our Colloquium a
dialogue between Clive Granger and David Hendry on the software program
PcGets, which performs automated econometric searches, together with
some concluding comments by Clive Granger on this subject.
Other contributors discuss the methodological implications for
inference that arise in the use of automated procedures. Still others
offer us new automated procedures for handling complications such as
dependence in economic data. Taken together, these contributions
provide ET readers with some perspectives on present-day
econometric methodology and a view along the exciting road that lies
ahead of us.
I thank all our contributors to this Colloquium for their support of
our 20th anniversary celebration and their interest in writing on this
topic. The papers published in this Colloquium have all been
independently refereed. To process these papers and meet the deadline
for the publication of our first issue in 2005, it was necessary to
conduct the reviews in a very tight time frame. Our referees admirably
met a two-week maximum turnaround time for review, surely setting a new
world record for econometrics by doing so! I most sincerely thank them
all for their strong support of this enterprise and their help in
getting this issue completed.
To mark this occasion and to inaugurate our third decade of
publication with a fresh look to the future, we have designed a new
cover for the journal. My thanks go to the Cambridge designer, Ray
Costa, for his help in preparing this cover and to Barbara Chin, our
Cambridge journals editor, for her support and patience throughout this
process.
I trust this Colloquium will prove to be an exciting prospective look
ahead for econometricians everywhere and be as enjoyable for you all to
read as it has been for me to produce.
April 2, 2004
