I was very pleased to be invited to the Universidad Carlos III as visiting professor, to meet all my old Spanish friends again, and to have the opportunity to give this public lecture. My address will have two themes: a brief review of the history and current status of the London School of Economics, and then a discussion of the strong tradition which has developed there of the study of mathematical methods in the social sciences, particularly in economics, by building mathematical models of economic behaviour, and then estimating these models statistically. That briefly is how I define econometrics.