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AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary

Published online by Cambridge University Press:  08 February 2005

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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.

Type
EDITORIAL
Copyright
© 2005 Cambridge University Press

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