By CLIVE W. J. GRANGER* The two prize winners in Economics this year would describe themselves as âEconometricians,â so I thought that I should start by explaining that term. One can begin with the ancient subject of Mathematics which is largely concerned with the discovery of relationships between deterministic variables using a rigorous argument. (A deterministic variable is one whose value is known with certainty.) However, by the middle of the last millennium it became clear that some objects were not deterministic, they had to be described with the use of probabilities, so that Mathematics grew a substantial subï¬eld known as âStatistics.â This later became involved with the analysis of data and a number of methods have been developed for data having what may be called âstandard properties.â However, in some areas of application, the data that they generated were found to be not standard, and so special sub-subï¬elds needed to be developed. For example, Biology produced Biometrics, Psychology gave us Psychometrics, and Economics produced Econometrics. There are many types of economic data, but the type considered by Robert Engle and myself is known as time series. Consider the measurement of unemployment rates which is an important measure
American Economic Review – American Economic Association
Published: Jun 1, 2004
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