Econometric methodology: a personal perspective

Abstract

I do not wish to address “methodology” with a capital M in the sense of the meaning of life, of probability, and the definitions of truth, understanding, and progress. If we do not share roughly common notions and concepts from the outset, nothing I can write in the space of this essay will help resolve that state. Instead, given that the primary objective of econometric modelling is to provide an “explanation” for actual economic behaviour (which can include descriptive and predictive aims as well), I seek to communicate the broad framework of my approach and some of the principles and practical procedures it entails.