The methodology of econometrics is the study of the range of differing approaches to undertaking econometric analysis

Econometrics

Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...

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Commonly distinguished differing approaches that have been identified and studied include:

• the Cowles Commission approach
• the Vector autoregression
  Vector autoregression
  Vector autoregression is a statistical model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregression models. All the variables in a VAR are treated symmetrically; each variable has an equation explaining its evolution based on...
  
   approach
• the LSE approach - originated with Denis Sargan
  Denis Sargan
  John Denis Sargan was a British econometrician who specialized in the analysis of economic time-series. Sargan made many contributions, notably in instrumental variables estimation, Edgeworth expansions for the distributions of econometric estimators, identification conditions in simultaneous...
  
   now associated with David Hendry
  David Forbes Hendry
  Sir David Forbes Hendry, FBA is a British econometrician, currently a professor of economics and from 2001-2007 was Head of the Economics Department at the University of Oxford...
  
   (and his general-to-specific modeling). Also associate with work on integrated and cointegrated systems originating ( Engle
  Robert F. Engle
  Robert Fry Engle III is an American economist and the winner of the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility ".-Biography:Engle was born in Syracuse, New York and went on to...
  
   and Granger
  Clive Granger
  Sir Clive William John Granger was a British economist, who taught in Britain at the University of Nottingham and in the U.S.A. at the University of California, San Diego. In 2003, Granger was awarded the Nobel Memorial Prize in Economic Sciences, in recognition that he and his co-winner, Robert F...
  
  ) and (Johansen and Juselius at the University of Copenhagen) (Juselius 1999)
• the use of calibration - Finn Kydland
  Finn E. Kydland
  Finn Erling Kydland is a Norwegian economist. He is currently the Henley Professor of Economics at the University of California, Santa Barbara. He also holds the Richard P...
  
   and Edward Prescott
  Edward C. Prescott
  Edward Christian Prescott is an American economist. He received the Nobel Memorial Prize in Economics in 2004, sharing the award with Finn E. Kydland, "for their contributions to dynamic macroeconomics: the time consistency of economic policy and the driving forces behind business cycles"...
  
  

In addition to these clearly defined approaches, Hoover identifies a range of heterogeneous or textbook approaches that those less, or even un-, concerned with methodology, tend to follow.

Other sources

• Darnell, Adrian C. and J. Lynne Evans. (1990) The Limits of Econometrics. Aldershot: Edward Elgar.
• Davis, George C. (2000) “A Semantic Conception of Haavelmo’s Structure of Econometrics”, Economics and Philosophy, 16(2), 205–28.
• Davis, George (2005) “Clarifying the ‘Puzzle’ Between Textbook and LSE Approaches to Econometrics: A Comment on Cook’s Kuhnian Perspective on Econometric Modelling”, Journal of Economic Methodology
• Epstein, Roy J. (1987) A History of Econometrics. Amsterdam: North-Holland.
• Fisher, I. (1933) “Statistics in the Service of Economics,” Journal of the American Statistical Association
  Journal of the American Statistical Association
  The Journal of the American Statistical Association is the most prestigious journal published by the American Statistical Association, the main professional body for statisticians in the United States...
  
  28(181), 1-13.
• Gregory, Allan W. and Gregor W. Smith. (1991) “Calibration as Testing: Inference in Simulated Macroeconomic Models,” Journal of Business and Economic Statistics 9(3), 297-303.
• Haavelmo, Trgyve. (1944) “The Probability Approach in Econometrics,” Econometrica 12 (supplement), July. 41
• Heckman, James J. (2000) “Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective,” Quarterly Journal of Economics 115(1), 45-97.
• Hoover, Kevin D. (1995b) “Why Does Methodology Matter for Economics?” Economic Journal 105(430), 715-734.
• Hoover, Kevin D. (ed.) (1995c) Macroeconometrics: Developments, Tensions, and Prospects. Dordrecht: Kluwer.
• Hoover, Kevin D. “The Methodology of Econometrics,” revised 15 February 2005
• Hoover, Kevin D. and Stephen J. Perez. (1999) “Data Mining Reconsidered: Encompassing and the General-to-Specific Approach to Specification Search,” Econometrics Journal 2(2), 167-191. 43
• Juselius, Katarina. (1999) “Models and Relations in Economics and Econometrics,” Journal of Economic Methodology 6(2), 259-290.
• Leamer, Edward E. (1983) “Let’s Take the Con Out of Econometrics,” American Economic Review 73(1), 31-43.
• Mizon, Grayham E. (1995) “Progressive Modelling of Economic Time Series: The LSE Methodology,” in Hoover (1995c), pp. 107-170.
• Morgan, Mary S. (1990) The History of Econometric Ideas. Cambridge: Cambridge University Press.
• Spanos, Aris. (1986) Statistical Foundations of Econometric Modelling. Cambridge: Cambridge University Press.