Introduction to Part III

Russell Davidson

in Economics Beyond the Millennium

Published in print September 1999 | ISBN: 9780198292111
Published online November 2003 | e-ISBN: 9780191596537 | DOI:

Series: The ASSET Series

 Introduction to Part III

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Russell Davidson explains how much has changed over the previous decade and how he sees things evolving with perhaps fewer fundamental changes than have occurred before these chapters were written. Of course, the divide between Bayesians and frequentists continues and micro‐oriented econometricians use rather different techniques than their macro‐oriented counterparts. The author insists on the role of the computer in aiding the development of such techniques as ‘bootstrapping’ Bootstrapping followed in the wake of Monte Carlo methods which were already computer intensive. Major developments have and will occur in panel data techniques and in financial econometrics with the availability of high frequency data. He suggests in conclusion that forecasting will be largely Bayesian, while frequentist methods will be used to analyse the economic record.

Keywords: Bayesian; bootstrapping; Monte Carlo; frequentist; parametric and non‐parametric methods

Chapter.  2922 words. 

Subjects: Macroeconomics and Monetary Economics

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