… and its history

Landmark events

• Galton and Pearson

• Tinbergen, Haavelmo

• Cowles Commission

• Lucas and Sims critique

Overviews

• Econometrics: A Bird’s Eye View

• Econometrics: An Historical Guide for the Uninitiated

• The First Fifty Years of Modern Econometrics

By topic

• Pearl, J. (2014). Tygve Haavelmo and the emergence of causal calculus. Econometric Theory, 31(1), 152–179.

• A Short History of Markov Chain Monte Carlo (arxiv)

• Working on 1960s macroeconometrics (blog)

• Criticizing the Lucas Critique: Macroeconometricians’ Response to Robert Lucas

• W N Venables. Exegeses on Linear Models (1998)