Terence C. Mills and Kerry Patterson xxxiOver the 14-year review period, 1995–2008, there were 513 research articles pub-
lished in theJAE, of which 253 were categorized as applications in time series, 140
as panel data applications and 105 as cross-section applications. Ooms notes that
there has been a gradual shift from macroeconometrics to microeconometrics and
applications using panel data. The software review section of theJAEhas been a
regular feature, so enabling an analysis of the programmes that have been in use –
and continue to be in use, reflecting the development policy of the providers. This
section is likely to be a very useful summary for research and teaching purposes.
Ooms also notes the growth of high-level programming languages, such as Gauss,
MATLAB, Stata and Ox, and illustrates their use with a simple program. In com-
bination, the profession is now very much better served for econometric software
than it was twenty years ago. Of course, these developments have not taken place in
isolation but rather as a response to developments in theoretical and applied econo-
metrics. A leading example in this context, noted by Ooms, is the Arellano and
Bond (1991) approach to the estimation of applications using panel data (dynamic
panel data, or DPD, analysis), which led to the widespread implementation of new
code in existing software and many new applications; an example in the area of
time series applications is the growth of ARCH and GARCH-based methods and the
implantation of estimation routines in econometric software. As noted in Chapter
28 by McCullough, reproducibility of results is a key aspect in the progression and
reputation of applied econometrics. Results that are irreproducible by reason of
either inaccurate software or unavailability of data will do long-term harm to the
profession. In this respect, theJAE, through Hashem Pesaran’s initiative, has been
a leader in the context of requiring authors to provide the data and code which
they used. TheJAEarchive is indexed and carefully managed, and provides the
standard for other journals.
As a final comment, which we hope is evident from the chapters contained in
this volume, one cannot help but be struck by the incredible ingenuity of those
involved in pushing forward the frontiers of applied econometrics. Had this volume
been compiled even, say, just twenty years ago, how different would it have been!
Viewed from above, the landscape of applied econometrics has changed markedly.
Time series econometrics and macroeconometrics, whilst still important, are not
predominant. The combination of the availability of large datasets of a microeco-
nomic nature, combined with enormous increases in computing power, has meant
that econometrics is now applied to a vast range of areas. What will the next twenty
years bring?
Finally, thanks are due to many in enabling this volume to appear. First, our
thanks go collectively to the authors who have cooperated in contributing chapters;
they have, without exception, responded positively to our several and sometimes
many requests, especially in meeting deadlines and accommodating editorial sug-
gestions. We hope that the quality of these chapters will be an evident record of
the way the vision of theHandbookhas been embraced. We would also like to
record our gratitude to the Advisory Editors for this volume: Bill Greene, Philip
Hans Franses, Hashem Pesaran and Aman Ullah, whose support was invaluable,
especially at an early stage.