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On the History of Statistics and Econometrics

I regularly update this blog entry with references on the history of Statistics and Econometrics that I find interesting.

On the General History of Econometrics

  • Morgan, M.S., 1990. The history of econometric ideas. Cambridge University Press.
  • Qin, D., 1997. The Formation of Econometrics: A Historical Perspective. Oxford University Press.
  • Qin, D., 2013. A History of Econometrics: The Reformation from the 1970s. OUP Oxford.
  • Qin, D., 2023. Rescuing Econometrics: From the Probability Approach to Probably Approximately Correct Learning. Taylor & Francis.
  • Gilbert, C. L., Qin, D., 1996. Two Essays on the Methodology of Econometrics. Belgium: Department of Economics, Queen Mary and Westfield College.
  • Gilbert, C. L., 1988. The Development of Econometrics in Britain Since 1945. (n.p.): University of Oxford.
  • Qin, D., 2013. The Rise of Econometrics. (2013). United Kingdom: Routledge.
  • Le Gall, P., 2007. A History of Econometrics in France: From Nature to Models. United Kingdom: Taylor & Francis.
  • Qin, D., 2008. Rise of VAR Modelling Approach. (n.p.): SSRN.
  • Qin, D., Gilbert, C. L., 1997. The Error Term in the History of Time Series Econometrics. Department of Economics, Queen Mary and Westfield College.
  • Qin, D., 1994. Has Bayesian Estimation Principle Ever Used Bayes’ Rule?. Queen Mary and Westfield College, Department of Economics.
  • Qin, D., 1993. Rise of Bayesian Econometrics. Queen Mary and Westfield College, Department of Economics.
  • Qin, D., 2014. Resurgence of Instrument Variable Estimation and Fallacy of Endogeneity. Kiel Institute for the World Economy.
  • Darnell, A.C., 1994. The history of econometrics. Edward Elgar Publishing.
  • Tintner, G., 1953. The definition of econometrics. Econometrica: Journal of the Econometric Society, pp.31-40.
  • Bollerslev, T., 2023. The story of GARCH: A personal odyssey. Journal of Econometrics, 234, pp.96-100.
  • Gilbert, C.L., 1989. LSE and the British approach to time series econometrics. Oxford Economic Papers, 41(1), pp.108-128.
  • Marchi, N.D. and Gilbert, C.L., 1989. History and methodology of econometrics. Oxford economic papers, 41(1).
  • Gilbert, C.L. and Qin, D., 2007. Representation in econometrics: A historical perspective.
  • Gilbert, C.L., 1989. Economic theory and econometric models. The Economic and Social Review, 21(1), pp.1-25.
  • Gilbert, C.L., 1986. Professor Hendry’s econometric methodology. Modelling Economic Series. Oxford: Oxford University Press. Earlier publised in Oxford Bulletin of Economics and Statistics, 48, pp.283-307.
  • de Marchi, N. and Gilbert, C.L., 1989. History and Methodology of Econometrics: Introduction. Oxford Economic Papers, 41(1), pp.1-11.
  • Phillips, P.C., 1988. Reflections on econometric methodology. Economic Record, 64(4), pp.344-359.
  • Epstein, R., 2014. A History of Econometrics. Netherlands: Elsevier Science.
  • Dekker, E., 2021. Jan Tinbergen (1903-1994) and the Rise of Economic Expertise. Cambridge University Press.
  • ET interviews. The Econometric Theory interview series with notable econometricians.

On the General History of Statistics and Probability

  • Studies in the History of Statistics and Probability. The two collections Studies in the History of Statistics and Probability, edited by E S Pearson and M G Kendall, Griffin 1970, and Studies in the History of Statistics and Probability, Volume II, edited by M G Kendall and R L Plackett, Griffin 1977, contain all of numbers I to XXXII of the occasional series Studies in the History of Statistics and Probability that first appeared in Biometrika.
  • ASA History of Statistics Special Interest Group. The History of Statistics IG brings together individuals and groups with an active interest in the history of statistics, to share research and resources. An excellent X profile to follow.
  • Statistical Ideas that Changed the World. Rob Tibshirani and friends (Trevor Hastie, John Cherian, Stefan Wager, Ryan Tibshirani) interview authors of seminal papers in the field of Statistics. This is part of a project from Stanford’s Stat 319 class in Winter 2024 to discuss important papers in the field. Visit this website to find the original papers, presentation slides, and summaries.
  • Salsburg, D. 2002. The Lady Tasting Tea: How Statistics Revolutionized Science in the Twentieth Century. United States: Henry Holt and Company.

Biographies

  • Lehmann, E.L., 1994. Jerzy Neyman: A Biographical Memoir.
  • Lehmann, E.L., 2008. Reminiscences of a statistician: The company I kept (pp. 116-119). New York: Springer.
  • Lehmann, E. L., 2011. Fisher, Neyman, and the Creation of Classical Statistics. Netherlands: Springer New York.

On the History of Least Squares Estimators

On the History of Maximum Likelihood Estimators

On the History of Central Limit Theorems

On the History of Hypothesis Testing

On the History of Algebraic Statistics

On Ramsey, Keynes, and Statistics