On 17 June 2018 at 08:03, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:

Having said that, however, I believe that the purpose of the gretl project is not to tell the world how econometrics should be done. I've never liked those schools of econometric thought that lend themselves to almost religious allegiance: I'm old enought to remember (and shudder at) the zeal of some converts to the LSE approach back in the 80s and I'm frankly puzzled by the gospel-like status a certain not-so-harmless book has gained in recent years.

If the book you're referring to is "Mostly Harmless Econometrics" by Josh Angrist and Steve Pischke, I tend to agree. Although there is some good stuff in it, their treatment of IV regression models is uncritical yet complex to grasp and their view of which techniques should go into an econometrican's toolbox is, well, myopic to say the least: they talk throughout parts of the book of modelling data from schools, classrooms and pupils and yet nowhere do they mention the value of using multilevel models for such data, not even their merits in general; ditto for survival analysis models, even though a sizable part of economics is forever concerned with estimating factors affecting variations in the survival rates of firms in various industries. Moreover, the material they include in their concluding chapter should really have been put near the start. It's well worth a read, but it's a curiously odd book and not one I would recommend to people as a starting point on econometrics. Still, at least it doesn't waste its time discussing stepwise.

C