SUGGESTION FOR FURTHER READING ( Damodar N, Gujarati )

The topic of econometric methodology  is vast and controversial. For those interested in this topic, I suggest the following books :

Neel de Marchi and Christopher Gilbert,eds. , History and methodology of econometrics, oxford University press, New York, 1989 . This collection of readings discusses some early work on econometric methodology and has an extended discussion of the British approach to econometrics relating to time series data, that is, data collected  over a priod of time.

Wojciech W.Charemza and Derek F. Deadman, New Directions in Econometric Practice : General to Specific Modelling , Cointegration and Vector Autogression,2d ed., Edward Elgar Publishing Ltd., Hants , England,1997. The authors of this book critique the traditional approach to econometric methodology.

Adrian C. Darnell and J.Lynne Evans, The limits  of econometrics, Edward Elgar Publishers Ltd., Hants, 1990. The book provides a somewhat balanced discussion of the various methodological approaches to econometrics, with renewed  allegiance to traditional econometric methodology.

Mary S Morgan. The History of Econometric Ideas, Cambridge University  Press, New York,1990. The author provides an excellent historical perspective on the theory and practice of econometric.,with an in-depth discussion of the early contributions of Haavelmo (1990 Nobel Laureate in Economics) The Foundation of Econometric Analysis. Cambridge University Press, UK.,1995, have collected seminal writngs in econometrics to show the evolution of econometric ideas over time.

David Colander and Reuven Brenner,eds Educating Economists, University of Michigan Press, Ann Arbor, Michigan ,1992, present a critical, at time agnostic, view of ekonomic teaching and practice.

For Bayesian statistics and econometrics , the following book are very useful : John H. Dey, Data in Doubt, Basic Blackwel; Ltd. Oxford University Press , England, 1985. Peter M.Lee, Bayesian Statistics : An Introduction, Oxford University Press, England,1989. Dale J. Porier; Intermediate Statistics and Econometrics : A Comparative Approach, MIT Press, Cambridge, Massachusetts, 1995. Arnold Zeller, An Introduction To Bayesian Inference in Econometrics, John Wiley & Sons, New York, 1971. is an advanced reference book