As I demonstrate using evidence from a journal data repository that manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, need worry about computational issues. We must careful our choice of and algorithms implement them.

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highl...

The article is aimed at reconsidering the question if project of econometrics can be read in line with scientific realism. Previously, methodological literature focused on philosophy econometrics, voices criticizing realist interpretations were raised. criticism was showing that econometric models lack robustness. use slightly different methods leads to obtaining and often contrary what suppose...