I received an email on my recent “Econometrics vs. Statistics” blog from an old friend early last week. We've always had a feisty relationship, so I was a bit surprised when he noted basic agreement with what I'd written. He also reminded me of a book we both purchased and discussed a few years back, “Microeconometrics, Methods and Applications,” by Cameron and Trivedi, that's become the go-to reference for many techniques of the “new” econometrics.
The MMA authors seem to agree with much of the criticism of traditional macroecometrics, citing the strong aggregation assumptions that often underpin the methods. Microeconometrics, in contrast, is “quantitative analysis founded on microdata (that) may be regarded as more realistic than that based on aggregated data.” In other words, microeconometrics is more practical than macroeconometrics. With my BI hat on, I think I agree.
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