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Recent Developments in Econometric Modelling: A Personal Viewpoint Maddala, G.S. Uploaded 07-17-1997 Keywords dynamic panel data models dynamic models with limited dependent variables unit roots cointegration VAR's Bayesian Abstract The quotation above (more than three thousand years ago) essentially summarizes my perception of what is going on in econometrics. Dynamic economic modelling is a comprehensive term. It covers everything except pure cross-section analysis. Hence, I have to narrow down the scope of my paper. I shall not cover duration models, event studies, count data and Markovian models. The areas covered are: dynamic panel data models, dynamic models with limited dependent variables, unit roots, cointegration, VAR’s and Bayesian approaches to all these problems. These are areas I am most familiar with. Also, the paper is not a survey of recent developments. Rather, it presents what I feel are important issues in these areas. Also, as far as possible, I shall relate the issues with those considered in the work on Political Methodology. I have a rather different attitude towards econometric methods which my own colleagues in the profession may not share. In my opinion, there is too much technique and not enough discussion of why we are doing what we are doing. I am often reminded of the admonition of the queen to Pollonius in Shakespeare’s Hamlet, “More matter, less art.”