When John Maynard Keynes accused Jan Tinbergen of practising black magic and alchemy, econometrics was still in its infancy. A critical attitude to econometrics was legitimate, as it would have been for any novel enterprise. Stubborn perseverance on behalf of the pioneers of econometrics is natural as well. However, after more than half a century of development by some of the most brilliant social scientists, and much practical experience, Keynes' comments are repeated today by respected authorities. Has it all been in vain?

Not quite. It is true that the aspirations (or pretences) of econometrics and the accomplishments still tend to be divided by a gap, which, in turn, tends to damage the credibility of the whole discipline. Many of econometrics' results remain controversial. Some critics claim that even the most basic aim, the measurement and quantitative description of economic phenomena, has not been accomplished. Econometric evidence has been compared with the evidence of miracles in Lourdes. Some deplore the waste of electricity used for econometric computer calculations. But a fair appraisal of contemporary econometrics cannot deny that a number of interesting empirical lessons have been learnt. The verdict that the econometric exploration was all in vain can only result from a wrong interpretation of econometric aims.

This book is a methodological investigation of this exploration. It confronts the aims with the methods and with the philosophical as well as the probabilistic foundations of those methods.