Partly as a response to the dissatisfaction with macroeconometric time-series research and
partly in view of the increasing availability of micro-data and computing facilities, over
the past two decades significant advances have been made in the analysis of micro-data.
Important micro-data sets have become available on households and firms especially in the
United States in such areas as housing, transportation, labour markets and energy. These
data sets include various longitudinal surveys (e.g. University of Michigan Panel Study of
Income Dynamics and Ohio State National Longitudinal Study Surveys), cross-sectional
surveys of family expenditures, population and labour force surveys. This increasing
availability of micro-data, while opening up new possibilities for analysis, has also raised
a number of new and interesting econometric issues primarily originating from the nature
of the data. The errors of measurement are likely to be important in the case of some
micro data sets. The problem of the heterogeneity of economic agents at the micro
level cannot be assumed away as readily as is usually done in the case of macro-data by
appealing to the idea of a ‘representative’ firm or a ‘representative’ household.