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Econometrics is based on economic data while the data represented by fuzzy sets can not be dealt with classical time series methods. In this paper the author proposes a new kind of variable named fuzzy variable of econometric model based on fuzzy membership function. The gap between fuzzy mathematics and econometrics is connected by the concept of fuzzy variable. An example of multivariate linear regression based on fuzzy variable is given to show how fuzzy variable can be used in econometrics.