The only official guidance on the bibliography and citation style of Econometrica that are found are the the short paragraph and few examples in https://www.econometricsociety.org/publications/econometrica/information-authors/instructions-preparing-articles-publication. It is hard to build a full style from that (and I also believe that building a full style is a bit too big an ask for one TeX.SX question: ideally questions should be about specific issues that are of general interest so that they can be recycled for other styles and applications as well).
The following could be a basis for further customisations. I didn't go through the examples with a fine-tooth comb, so I expect to have missed some details.
Econometrica style is an author-year-type style. For easier customisability I picked a style from the
biblatex-ext bundle, so the base style is
ext-authoryear (you could also try
ext-authoryear-comp if you like compressed citations).
The other modifications should be reasonably understandable if you look up the respective commands in the
biblatex-ext documentations or Guidelines for customizing biblatex styles. (But I'm happy to answer questions about specific pieces of code used in the MWE as well.)
Related biblatex: how to match the Journal of Finance bibliographic style?.
Note that you probably can not use
biblatex for journal submissions, see Biblatex: submitting to a journal. If journals accept LaTeX they usually have some sort of submission guidance, a template or even a document class. If this is for journal submission, double check (with the editor if the information is not available by other means) that they can accept