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The Etymologies are the part of The Lost Road and Other Writings, a volume of The History of Middle-earth. They are near the end of the book, before the second Silmarillion map.
In his preface to that volume, Christopher Tolkien describes The Etymologies as "a kind of historical dictionary", and associates the work with the years 1937-1938, prior to J.R.R. Tolkien's work on The Lord of the Rings.