A history of econometrics by Roy J Epstein

By Roy J Epstein

This comparative ancient research of econometrics makes a speciality of the advance of econometric tools and their software to macroeconomics. The research covers the origins of contemporary econometrics within the united states and Europe throughout the 1920's and 30's, the increase of `structural estimation' within the 1940's and 50's because the dominant examine paradigm, and the drawback of the massive macroeconomic types within the 1970's and 80's. The thoroughly unique function of this paintings is using formerly unknown manuscript fabric from the records of the Cowles fee and different collections. The background so developed indicates that fresh debates over technique are incomplete with out figuring out the numerous deep criticisms that have been first raised via the earliest researchers within the box

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24) by itself. 24) would be at most 1, again ruling out a unique solution. Although Frisch acknowledged special cases that yielded structural estimates despite this general problem, he did not approach the estimation problem by imposing any restrictions on the coefficients of the system. At the same time, he specifically did not think that every variable was neces­ sarily a function of every other. He noted that this was an "extreme . . "41 The root problem was that HIGHER STATISTICS" IN ECONOMIC RESEARCH 39 in a great many cases, particularly outside the market equilibrium context, existing economic theory simply did not provide much guidance in speci­ fying the equations.

We may fit a curve which will have the elasticity of the demand curve that we originally assumed, [emphasis added] No method of fitting was described and, in particular, it was not proved that OLS estimates would have this property. Perhaps like his brother, Elmer Working thought in terms of a regres­ sion with errors in all variables which would be parameterized by the rela­ tive variability. The setup would be slightly different in that each curve would have only one composite shift parameter (instead of a disturbance along each dimension as explained by Holbrook Working).

43 A sudden and extreme increase in the spread was taken as good evidence for a multilinear relationship in the given combination. The bunch map of course could not be used blindly. The typically small number of available observations tested the skill of the econometrician in judging the significance of the differences in the coefficients in a map with a wide spread. Frisch apparently rejected the use of any conventional con­ fidence tests in this task because the underlying distribution theory pre­ supposed correct model specification.

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