The Limits of EconometricsE. Elgar, 1990 - 173 pages Econometric issues have provoked a lively and sometimes adversarial debate in the economics profession. The excitement and intellectual vitality of that debate is captured here for the reader in a lucid overview of econometric approaches, describing their advantages and limitations. This ambitious book focuses on the underlying methodological issues rather than concentrating upon econometric techniques. The limits of econometric investigations are identified through a critical appraisal of three different approaches associated with the work of Professors Hendry, Leamer and Sims. After explaining why the early optimism in econometrics was misplaced, it argues that rejection is not an appropriate response. It offers a rich spectrum of approaches to a problem of central importance in the development of modern economics. The book will appeal not only to all econometricians whatever their persuasion but also to all those with an interest in the methodology of economics. |
Table des matières
ECONOMICS DATA AND PROBABILITY | 3 |
Subjective probability | 10 |
The interpretation of the error as a white noise term | 18 |
Droits d'auteur | |
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analysis applied econometrics approach assumptions autoregressive distributed lag auxiliary hypotheses Bayes factor Bayesian behaviour causality ceteris paribus Chapter classical coefficients cointegration conclusion Cooley and LeRoy Cowles Commission critical decision degrees of belief dependent variable discussion distributed lag econometricians economic hypotheses economic theory economists empirical equilibrium error term estimation evidence example exogenous exogenous variables explicit falsification falsificationism falsificationist forecasting framework Hendry identified induction inference interpretive searches investigator Koopmans Leamer logical macroeconometric models main hypothesis measurement method methodological norm minor premise non-systematic null hypothesis observed parameters particular Popper pre-test bias prediction prior probabilistic probability problem proxy random rational expectations re-specification reduced form refutation regression equation regressors rejected relationship requires restrictions role sample search procedure Sims Sims's simultaneous equations Spanos specification search statement statistical tests stochastic structural techniques test statistics testable theoretical time-series tion Type II error vector autoregression white noise Y₁