History of Econometrics (eBook)

Front Cover 1
A History of Econometrics 4
Copyright Page 5
Table of Contents 10
Introduction to the Series 6
PREFACE 8
INTRODUCTION 14
Purpose of the Study 14
The Setting of the Problem 16
Use of Original Source Material 17
Summary of Principal Recent Critiques 18
Outline of Following Chapters 20
NOTES TO INTRODUCTION 23
CHAPTER 1. THE DISCOVERY OF HIGHER STATISTICS" IN ECONOMIC RESEARCH 24
1.1 Background 24
1.2 American Developments 1911–1930 26
1.3 Stirrings in Europe 46
NOTES TO CHAPTER 1 55
CHAPTER 2. 
60 
2.1 Background: Macrodynamics and Complete Systems 60
2.2 The "Cowles Commission Method" 73
2.3 Beginning Debate over Methodology of Structural Estimation 77
NOTES TO CHAPTER 2 84
CHAPTER 3. THE HISTORICAL CONTEXT OF STRUCTURAL ESTIMATION 92
3.1 The Full Employment Act and Post-War Policies 92
3.2 Wartime Price Controls and the Cowles Commission 95
3.3 Fiscal Policy and Debates over Taxation 99
3.4 Structural Estimation and American Institutionalism 100
NOTES TO CHAPTER 3 107
CHAPTER 4. PROMISES AND PROBLEMS OF STRUCTURAL ESTIMATION 112
4.1 Attempts to Recruit Mathematical Statisticians 112
4.2 Empirical Work at Cowles 114
4.3 Retreat from Structure 123
4.4 Structural Estimation after Cowles 127
NOTES TO CHAPTER 4 146
CHAPTER 5. CONTEMPORARY ALTERNATIVES TO SIMULTANEOUS EQUATIONS ESTIMATION 154
5.1 Comparative Developments in England 1939–54 154
5.2 Tinbergen and the Netherlands Central Planning Bureau 165
5.3 The Swedish School: Recursive Models and OLS 168
NOTES TO CHAPTER 5 178
CHAPTER 6. 
184 
6.1 Introduction 184
6.2 A Priori Exogeneity 185
6.3 Testing Exogeneity 189
6.4 Rational Expectations 198
NOTES TO CHAPTER 6 214
CHAPTER 7. 
218 
7.1 Background 218
7.2 Critique of Identification 219
7.3 An Alternative Time-Series Methodology 220
7.4 Contrast to Structural Methods 222
7.5 Estimation and Inference with a VAR 222
7.6 Hypothesis Testing 224
7.7 Policy Analysis 225
7.8 Conclusions about VAR Methodology 230
NOTES TO CHAPTER 7 234
CHAPTER 8. 
236 
8.1 Review of the Argument 236
8.2 Divergent Trends in Modern Econometrics 237
8.3 A Role for Methodological Studies 238
BIBLIOGRAPHY 242
INDEX OF NAMES 262
INDEX OF SUBJECTS 266