A history of econometrics by Roy J Epstein PDF

By Roy J Epstein

This comparative historic learn of econometrics specializes in the improvement of econometric tools and their program to macroeconomics. The research covers the origins of contemporary econometrics within the united states and Europe in the course of the 1920's and 30's, the increase of `structural estimation' within the 1940's and 50's because the dominant study paradigm, and the situation of the big macroeconomic versions within the 1970's and 80's. The thoroughly unique characteristic of this paintings is using formerly unknown manuscript fabric from the documents of the Cowles fee and different collections. The heritage so developed exhibits that contemporary debates over method are incomplete with out realizing the numerous deep criticisms that have been first raised by means of the earliest researchers within the box

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It is not clear whether Working used diagram­ matic arguments because of expositional simplicity or because he did not know how to make his points in terms of the algebra of the model. Econometricians in that era were already under pressure from the journals to avoid complicated mathematics. This is an instance, however, where the lack of an analytical model seriously hampered the interpretation of results. Working is usually credited with the discovery of the "simultaneity problem," but he specifically asserted the absence of any bias in estimating the slope of the curve which had lower variability, provided the distur- HIGHER STATISTICS" IN ECONOMIC RESEARCH 25 bances in the two equations were statistically independent.

Friedman was no stranger to this kind of work, as evidenced by his partici- EMERGENCE OF STRUCTURAL ESTIMATION 51 pation in the consumer demand studies of Schultz (1938). 14 The model selection problem had already emerged as a critical issue when Tinbergen's fellow econometricians reviewed his work at a special conference held by the League of Nations in Cambridge, England in July 1938. The key argument was presented by Frisch in an unpublished mem­ orandum titled "Statistical versus Theoretical Relations in Economic Macrodynamics/' This paper reworked the themes of complete systems, confluency, and identification but it stressed new aspects that were pecu­ liar to the difference equation context.

Moore" (PhD dissertation, University of Wisconsin, 1956). For another analysis of Moore's work see Stigler (1962). 14 For a recent description of these controls see Hugh Rockoff, Drastic Measures: A History of Price Controls in the United States (New York: Cambridge, 1985). 2 below. , Ricci (1930) and Schultz (1938). 16 Schultz to Moore, 12 August 1924, Henry L. Moore Papers. 17 Schultz to Holbrook Working, 31 July 1923, Henry L. Moore Papers (emphasis in original). 18 Moore to Schultz, 2 January 1924, Henry L.

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