The Limits of EconometricsEconometric 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. |
From inside the book
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A. C. Darnell, Lynne Evans. 7 SIMS AND VECTOR AUTOREGRESSIONS 113 The Cowles Commission 114 Objections to the Cowles Commission method 117 VAR : what is it about ? 118 The VAR method 120 Applications of VAR 124 Criticisms of VAR 124 ...
... Cowles Commission development was the publica- tion , in 1950 , of the Cowles Commission Monograph No. 10 in which Koopmans introduced exogenous variables to the Mann and Wald frame- work . This extension of Mann and Wald was to use ...
... Cowles Commission approach to model specifica- tion are : restrictions from economic theory , presumptions about the direction of causation between economic variables and the property of exogeneity . The issues of causality and ...
Contents
ECONOMICS DATA AND PROBABILITY | 3 |
Subjective probability | 10 |
The interpretation of the error as a white noise term | 18 |
Copyright | |
14 other sections not shown