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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... relationship with econometric model- ling . For example , Harvey writes : ... There are two aspects to the study of ... relation to time ( Harvey , 1981 , p.1 ) . Cointegration has evolved from the long - recognized knowledge that with ...
... relationship ' for otherwise x , and y , will tend to drift apart without bound ( Taylor , 1988 , p.1373 , emphasis added ) . It is important to examine this statement ; it suggests that the existence of a stable long - run relationship ...
... relationship found , the investigator has an insufficient understand- ing of why that relationship ' works ' and , consequently , has no understand- ing of the conditions which would cause that relationship to break down . Moreover ...
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