A history of econometrics : the reformation from the 1970s / Duo Qin.

Format:

Book

Author/Creator:

Qin, Duo, author.

Language:

English

Subjects (All):

Econometrics--History.

Econometrics.

History.

Physical Description:

xviii, 238 pages : illustrations ; 24 cm

Edition:

First edition.

Place of Publication:

Oxford : Oxford University Press, 2013.

Summary:

A History of Econometrics is a sequel to The Formation of Econometrics: A Historical Perspective (OUP, 1993) which traces the formation of econometric theory during the period 1930-1960. This book provides an account of the advances in the field of econometrics since the 1970s. Based on original research, it focuses on the reformists' movement and schools of thought and practices that attempted a paradigm shift in econometrics in the 1970s and 1980s. It describes the formation and consolidation of the Cowles Commission (CC) paradigm and traces and analyses the three major methodological attempts to resolve problems involved in model choice and specification of the CC paradigm. These attempts have reoriented the focus of econometric research from internal questions (how to optimally estimate a priori given structural parameters) to external questions (how to choose, design, and specify models). It also examines various modelling issues and problems through two case studies - modelling the Phillips curve and business cycles. The third part of the book delves into the development of three key aspects of model specification in detail - structural parameters, error terms, and model selection and design procedures. The final chapter uses citation analyses to study the impact of the CC paradigm over the span of three and half decades (1970-2005). The citation statistics show that the impact has remained extensive and relatively strong in spite of certain weakening signs. It implies that the reformative attempts have fallen short of causing a paradigm shift. Book jacket.

Contents:

1 Consolidation of the Cowles Commission Programme 4

1.1 Cowles commission methodology 6

1.2 Programme consolidation: textbook standardization 8

1.3 Programme consolidation: emulative research 12

1.4 Programme consolidation: the role of applied modelling 15

1.5 Mood changes: 'econometrics' or 'playometrics' 21

2 Rise of Bayesian Econometrics 24

2.1 Bayesian entry and reformulation of the structural approach 25

2.2 Emergence of the Bayesian specification search 28

2.3 Model selection based on statistical theory 32

2.4 Bayesian fusion with time-series econometrics 35

2.5 Methodological reflection 37

3 Rise of the VAR Approach 41

3.1 Dynamic specification gap: from theory to data 42

3.2 The rational expectations hypothesis and VAR model 44

3.3 Emergence of the VAR approach 47

3.4 Manifesto of the VAR approach 49

3.5 Emergence of structural VARs 51

3.6 Methodological reflection 54

4 Rise of the LSE Approach 57

4.1 Preludes 58

4.2 Dynamic specification from empirical modelling 61

4.3 Conceptual formalization of dynamic specification 64

4.4 Dynamic specification in action: money demand studies 69

4.5 Methodological reflection 72

5 Case Study One-Modelling the Phillips Curve 76

5.1 The Phillips curve 77

5.2 Price and wage modelling 79

5.3 The inverse Phillips curve 82

5.4 Diversified practice 84

5.5 Impact assessment through citation analysis 88

5.6 Retrospective assessment 93

6 Case Study Two-Modelling Business Cycles 96

6.1 Background and preludes 97

6.2 Theory led time-series reforms 100

6.3 Time-series formalization of business cycle measures 103

6.4 Forecasting business cycles with time-series modelling 107

6.5 Retrospective assessment 110

7 Evolving Polysemy of Structural Parameters 114

7.1 Prelude: the conceptualization of structural parameters 115

7.2 Diagnosis and treatment of non-constant parameter estimates 117

7.3 Diagnosis and treatment of collinear parameter estimates 122

7.4 Specification and estimation of static parameters using time-series data 126

7.5 History in retrospect 131

8 Evolving Roles of Error Terms 135

8.1 Structural approach and errors in equations 136

8.2 Errors in equations during the consolidation years 139

8.3 Error terms as manoeuvrable unobservables 142

8.4 Error terms as innovative structural shocks 144

8.5 Error terms and error-correction models 147

8.6 History in retrospect 150

9 Calibration of Model Selection and Design Procedure 153

9.1 Model specification and selection in the consolidation years 154

9.2 Data-based model evaluation and the rise of specification tests 157

9.3 Major alternatives to specification searches and model selection 160

9.4 Diversified approaches and formalization of selection procedures 163

9.5 History in retrospect 166

10 The Impact of the CC Programme through Citation Analysis 169

10.1 Citation database, impact measures, and key summary statistics 170

10.2 Citation analysis of the CC paradigm 174

10.3 Citation analysis of comparative alternatives 181

10.4 Concluding remarks 183

10.5 Appendix: database description 184.

Notes:

Includes bibliographical references (pages 197-227) and indexes.

ISBN:

9780199679348

0199679347

OCLC:

857280622