THE RISE OF ECONOMETRICS

Transcription

1 THE RISE OF ECONOMETRICS Critical Concepts in Economics Edited by Duo Qin Volume I Early Developments Routledge Taylor & Francis Croup LONDON AND NEW YORK

2 VOLUME I EARLY DEVELOPMENTS Acknowledgements Chronological table of reprinted articles and chapters Preface xii xiv xxi Introduction 1 DUO QIN PART 1 Setting the scene The statistical complement of pure economics 27 HENRY L. MOORE 2 The contribution of statistics: the present situation 49 WESLEY C. MITCHELL PART 2 Data explorations ', Concentration and dependency ratios 55 CORRADO GINI 4 The action of economic forces in producing frequency distributions of income, prices, and other phenomena: a suggestion for study 71 A. L. BOWLEY 5 Construction of a business barometer based upon annual data 87 WARREN M. PERSONS

3 6 Extract from 'The analysis of time series': irregular fluctuations and cyclical fluctuations 123 WESLEY C. MITCHELL 7 Statistical indicators of cyclical revivals 135 WESLEY C. MITCHELL AND ARTHUR F. BURNS 8 Can stock market forecasters forecast? 160 ALFRED COWLES III 9 Differential price behavior as a subject for commodity price analysis 175 HOLBROOK WORKING PART 3 Correspondence between data and theory A theory of production 189 CHARLES W. COBB AND PAUL H. DOUGLAS 11 What do statistical "demand curves" show? 217 E. J. WORKING 12 The marginal propensity to consume and the multiplier: a statistical investigation 233 RICHARD STONE AND W. M. STONE 13 Personal and collective budget functions 258 J. MARSCHAK PART 4 Statistical methods Combining the advantages offirst-differenceand deviation-from-trend methods of correlating time series 279 BRADFORD B. SMITH 15 Effects of a duty on price and output with special reference to butter andflaxseed:appendix B 284 PHILIP G. WRIGHT 16 Correlation and scatter in statistical variables 306 RAGNAR FRISCH 17 The standard error of a forecast from a curve 364 HENRY SCHULTZ 18 Some applications of the scheme of linear autoregression 411 HERMAN O. A. WOLD VI

4 PART 5 Conceptual and methodological issues On the methodology of economic forecasting 429 OSKAR MORGENSTERN 20 Structural, confluent and artificial relations in economic theory 451 RAGNAR FRISCH 21 Business cycles as a theoretical and as a statistical problem 459 RAGNAR FRISCH VOLUME II FORMALISATION Acknowledgements vii PART 6 Macroeconomic models and the Tinbergen-Keynes debate 1 22 An economic policy for JAN TINBERGEN 23 Professor Tinbergen's method 43 J. M. KEYNES 24 On a method of statistical business-cycle research: a reply 52 J. TINBERGEN PART 7 Shaping of a discipline On the statistical'testing'of hypotheses in economic theory 67 TRYGVE HAAVELMO 26 The statistical implications of a system of simultaneous equations 85 TRYGVE HAAVELMO \ 27 Estimation of the parameters of a single equation in a complete system of stochastic equations 97 T. W. ANDERSON AND HERMAN RUBIN 28 Identification problems in economic model construction 118 TJALLING C. KOOPMANS 29 When is an equation system complete for statistical purposes? 137 TJALLING C. KOOPMANS Vll

5 PART 8 Methodological issues Measurement without theory 153 TJALLING C. KOOPMANS 31 Methodological issues in quantitative economics: Koopmans on the choice of variables to be studied and of methods of measurement 170 RUTLEDGE VINING 32 Causal ordering and identifiability. _ 196 HERBERT A. SIMON 33 Causality and econometrics 220 H. WOLD 34 Underidentification, structural estimation, and forecasting 238 TA-CHUNG LIU 35 A symposium on simultaneous equation estimation: simultaneous equation estimation: any verdict yet? 249 CARL F. CHRIST PART 9 Applied studies The use of econometric models as a guide to economic policy 263 LAWRENCE R. KLEIN 37 Extract from 'A test of an econometric model for the United States, ' 303 CARL CHRIST WITH COMMENT FROM MILTON FRIEDMAN 38 The dynamic properties of the Klein-Goldberger model 316 IRMA ADELMAN AND FRANK L. ADELMAN 39 A study of the autoregressive nature of the time series used for Tinbergen's model of the economic system of the United States, G. H. ORCUTT 40 An econometric model of the watermelon market 399 DANIEL B. SUITS Vlll

6 VOLUME III CONSOLIDATION AND EXPANSION Acknowledgements vii PART 10 Bayesian reformalisation 1 41 The Bayesian approach to simultaneous equations estimation 3 JACQUES DREZE PART 11 Micro-econometrics Pooling cross section and time series data in the estimation of a dynamic model: the demand for natural gas 65 PIETRO BALESTRA AND MARC NERLOVE 43 Hedonic price indexes for automobiles: an econometric analysis of quality change 96 ZVI GRILICHES 44 Unobservables with a variance-components structure: ability, schooling, and the economic success of brothers 125 GARY CHAMBERLAIN AND ZVI GRILICHES 45 The Application of Multivariate Probit Analysis to Economic Survey Data 157 JAMES TOBIN 46 A stochastic model for the duration of a strike 174 TONY LANCASTER 47 The measurement of urban travel demand 191 DANIEL MCFADDEN 48 Shadow prices, market wages, and labor supply 218 JAMES HECKMAN \ 49 Estimating the effect of training programs on earnings 237 ORLEY ASHENFELTER 50 An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias 257 ARNOLD ZELLNER 51 Aggregate travel demand forecasting from disaggregated behavioral models 281 DANIEL MCFADDEN AND FRED REID IX

7 52 On the formation of price expectations: an analysis of business test data by log-linear probability models 299 HEINZ KONIG, MARC NERLOVE AND GILLES OUDIZ PART 12 Financial econometrics Brownian motion in the stock market 335 M. F. M. OSBORNE 54 Spectral analysis of New York stock market prices 363 CLIVE W. J. GRANGER AND OSKAR MORGENSTERN VOLUME IV REFORMATIVE MOVEMENTS Acknowledgements vii PART 13 Model specification and selection issues 1 55 Specification errors and the estimation of economic relationships 3 H. THEIL 56 Criteria for evaluation of econometric models 17 PHOEBUS J. DHRYMES, E. PHILIP HOWREY, SAUL H. HYMANS, JAN KMENTA, EDWARD E. LEAMER, RICHARD E. QUANDT, JAMES B. RAMSEY, HAROLD T. SHAPIRO AND VICTOR ZARNOWITZ PART 14 Alternative modelling approaches Multicollinearity: a Bayesian interpretation 59 EDWARD E. LEAMER 58 False models and post-data model construction 77 EDWARD E. LEAMER 59 Introduction to Specification Searches 99 EDWARD E. LEAMER

8 60 Business cycle modeling without pretending to have too much a priori economic theory 117 THOMAS J. SARGENT AND CHRISTOPHER A. SIMS 61 Forecasting with Bayesian vector autoregressions five years of experience 188 ROBERT B. LITTERMAN 62 Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom 216 JAMES E. H. DAVIDSON, DAVID F. HENDRY,.. FRANK SRBA AND STEPHEN YEO 63 The econometric analysis of economic time series 253 DAVID F. HENDRY AND JEAN-FRANCOIS RICHARD 64 Some properties of time series data and their use in econometric model specification 302 C. W. J. GRANGER PART 15 Methodological issues and debates Econometrics alchemy or science 315 D. F. HENDRY 66 Let's take the con out of econometrics 338 EDWARD E. LEAMER 67 What will take the con out of econometrics? 358 MICHAEL MCALEER, ADRIAN R. PAGAN AND PAUL A. VOLKER PART 16 Diverse explorations 379 y- 68 Investigating causal relations by econometric models and cross-spectral methods 381 C. W. J. GRANGER 69 New indexes of coincident and leading economic indicators 399 JAMES H. STOCK AND MARK W. WATSON 70 Time to build and aggregate fluctuations 453 FINN E. KYDLAND AND EDWARD C. PRESCOTT Index 483 XI