Econometrics

Download A history of econometrics by Roy J Epstein PDF

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By Roy J Epstein

This comparative old learn of econometrics makes a speciality of the improvement of econometric tools and their software to macroeconomics. The research covers the origins of recent econometrics within the united states and Europe through the 1920's and 30's, the increase of `structural estimation' within the 1940's and 50's because the dominant examine paradigm, and the trouble of the massive macroeconomic versions within the 1970's and 80's. The thoroughly unique function of this paintings is using formerly unknown manuscript fabric from the information of the Cowles fee and different collections. The heritage so built indicates that fresh debates over method are incomplete with out figuring out the various deep criticisms that have been first raised through the earliest researchers within the box

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This was a major conceptual advance since it was the first time in econometrics that correlations were seen as a special property of an equation system. The implication was that in the "marketplace equilibrium" separate equations could no longer be stud­ ied in isolation. His point was deceptively simple. In particular, he never imagined that bias could result even with zero correlations of the shifts. Working's own analysis was suggestive but incomplete and years would pass before economists began to appreciate fully the problems that it entailed for estimation and statistical inference.

By focusing on the statistical properties of the disturbance terms, Elmer Working saw the possibility of bias even when no such correlation seemed to exist. He posed the question of the effect of allowing supply shifts to be be correlated with the demand disturbances, considering that the "market equilibrium" had to be interpreted as the joint result of all factors that influenced the position of the two curves. This was a major conceptual advance since it was the first time in econometrics that correlations were seen as a special property of an equation system.

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. However, a graph with equal variability of the shifts would clearly suggest that OLS estimates would be biased towards zero and one might expect that the OLS bias would be a decreasing function of this ratio.

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