A history of econometrics by Roy J Epstein

By Roy J Epstein

This comparative ancient research of econometrics specializes in the improvement of econometric equipment and their software to macroeconomics. The research covers the origins of contemporary econometrics within the united states and Europe throughout the 1920's and 30's, the increase of `structural estimation' within the 1940's and 50's because the dominant learn paradigm, and the hindrance of the massive macroeconomic types within the 1970's and 80's. The thoroughly unique function of this paintings is using formerly unknown manuscript fabric from the records of the Cowles fee and different collections. The background so built exhibits that fresh debates over technique are incomplete with out figuring out the various deep criticisms that have been first raised by means of the earliest researchers within the box

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10 Since Moore conveniently published his data in an appendix, a modern reader can experiment with his results. Including the price of oats in the corn equation, for example, has the correct positive sign but negligible significance. n The significant positive slope does in fact disappear when the regressor set contains GNP. HIGHER STATISTICS" IN ECONOMIC RESEARCH 43 12 Marshall to Edgeworth, 5 June 1912, Henry L. Moore Papers. 13 These episodes are recounted in Norman J. Kaye, "The Pioneer Econo­ metrics of Henry L.

4 Sewall Wright and the End of the American Era The decisive breakthrough to the first analytical model of the market- HIGHER STATISTICS" IN ECONOMIC RESEARCH 29 place equilibrium was made under circumstances that unfortunately nulli­ fied its impact on the econometrics profession. It came in the form of an extremely obscure appendix to another Brookings study of the tariff by Philip Wright (1928), the first economist to criticize Moore for confounding supply and demand curves. 26 The arguments went to the heart of many fundamental problems of economet­ rics.

It remained only to specify an economically believable model with tractable mathematical properties. This project lasted almost as long as the Depression itself but its greatest effect, almost paradoxically, was to provoke a revolution in econometric methodology. 2 Ragnar Frisch Ragnar Frisch was drawn into econometrics not so much out of interest in policy or economic reform but a curiosity to test empirically the funda­ mental postulates of neoclassical utility theory. He had little patience with economists less mathematically trained than himself and he gloried in exposing the errors of his intellectual competitors.

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