A History of Econometrics
This comparative historical study of econometrics focuses on the development of econometric methods and their application to macroeconomics. The analysis covers the origins of modern econometrics in the USA and Europe during the 1920's and 30's, the rise of structural estimation' in the 1940's and 50's as the dominant research paradigm, and the crisis of the large macroeconomic models in the 1970's and 80's. The completely original feature of this work is the use of previously unknown manuscript material from the archives of the Cowles Commission and other collections. The history so constructed shows that recent debates over methodology are incomplete without understanding the many deep criticisms that were first raised by the earliest researchers in the field.
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THE DISCOVERY OF HIGHER STATISTICS
THE EMERGENCE OF STRUCTURAL ESTIMATION
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aggregate analysis approach assumed assumptions asymptotic autoregressive behavior bias business cycle causal coefficients consumption function covariance matrix Cowles Commission critique demand curve developed difference equations discussed in section distribution econometric models econometricians economic policy economic theory economists effects elasticity emphasis empirical endogenous equilibrium errors in variables esti estimation procedure example exogenous variables forecasting Friedman Frisch function Granger Granger causality Haavelmo Hatanaka and Odaki implied important income inference interest interpretation Keynes Keynesian Klein Koopmans Koopmans's Lawrence Klein linear macroeconomic Mann and Wald Marschak mathematical maximum likelihood methodology methods Moore multiple hypotheses nomic observed Orcutt overidentifying period prediction priori Ragnar Frisch rational expectations recursive reduced form regression restrictions Rockefeller Foundation Schultz seemed serial correlation Sewall Wright Sims simultaneous equations small sample specification statistical structural change structural equations structural estimation structural parameters tests theoretical Tinbergen tion Tjalling Koopmans trend Wold zero