The formation of econometrics: a historical perspective
This book traces the formation of econometric theory during the period 1930-60. It focuses on the formation of econometrics from mathematical and scientific processes, in order to analyse economic problems. The book deals with the advances in understanding that were achieved as well as theproblems which arose in the course of the practice of econometrics as a discipline. Duo Qin examines the history of econometrics in terms of the basic issues in econometric modelling: the probability foundations, estimation, identification, testing, and model construction and specification. The book describes chronologically how these issues were formalized. Duo Qin argues thatwhile the probability revolution in econometrics in the early 1940s laid the basis for the systematization of econometric theory, it was actually an incomplete revolution, and that its incompleteness underlay various problems and failures which occurred in applying the newly-established theory tomodelling practice. The book thus links early econometric history with many issues of interest to contemporary developments in econometrics.
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The Probability Foundations of Econometrics
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actually applied modellers assumptions autocorrelation autoregressive business cycle Chapter choice coefficients concept concerning confluence analysis correspondence Cowles Commission Cowles group deterministic developed discussion distributed lags dynamic econometric modelling Econometric Society econometricians economic data economic theory economic time-series economists empirical endogenous error terms errors-in-variables models estimation methods estimation theory exogenous variables Fisher's formulation Frisch Haavelmo hypotheses hypothesis-testing ical identification conditions identification problem identification theory issue joint distribution Klein Klein models Koopmans Koopmans's linear mathematical statistics matrix metric ML estimation model construction model form model specification Monograph Morgan multicollinearity nomic observed Orcutt paper principle priori probability approach probability distribution probability theory random reduced form reduced-form regression Reiersol relationship residual sample Sargan Section serial correlation simultaneous simultaneous-equations model simultaneous-equations system statistical inference statistical methods statistical tests stochastic structural equations structural modelling procedure techniques Theil theoretical model time-series analysis Tinbergen Tintner tion transformation variance-covariance matrix Wald Wold