Ragnar Frisch's Conception of Econometrics

Ragnar Frisch is well known for his contribution to econometrics as a new discipline in the 1930s and for his role in founding of the Econometric Society and as editor of Econometrica. Despite his active role within the econometrics community, it may be argued that his overall conception of econometrics is insufficiently conveyed in the history of economics literature. This essay aims at illuminating key features of Frisch's scientific conception, drawing partly on unpublished works unearthed from his archives. Among these are a series of eight lectures on the theory and methods of econometrics given by Frisch at the Poincaré Institute at the University of Paris in 1933, as well as extensive lecture notes from Yale University in 1930. These largely unknown documents elaborate on Frisch's scientific views, how he aimed at modeling economics on physics by transferring methodological principles, and on the methods he proposed for economics, such as his axiomatization approach, his structural modeling approach, which became a cornerstone for macroeconomics, his refined explication of concepts such as static/dynamic, micro/macro, and equilibrium, and his concern with the probabilistic nature of the real economic world. One can discern in these documents also that an essential part of Frisch's concept of econometrics as a science was its instrumental role in policy preparation for welfare and improvement of human conditions.