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The Empirical Significance of Econometric Models

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  • Thomas Mayer

    (Department of Economics, University of California Davis)

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    Abstract

    This essay discusses some, but by no means all the important problems that arise in econometric testing of econometric models. Specifically, it disusses the reliabilty of the underlying data and their processing, the problem of relating theories and data, ceteris paribus conditions and testability, data mining and the misuse of significance test.

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    File URL: http://wp.econ.ucdavis.edu/06-20.pdf
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    Bibliographic Info

    Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 620.

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    Length: 29
    Date of creation: 16 May 2006
    Date of revision:
    Handle: RePEc:cda:wpaper:06-20

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    Web page: http://www.econ.ucdavis.edu
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    Related research

    Keywords: econometric; models; theories;

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    1. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
    2. Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
    3. Keuzenkamp, Hugo A & McAleer, Michael, 1995. "Simplicity, Scientific Interference and Econometric Modelling," Economic Journal, Royal Economic Society, vol. 105(428), pages 1-21, January.
    4. McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June.
    5. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics 0511018, EconWPA.
    6. Keuzenkamp, H.A. & Magnus, J.R., 1995. "On tests and significance in econometrics," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153236, Tilburg University.
    7. Robert Goldfarb, 1995. "The economist-as-audience needs a methodology of plausible inference," Journal of Economic Methodology, Taylor & Francis Journals, vol. 2(2), pages 201-222.
    8. McCullough, B. D., 2000. "Is it safe to assume that software is accurate?," International Journal of Forecasting, Elsevier, vol. 16(3), pages 349-357.
    9. Jan R. Magnus & J. Durbin, 1999. "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, vol. 67(3), pages 639-644, May.
    10. Aris Spanos, 2001. "Revisiting data mining: 'hunting' with or without a license," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 231-264.
    11. Adrian Pagan & Michael Veall, 2001. "Data mining and the econometrics industry: comments on the papers of Mayer and of Hoover and Perez," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 211-216.
    12. Lovell, Michael C & Selover, David D, 1994. "Software Reviews," Economic Journal, Royal Economic Society, vol. 104(424), pages 713-26, May.
    13. repec:reg:wpaper:525 is not listed on IDEAS
    14. Roger Backhouse & Mary Morgan, 2001. "Introduction: is data mining a methodological problem?," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 171-181.
    15. Thomas Mayer, . "The Role Of Ideology In Disagreements Among Economists. A Quantitative Analisis:," Department of Economics 00-01, California Davis - Department of Economics.
    16. Zellner, A., 1992. "Statistics, Science and Public Policy," Papers 92-21, California Irvine - School of Social Sciences.
    17. Backhouse, R.E., 1992. "The Significance of Replication in Econometrics," Discussion Papers 92-23, Department of Economics, University of Birmingham.
    18. Leontief, Wassily, 1971. "Theoretical Assumptions and Nonobserved Facts," American Economic Review, American Economic Association, vol. 61(1), pages 1-7, March.
    19. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
    20. Kevin Hoover & Stephen Perez, 2001. "Three attitudes towards data mining," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 195-210.
    21. Robert S. Goldfarb & H. O. Stekler, 2000. "Why Do Empirical Results Change? Forecasts as Tests of Rational Expectations," History of Political Economy, Duke University Press, vol. 32(5), pages 95-116, Supplemen.
    22. Kennedy, Peter E, 2002. " Sinning in the Basement: What Are the Rules? The Ten Commandments of Applied Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 16(4), pages 569-89, September.
    23. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995. "On tests and significance in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 5-24, May.
    24. James T. Hamilton & W. Kip Viscusi, 1999. "Are Risk Regulators Rational? Evidence from Hazardous Waste Cleanup Decisions," American Economic Review, American Economic Association, vol. 89(4), pages 1010-1027, September.
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