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A Short History of Macro-econometric Modelling

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  • David F. Hendry

    (Climate Econometrics, Nuffield College, University of Oxford)

Abstract

The key stages in the development of empirical macro-econometric model building are briefly described. Essential steps included characterizing the economy as a system, collating aggregate macroeconomic time series on prices and quantities, isolating the many interacting concepts necessary for understanding how to empirically model economies, inventing viable methods of estimation and inference for dynamic systems, developing hardware and software calculating devices to make such approaches operational, then combining all of these to implement empirical macro-econometric modelling, forecasting and policy making. Its history is littered with both successes and failures, leading overall to substantive progress in understanding, but highlighting the roles of fashions in economic theory dominating empirical evidence and the pernicious impacts of location shifts causing forecast failures and entailing theory failures.

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  • David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:2001
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    File URL: https://www.nuffield.ox.ac.uk/economics/Papers/2020/2020W01_MacroHist18.pdf
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    Keywords

    History of Macroeconomic Modelling; Macro-econometric models; National Accounts; Forecasting; Economic policy;
    All these keywords.

    JEL classification:

    • B22 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Macroeconomics
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies

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