The First Fifty Years of Modern Econometrics
AbstractWe characterize modern econometrics in terms of the emergence a widely accepted analytical framework. A major theme which dominated much of the debate through the century was whether and how econometric models can reflect theory-generated economic structures. In the period prior to the 2nd world war, economists adopted a wide variety of analytical methods, some ad hoc but others reflecting advances in statistical methodology. Business cycle analysis and demand analysis were the two major areas in which statistical theory was employed. Methods became increasingly formalized but problems of data adequacy, estimation and identification were not always well distinguished. During and immediately after the war, Cowles Commission research sought to base econometrics on autonomous probabilistic models specified in terms of underlying structural parameters. Least squares would not normally be consistent in such models and maximum likelihood estimation was to be preferred. Subsequently, however, the pendulum swung back towards least squares-based methods and this was reflected in the textbook expositions of what was accepted as standard econometrics in the late sixties and early seventies. Subsequently, the paradigm was undermined by the challenges imposed by rational expectations modelling, which challenged standard identification assumptions, and by the poor forecasting performance of many macroeconomic models by comparison with black box time series competitors. The result was a revival of non-structural modelling, particularly in the analysis of macroeconomic data.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 544.
Date of creation: Jul 2005
Date of revision:
Econometrics; History; Estimation; Identification;
Find related papers by JEL classification:
- B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-18 (All new papers)
- NEP-ECM-2005-07-18 (Econometrics)
- NEP-HIS-2005-07-18 (Business, Economic & Financial History)
- NEP-HPE-2005-07-18 (History & Philosophy of Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Walters, A A, 1971. "Consistent Expectations, Distributed Lags and the Quantity Theory," Economic Journal, Royal Economic Society, vol. 81(322), pages 273-81, June.
- Karl A. Fox, 1956. "Econometric Models of the United States," Journal of Political Economy, University of Chicago Press, vol. 64, pages 128.
- Hughes Hallett, Andrew J, 1989. "Econometrics and the Theory of Economic Policy: The Tinbergen-Theil Contributions 40 Years On," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 189-214, January.
- Qin, Duo & Gilbert, Christopher L., 2001. "The Error Term In The History Of Time Series Econometrics," Econometric Theory, Cambridge University Press, vol. 17(02), pages 424-450, April.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Epstein, Roy J, 1989. "The Fall of OLS in Structural Estimation," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 94-107, January.
- QIN, Duo, 1996. "BAYESIAN ECONOMETRICS: The First Twenty Years," Econometric Theory, Cambridge University Press, vol. 12(03), pages 500-516, August.
- Phoebus J. Dhrymes & E. Philip Howrey & Saul H. Hymans & Jan Kmenta & Edward E. Leamer & Richard E. Quandt & James B. Ramsey & Harold T. Shapiro & Victor Zarnowitz, 1972. "Criteria For Evaluation Of Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 291-325 National Bureau of Economic Research, Inc.
- Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-97, May.
- Lawrence R. Klein, 1957. "The Estimation of Distributed Lags," Cowles Foundation Discussion Papers 34, Cowles Foundation for Research in Economics, Yale University.
- Esther-Mirjam Sent, 2002. "How (Not) to Influence People: The Contrary Tale of John F. Muth," History of Political Economy, Duke University Press, vol. 34(2), pages 291-320, Summer.
- Andersen, Leonall C & Carlson, Keith M, 1974. "St. Louis Model Revisited," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(2), pages 305-27, June.
- Bjerkholt, Olav, 2005. "Frisch'S Econometric Laboratory And The Rise Of Trygve Haavelmo'S Probability Approach," Econometric Theory, Cambridge University Press, vol. 21(03), pages 491-533, June.
- Bert G. Hickman, 1972. "Index to "Econometric Models of Cyclical Behavior, Vols. 1 and 2"," NBER Chapters, in: Econometric Models of Cyclical Behavior, Vols. 1 and 2, pages 1219-1225 National Bureau of Economic Research, Inc.
- Sargent, Thomas J, 1976.
"The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics,"
Journal of Political Economy,
University of Chicago Press, vol. 84(3), pages 631-40, June.
- Thomas J. Sargent, 1975. "The observational equivalence of natural and unnatural rate theories of macroeconomics," Working Papers 48, Federal Reserve Bank of Minneapolis.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Gilbert, Christopher L, 1991. "Richard Stone, Demand Theory and the Emergence of Modern Econometrics," Economic Journal, Royal Economic Society, vol. 101(405), pages 288-302, March.
- Heckman, James J., 2000. "Microdata, Heterogeneity and the Evaluation of Public Policy," Nobel Prize in Economics documents 2000-4, Nobel Prize Committee.
- 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.
- Gilbert, Christopher L, 1989. "LSE and the British Approach to Time Series Econometrics," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 108-28, January.
- Lewis, H Gregg, 1974. "Comments on Selectivity Biases in Wage Comparisons," Journal of Political Economy, University of Chicago Press, vol. 82(6), pages 1145-55, Nov.-Dec..
- Liu, Ta-Chung, 1969. "A Monthly Recursive Econometric Model of United States: A Test of Feasibility," The Review of Economics and Statistics, MIT Press, vol. 51(1), pages 1-13, February.
- Warren Young & William Darity, Jr., 2001. "The Early History of Rational and Implicit Expectations," History of Political Economy, Duke University Press, vol. 33(4), pages 773-813, Winter.
- Hendry, David F, 2002. " Applied Econometrics without Sinning," Journal of Economic Surveys, Wiley Blackwell, vol. 16(4), pages 591-604, September.
- Gilbert, C L, 1976. "The Original Phillips Curve Estimates," Economica, London School of Economics and Political Science, vol. 43(169), pages 51-57, February.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, October.
- Pagan, Adrian, 1987. " Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
- Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-63, September.
- Rodney Maddock, 1984. "Rational Expectations Macrotheory: a Lakatosian Case Study in Program Adjustment," History of Political Economy, Duke University Press, vol. 16(2), pages 291-309, Summer.
- Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-94, July.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Gordon, Robert J, 1970. "The Brookings Model in Action: A Review Article," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 489-525, May-June.
- Bert G. Hickman, 1972. "Econometric Models of Cyclical Behavior, Vols. 1 and 2," NBER Books, National Bureau of Economic Research, Inc, number hick72-1.
- Goldberger, Arthur S, 1972. "Structural Equation Methods in the Social Sciences," Econometrica, Econometric Society, vol. 40(6), pages 979-1001, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nick Vriend).
If references are entirely missing, you can add them using this form.