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The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling

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  • Spanos, Aris

Abstract

The primary aim of the paper is to place current methodological discussions on empirical modeling contrasting the 'theory first' versus the 'data first' perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander?s argument in his paper ?Economists, Incentives, Judgement and Empirical Work? relating to the two different perspectives in Europe and the US that are currently dominating empirical macro-econometric modeling and delves deeper into their methodological/philosophical foundations. It is argued that the key to establishing a constructive dialogue between them is provided by a better understanding of the role of data in modern statistical inference, and how that relates to the centuries old issue of the realisticness of economic theories. --

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Bibliographic Info

Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2008-25.

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Date of creation: 2008
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Handle: RePEc:zbw:ifwedp:7336

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Keywords: Econometric methodology; ?general-to-specific?; pre-eminence of theory; VAR; statistical adequacy; realisticness of theory; statistical model;

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  1. Spanos, Aris, 1990. "The simultaneous-equations model revisited : Statistical adequacy and identification," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 87-105.
  2. Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 161-78.
  3. Aris Spanos, 2006. "Revisiting the omitted variables argument: Substantive vs. statistical adequacy," Journal of Economic Methodology, Taylor & Francis Journals, vol. 13(2), pages 179-218.
  4. Peter N. Ireland, 1999. "A method for taking models to the data," Working Paper 9903, Federal Reserve Bank of Cleveland.
  5. Spanos, Aris, 1995. "On theory testing in econometrics : Modeling with nonexperimental data," Journal of Econometrics, Elsevier, vol. 67(1), pages 189-226, May.
  6. Dave Colander, 2008. "Economists, Incentives, Judgement and Empirical Work," Middlebury College Working Paper Series 0806, Middlebury College, Department of Economics.
  7. Hendry, David F., 2003. "J. Denis Sargan And The Origins Of Lse Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 19(03), pages 457-480, June.
  8. repec:cup:cbooks:9780521424080 is not listed on IDEAS
  9. 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.
  10. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, December.
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