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Laws and Limits of Econometrics

Author

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  • Peter C. B. Phillips

    (Cowles Foundation for Research in Economics, Yale University)

Abstract

We discuss general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterise mainstream activities of econometrics and their scientific limits. We discuss proximity theorems that quantify by explicit bounds how close we can get to the generating mechanism of the data and the optimal forecasts of next period observations using a finite number of observations. The magnitude of the bound depends on the characteristics of the model and trajectory of the data. We look at one possible future of econometrics using advanced econometric methods interactively with a web browser. Copyright Royal Economic Society 2003

Suggested Citation

  • Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
    • Handle: RePEc:ecj:econjl:v:113:y:2003:i:486:p:c26-c52
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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