IDEAS home Printed from https://ideas.repec.org/a/ksa/szemle/1619.html

Szolgálólányból királycsináló - avagy az ökonometria makroökonómiai térhódítása?
[From maidservant to king-maker - or the macroeconomic advance of econometrics?]

Author

Listed:
  • Mellár, Tamás

Abstract

Ez a cikk az ökonometria makroökonómiában betöltött szerepét tekinti át az elmúlt harminc-negyven esztendő távlatában. Azt a folyamatot próbálja megragadni, amelyben az ökonometria a segédtudományi szerepből egyre inkább kulcspozícióba került az újklasszikus makroökonómiában. Először a mak ro egyen súly potenciális kibocsátással való meghatározásának problémáival foglalkozik, kiemelve a becslés nehézségeit az egyensúlyi kibocsátás látens változóként való kezelésekor. Ezt követően a racionális várakozások ökonometriai modellezési gyakorlatát bírálja, azon az alapon, hogy korrekt makromodell nem alakítható ki az egész gazdaságra vonatkozóan, és így torzítatlan becslés sem valósítható meg. Végül a tanulmány az ökonometriai modelleken alapuló előrejelzések lehetőségét tárgyalja. Megállapítja, hogy ökonometriai becslésen alapuló hatásos előrejelzés nem lehetséges, mert a gazdaság makroműködése nem ergodikus folyamat, hanem útfüggő, s így nem határozható meg a gazdasági rendszer adatgeneráló folyamata. A cikk következtetése, hogy az ökonometriának az idősorelemzé sek től vissza kellene térnie a keresztmetszeti elemzések és a mikroökonómiai megalapozásokat lehetővé tevő modellbecslésekhez. Journal of Economic Literature (JEL) kód: C5, C53, D84, E17.

Suggested Citation

  • Mellár, Tamás, 2016. "Szolgálólányból királycsináló - avagy az ökonometria makroökonómiai térhódítása? [From maidservant to king-maker - or the macroeconomic advance of econometrics?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 285-306.
    • Handle: RePEc:ksa:szemle:1619
    DOI: 10.18414/KSZ.2016.3.285
    as

    Download full text from publisher

    File URL: http://www.kszemle.hu/tartalom/letoltes.php?id=1619
    Download Restriction: Registration and subscription. 3-month embargo period to non-subscribers.
    File URL: https://libkey.io/10.18414/KSZ.2016.3.285?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Claudio BorioBy & Piti Disyatat & Mikael Juselius, 2017. "Rethinking potential output: embedding information about the financial cycle," Oxford Economic Papers, Oxford University Press, vol. 69(3), pages 655-677.
    2. Evans, George W. & Honkapohja, Seppo, 2005. "An Interview With Thomas J. Sargent," Macroeconomic Dynamics, Cambridge University Press, vol. 9(04), pages 561-583, September.
    3. David Colander, 2005. "The Making of an Economist Redux," Journal of Economic Perspectives, American Economic Association, vol. 19(1), pages 175-198, Winter.
    4. Paul Davidson, 1991. "Is Probability Theory Relevant for Uncertainty? A Post Keynesian Perspective," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 129-143, Winter.
    5. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    6. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
    7. Seater, John J, 1993. "Ricardian Equivalence," Journal of Economic Literature, American Economic Association, vol. 31(1), pages 142-190, March.
    8. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mellár, Tamás, 2016. "Válasz Kőrösi Gábornak [Response to Gábor Kőrösi]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 668-672.
    2. Kőrösi, Gábor, 2016. "A lány továbbra is szolgál.. [Modelling and econometrics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 647-667.
    3. Tóth G., Csaba, 2017. "A nemzeti költségvetési szabályok elterjedése és hatása Európában [The spread of national fiscal rules and their effect in Europe]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1119-1147.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    2. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany.
    3. Hammad A. Siddiqi, 2006. "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers 22279, East Asian Bureau of Economic Research.
    4. Duo Qin, 2006. "VAR Modelling Approach and Cowles Commission Heritage," Working Papers 557, Queen Mary University of London, School of Economics and Finance.
    5. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    6. Donal Smith, 2016. "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers 16/07, Department of Economics, University of York.
    7. Oliveira, Fernando Nascimento de, 2016. "Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(3), September.
    8. George Bagdatoglou & Alexandros Kontonikas & Mark E. Wohar, 2016. "Forecasting Us Inflation Using Dynamic General-To-Specific Model Selection," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 151-167, April.
    9. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    10. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
    11. Gantungalag Altansukh & Denise R. Osborn, 2022. "Using structural break inference for forecasting time series," Empirical Economics, Springer, vol. 63(1), pages 1-41, July.
    12. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    13. Jon Huntley & Eric Miller, 2009. "An Evaluation of CBO Forecasts: Working Paper 2009-02," Working Papers 41195, Congressional Budget Office.
    14. Smith, Ron, 2009. "EMU and the Lucas Critique," Economic Modelling, Elsevier, vol. 26(4), pages 744-750, July.
    15. Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
    16. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    17. Barthélemy, Jean & Marx, Magali, 2017. "Solving endogenous regime switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 1-25.
    18. Mariarosaria Comunale, 2017. "Synchronicity of real and financial cycles and structural characteristics in EU countries," CEIS Research Paper 414, Tor Vergata University, CEIS, revised 25 Sep 2017.
    19. Ahmed, M. Iqbal & Cassou, Steven P., 2021. "Asymmetries in the effects of unemployment expectation shocks as monetary policy shifts with economic conditions," Economic Modelling, Elsevier, vol. 100(C).

    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ksa:szemle:1619. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Odon Sok The email address of this maintainer does not seem to be valid anymore. Please ask Odon Sok to update the entry or send us the correct address (email available below). General contact details of provider: http://www.kszemle.hu .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.