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The Empirical Significance of Econometric Models

  • Thomas Mayer

    (Department of Economics, University of California Davis)

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    This essay discusses some, but by no means all the important problems that arise in econometric testing of econometric models. Specifically, it disusses the reliabilty of the underlying data and their processing, the problem of relating theories and data, ceteris paribus conditions and testability, data mining and the misuse of significance test.

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    File URL: http://wp.econ.ucdavis.edu/06-20.pdf
    Our checks indicate that this address may not be valid because: 500 Can't connect to wp.econ.ucdavis.edu:80 (10060). If this is indeed the case, please notify (Scott Dyer)


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    Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 620.

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    Length: 29
    Date of creation: 16 May 2006
    Date of revision:
    Handle: RePEc:cda:wpaper:06-20
    Contact details of provider: Postal: One Shields Ave., Davis, CA 95616-8578
    Phone: (530) 752-0741
    Fax: (530) 752-9382
    Web page: http://www.econ.ucdavis.edu
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    1. Leontief, Wassily, 1971. "Theoretical Assumptions and Nonobserved Facts," American Economic Review, American Economic Association, vol. 61(1), pages 1-7, March.
    2. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers.
    3. Zellner, A., 1992. "Statistics, Science and Public Policy," Papers 92-21, California Irvine - School of Social Sciences.
    4. Jan R. Magnus & J. Durbin, 1999. "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, vol. 67(3), pages 639-644, May.
    5. Roger Backhouse & Mary Morgan, 2001. "Introduction: is data mining a methodological problem?," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 171-181.
    6. Keuzenkamp, H.A. & Magnus, J.R., 1994. "On tests and significance in econometrics," Discussion Paper 1994-31, Tilburg University, Center for Economic Research.
    7. Robert S. Goldfarb & H. O. Stekler, 2000. "Why Do Empirical Results Change? Forecasts as Tests of Rational Expectations," History of Political Economy, Duke University Press, vol. 32(5), pages 95-116, Supplemen.
    8. Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
    9. McCullough, B. D., 2000. "Is it safe to assume that software is accurate?," International Journal of Forecasting, Elsevier, vol. 16(3), pages 349-357.
    10. 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.
    11. Backhouse, R.E., 1992. "The Significance of Replication in Econometrics," Discussion Papers 92-23, Department of Economics, University of Birmingham.
    12. 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.
    13. Kevin Hoover & Stephen Perez, 2001. "Three attitudes towards data mining," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 195-210.
    14. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics 0511018, EconWPA.
    15. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
    16. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
    17. repec:ner:tilbur:urn:nbn:nl:ui:12-153236 is not listed on IDEAS
    18. Thomas Mayer, . "The Role Of Ideology In Disagreements Among Economists. A Quantitative Analisis:," Department of Economics 00-01, California Davis - Department of Economics.
    19. Keuzenkamp, H.A. & Magnus, J.R., 1995. "On tests and significance in econometrics," Other publications TiSEM 1808e2e0-3805-4999-b9a1-5, Tilburg University, School of Economics and Management.
    20. Robert Goldfarb, 1995. "The economist-as-audience needs a methodology of plausible inference," Journal of Economic Methodology, Taylor & Francis Journals, vol. 2(2), pages 201-222.
    21. David F. Hendry & Neil R. Ericsson, 1989. "An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz," International Finance Discussion Papers 355, Board of Governors of the Federal Reserve System (U.S.).
    22. Adrian Pagan & Michael Veall, 2001. "Data mining and the econometrics industry: comments on the papers of Mayer and of Hoover and Perez," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 211-216.
    23. Lovell, Michael C & Selover, David D, 1994. "Software Reviews," Economic Journal, Royal Economic Society, vol. 104(424), pages 713-26, May.
    24. Keuzenkamp, Hugo A & McAleer, Michael, 1995. "Simplicity, Scientific Interference and Econometric Modelling," Economic Journal, Royal Economic Society, vol. 105(428), pages 1-21, January.
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