Rationality in Econometrics
The idea of rationality enters an econometrician's work in many ways; e.g., in his presuppositions about sample populations, in his model selections and data analyses, and in his choice of projects. I shall consider some of these ways and their ramifications for the econometrician's own life and for the development of econometrics. I begin with a discussion of rationality that I have found in the writings of Aristotle and other leading philosophers. My aim here is to establish the characteristics that we in good faith can expect rational members of a sample population to possess. The characteristics with which I end up have no definite meaning. Instead they are like undefined terms in mathematics that an econometrician can interpret in ways that suit the purposes of his research and seem appropriate for the population he is studying. When interpreted, the pertinent characteristics of the rational members of a given population become hypotheses whose empirical relevance must be tested. In rationally designed econometric studies the interpretation of 'rationality' that seems appropriate for a given study is usually an interpretation that the pertinent econometrician extracts from various economic theories. I look at some of these interpretations and discuss their empirical relevance. The interpretations of particular interest concern consumer choice under certainty, choice under risky and uncertain conditions, and choice in game-theoretic situations. These interpretations appear in various representations in the ways econometricians model rationality. I single out for discussion microeconometric models of consumer choice and macroeconometric rational expectations models. In the last section of the paper I consider two lacunas in Kuhn's and Lakatos' theories, and see how econometricians go about solving puzzles and extending positive heuristics. I begin by discussing the considerations that guide an econometrician in his choice of research projects. Then, I argue about the determinants of rational choice in model selection. Finally, I consider the politics of writing research reports. The contents of these sections concern aspects of an econometrician's rational choice that are relevant for the orderly development of econometrics.
|Date of creation:||01 Aug 2000|
|Date of revision:|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
References listed on IDEAS
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.:
- B. P. Stigum, 1968. "On a Property of Concave Functions," Review of Economic Studies, Oxford University Press, vol. 35(4), pages 413-416.
- Eichberger, J. & Kelsey, D., 1994. "Non-additive beliefs and game theory," Discussion Paper 1994-10, Tilburg University, Center for Economic Research.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Asheim,G.B., 1999.
"On the epistemic foundation for backward induction,"
30/1999, Oslo University, Department of Economics.
- Asheim, Geir B., 2002. "On the epistemic foundation for backward induction," Mathematical Social Sciences, Elsevier, vol. 44(2), pages 121-144, November.
- Chateauneuf, Alain & Jaffray, Jean-Yves, 1989.
"Some characterizations of lower probabilities and other monotone capacities through the use of Mobius inversion,"
Mathematical Social Sciences,
Elsevier, vol. 17(3), pages 263-283, June.
- Alain Chateauneuf & Jean-Yves Jaffray, 2008. "Some Characterizations of Lower Probabilities and Other Monotone Capacities through the Use of Mobius Inversion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649208, HAL.
- Cooper, Russel J & McLaren, Keith R, 1996. "A System of Demand Equations Satisfying Effectively Global Regularity Conditions," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 359-64, May.
- Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
- Sheffrin,Steven M., 1996.
Cambridge University Press, number 9780521479394, December.
- Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
- Stigum, Bernt P, 1972. "Resource Allocation under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 431-59, October.
- Krolzig, Hans-Martin & Hendry, David F., 2001.
"Computer automation of general-to-specific model selection procedures,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 25(6-7), pages 831-866, June.
- Hans-Martin Krolzig & David Hendry, 1999. "Computer Automation of General-to-Specific Model Selection Procedures," Computing in Economics and Finance 1999 314, Society for Computational Economics.
- Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
- David Hendry & Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Economics Series Working Papers 3, University of Oxford, Department of Economics.
- Anderson, Heather M & Vahid, Farshid, 1997. "On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 477-98, Sept.-Oct.
- Leamer, Edward E., 1983. "Model choice and specification analysis," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 5, pages 285-330 Elsevier.
- F. M. Fisher, 1968. "Embodied Technology and the Existence of Labour and Output Aggregates," Review of Economic Studies, Oxford University Press, vol. 35(4), pages 391-412.
- Frederick Mosteller & Philip Nogee, 1951. "An Experimental Measurement of Utility," Journal of Political Economy, University of Chicago Press, vol. 59, pages 371.
- Gilboa, Itzhak, 1987.
"Expected utility with purely subjective non-additive probabilities,"
Journal of Mathematical Economics,
Elsevier, vol. 16(1), pages 65-88, February.
- Itzhak Gilboa, 1987. "Expected Utility with Purely Subjective Non-Additive Probabilities," Post-Print hal-00756291, HAL.
- Aasness, Jorgen & Biorn, Erik & Skjerpen, Terje, 1993. "Engel Functions, Panel Data, and Latent Variables," Econometrica, Econometric Society, vol. 61(6), pages 1395-1422, November.
- Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
- Bernt P. Stigum, 1969. "Competitive Equilibria under Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 83(4), pages 533-561.
When requesting a correction, please mention this item's handle: RePEc:ecm:wc2000:0747. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.