Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression
The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.
|Date of creation:||05 Nov 2012|
|Contact details of provider:|| Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark|
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
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.:
- Giese, Julia V., 2008.
"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy (IfW), vol. 2, pages 1-20.
- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy (IfW).
- Martin Eichenbaum, 1996. "Some comments on the role of econometrics in economic theory," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 22-31.
- Eichenbaum, Martin, 1995. "Some Comments on the Role of Econometrics in Economic Theory," Economic Journal, Royal Economic Society, vol. 105(433), pages 1609-1621, November.
- Haavelmo, Trygve, 2015. "Structural Models And Econometrics," Econometric Theory, Cambridge University Press, vol. 31(01), pages 85-92, February.
- Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
- Lars Ljungqvist & Thomas J. Sargent, 2004. "Recursive Macroeconomic Theory, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026212274x, September.
- Ragnar Frisch, 1939. "A Note on Errors in Time Series," The Quarterly Journal of Economics, Oxford University Press, vol. 53(4), pages 639-640.
- Heckman, James J, 1992. "Haavelmo and the Birth of Modern Econometrics: A Review of The History of Econometric Ideas," Journal of Economic Literature, American Economic Association, vol. 30(2), pages 876-886, June.
- James J. Heckman, 2000. "Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective," The Quarterly Journal of Economics, Oxford University Press, vol. 115(1), pages 45-97.
- James L. Heckman, 1999. "Causal Parameters and Policy Analysis in Economcs: A Twentieth Century Retrospective," NBER Working Papers 7333, National Bureau of Economic Research, Inc.
- Hoover,Kevin D., 2015. "Applied Intermediate Macroeconomics," Cambridge Books, Cambridge University Press, number 9781107436824, October.
- Hoover,Kevin D., 2012. "Applied Intermediate Macroeconomics," Cambridge Books, Cambridge University Press, number 9780521763882, October.
- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, vol. 98(2), pages 251-255, May.
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics.
- Pedro Garcia Duarte & Kevin D. Hoover, 2012. "Observing Shocks," History of Political Economy, Duke University Press, vol. 44(5), pages 226-249, Supplemen. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:1216. 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: (Thomas Hoffmann)
If references are entirely missing, you can add them using this form.