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Representation in Econometrics: A Historical Perspective

  • Christopher L. Gilbert

    (Universit� degli Studi di Trento)

  • Duo Qin

    (Queen Mary, University of London)

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Measurement forms the substance of econometrics. This chapter outlines the history of econometrics from a measurement perspective - how have measurement errors been dealt with and how, from a methodological standpoint, did econometrics evolve so as to represent theory more adequately in relation to data? The evolution is organized in terms of four phases: 'theory and measurement', 'measurement and theory', 'measurement with theory' and 'measurement without theory'. The question of how measurement research has helped in the advancement of knowledge advance is discussed in the light of this history.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp583.pdf
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Paper provided by Queen Mary University of London, School of Economics and Finance in its series Working Papers with number 583.

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Date of creation: Jan 2007
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Handle: RePEc:qmw:qmwecw:wp583
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  1. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003. "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers 3893, C.E.P.R. Discussion Papers.
  2. QIN, Duo, 1996. "BAYESIAN ECONOMETRICS: The First Twenty Years," Econometric Theory, Cambridge University Press, vol. 12(03), pages 500-516, August.
  3. James H. Stock & Mark W. Watson, 1993. "Introduction to "Business Cycles, Indicators and Forecasting"," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 1-10 National Bureau of Economic Research, Inc.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  7. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  8. Qin, Duo & Gilbert, Christopher L., 2001. "The Error Term In The History Of Time Series Econometrics," Econometric Theory, Cambridge University Press, vol. 17(02), pages 424-450, April.
  9. Christopher A. Sims, 1989. "Models and their uses," Discussion Paper / Institute for Empirical Macroeconomics 11, Federal Reserve Bank of Minneapolis.
  10. Gordon, Robert J, 1970. "The Brookings Model in Action: A Review Article," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 489-525, May-June.
  11. Gilbert, Christopher L, 1989. "LSE and the British Approach to Time Series Econometrics," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 108-28, January.
  12. 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.
  13. Pagan, Adrian, 1987. " Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
  14. James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1, December.
  15. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  16. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
  17. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  18. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, December.
  19. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  20. Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series 0402, European Central Bank.
  21. Thomas J. Sargent, 1980. "Interpreting economic time series," Staff Report 58, Federal Reserve Bank of Minneapolis.
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