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Commonly distinguished differing approaches that have been identified and studied include: Commonly distinguished differing approaches that have been identified and studied include:
* the ] approach<ref> Christ, Carl F. 1994. “The Cowles Commission Contributions to Econometrics at Chicago: 1939-1955” ''Journal of Economic Literature''. Vol. 32.</ref> * the ] approach<ref>Christ, Carl F. 1994. “The Cowles Commission Contributions to Econometrics at Chicago: 1939-1955” ''Journal of Economic Literature''. Vol. 32.</ref>
* the ] approach<ref>] (1980) Macroeconomics and Reality, ''Econometrica'', January, pp. 1-48.</ref> * the ] approach<ref>] (1980) Macroeconomics and Reality, ''Econometrica'', January, pp. 1-48.</ref>
* the ] - originated with ] now associated with ] (and his general-to-specific modeling). Also associate with work on integrated and cointegrated systems originating ( ] and ]) and (Johansen and Juselius at the University of Copenhagen) (Juselius 1999) * the ] - originated with ] now associated with ] (and his general-to-specific modeling). Also associate with work on integrated and cointegrated systems originating ( ] and ]) and (Johansen and Juselius at the University of Copenhagen) (Juselius 1999)
* the use of calibration - ] and ]<ref>Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," ''Scandinavian Journal of Economics'', Blackwell Publishing, 93 (2),161&ndash;178.</ref> * the use of calibration - ] and ]<ref>Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," ''Scandinavian Journal of Economics'', Blackwell Publishing, 93 (2),161&ndash;178.</ref>


In addition to these clearly defined approaches, Hoover<ref>Hoover, Kevin D. (2006). Chapter 2, "The Methodology of Econometrics." in T. C. Mills and K. Patterson, ed., ''Palgrave Handbook of Econometrics'', v. 1, ''Econometric Theory'', pp. 61-87. </ref> identifies a range of ''heterogeneous'' or ''textbook approaches'' that those less, or even un-, concerned with methodology, tend to follow. In addition to these clearly defined approaches, Hoover<ref>Hoover, Kevin D. (2006). Chapter 2, "The Methodology of Econometrics." in T. C. Mills and K. Patterson, ed., ''Palgrave Handbook of Econometrics'', v. 1, ''Econometric Theory'', pp. 61-87.</ref> identifies a range of ''heterogeneous'' or ''textbook approaches'' that those less, or even un-, concerned with methodology, tend to follow.


== References == == References ==
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*Juselius, Katarina. (1999) “Models and Relations in Economics and Econometrics,” Journal of Economic Methodology 6(2), 259-290. *Juselius, Katarina. (1999) “Models and Relations in Economics and Econometrics,” Journal of Economic Methodology 6(2), 259-290.
*Leamer, Edward E. (1983) “Let’s Take the Con Out of Econometrics,” ''American Economic Review'' 73(1), 31-43. *Leamer, Edward E. (1983) “Let’s Take the Con Out of Econometrics,” ''American Economic Review'' 73(1), 31-43.
*Mizon, Grayham E. (1995) “Progressive Modelling of Economic Time Series: The LSE Methodology,” in Hoover (1995c), pp. 107-170. *Mizon, Grayham E. (1995) “Progressive Modelling of Economic Time Series: The LSE Methodology,” in Hoover (1995c), pp.&nbsp;107–170.
*Morgan, Mary S. (1990) ''The History of Econometric Ideas''. Cambridge: Cambridge University Press. *Morgan, Mary S. (1990) ''The History of Econometric Ideas''. Cambridge: Cambridge University Press.
*Spanos, Aris. (1986) ''Statistical Foundations of Econometric Modelling''. Cambridge: Cambridge University Press. *Spanos, Aris. (1986) ''Statistical Foundations of Econometric Modelling''. Cambridge: Cambridge University Press.


] ]

{{econometrics-stub}}

Revision as of 00:45, 27 December 2013

The methodology of econometrics is the study of the range of differing approaches to undertaking econometric analysis.

Commonly distinguished differing approaches that have been identified and studied include:

In addition to these clearly defined approaches, Hoover identifies a range of heterogeneous or textbook approaches that those less, or even un-, concerned with methodology, tend to follow.

References

  1. Jennifer Castle and Neil Shephard (Eds) (2009) The Methodology and Practice of Econometrics - A Festschrift in Honour of David F. Hendry ISBN 978-0-19-923719-7
  2. Christ, Carl F. 1994. “The Cowles Commission Contributions to Econometrics at Chicago: 1939-1955” Journal of Economic Literature. Vol. 32.
  3. Sims, Christopher (1980) Macroeconomics and Reality, Econometrica, January, pp. 1-48.
  4. Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," Scandinavian Journal of Economics, Blackwell Publishing, 93 (2),161–178.
  5. Hoover, Kevin D. (2006). Chapter 2, "The Methodology of Econometrics." in T. C. Mills and K. Patterson, ed., Palgrave Handbook of Econometrics, v. 1, Econometric Theory, pp. 61-87.

Other sources

  • Darnell, Adrian C. and J. Lynne Evans. (1990) The Limits of Econometrics. Aldershot: Edward Elgar.
  • Davis, George C. (2000) “A Semantic Conception of Haavelmo’s Structure of Econometrics”, Economics and Philosophy, 16(2), 205–28.
  • Davis, George (2005) “Clarifying the ‘Puzzle’ Between Textbook and LSE Approaches to Econometrics: A Comment on Cook’s Kuhnian Perspective on Econometric Modelling”, Journal of Economic Methodology
  • Epstein, Roy J. (1987) A History of Econometrics. Amsterdam: North-Holland.
  • Fisher, I. (1933) “Statistics in the Service of Economics,” Journal of the American Statistical Association 28(181), 1-13.
  • Gregory, Allan W. and Gregor W. Smith. (1991) “Calibration as Testing: Inference in Simulated Macroeconomic Models,” Journal of Business and Economic Statistics 9(3), 297-303.
  • Haavelmo, Trgyve. (1944) “The Probability Approach in Econometrics,” Econometrica 12 (supplement), July. 41
  • Heckman, James J. (2000) “Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective,” Quarterly Journal of Economics 115(1), 45-97.
  • Hoover, Kevin D. (1995b) “Why Does Methodology Matter for Economics?” Economic Journal 105(430), 715-734.
  • Hoover, Kevin D. (ed.) (1995c) Macroeconometrics: Developments, Tensions, and Prospects. Dordrecht: Kluwer.
  • Hoover, Kevin D. “The Methodology of Econometrics,” revised 15 February 2005
  • Hoover, Kevin D. and Stephen J. Perez. (1999) “Data Mining Reconsidered: Encompassing and the General-to-Specific Approach to Specification Search,” Econometrics Journal 2(2), 167-191. 43
  • Juselius, Katarina. (1999) “Models and Relations in Economics and Econometrics,” Journal of Economic Methodology 6(2), 259-290.
  • Leamer, Edward E. (1983) “Let’s Take the Con Out of Econometrics,” American Economic Review 73(1), 31-43.
  • Mizon, Grayham E. (1995) “Progressive Modelling of Economic Time Series: The LSE Methodology,” in Hoover (1995c), pp. 107–170.
  • Morgan, Mary S. (1990) The History of Econometric Ideas. Cambridge: Cambridge University Press.
  • Spanos, Aris. (1986) Statistical Foundations of Econometric Modelling. Cambridge: Cambridge University Press.
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