Methodology of econometrics

The methodology of econometrics is the study of the range of differing approaches to undertaking econometric analysis.^[1]

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

• the Cowles Commission approach^[2]
• the Vector autoregression approach^[3]
• the LSE approach - originated with Denis Sargan now associated with David Hendry (and his general-to-specific modeling). Also associate with work on integrated and cointegrated systems originating ( Engle and Granger) and (Johansen and Juselius at the University of Copenhagen) (Juselius 1999)
• the use of calibration - Finn Kydland and Edward Prescott^[4]

In addition to these clearly defined approaches, Hoover^[5] 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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