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The Rise of Econometrics

Edited by Duo Qin

Routledge – 2012 – 1,808 pages

Series: Critical Concepts in Economics

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    978-0-415-61678-2
    January 10th 2013

Description

In the memorable words of Ragnar Frisch, econometrics is ‘a unification of the theoretical–quantitative and the empirical–quantitative approach to economic problems’. Beginning to take shape in the 1930s and 1940s, econometrics is now recognized as a vital subdiscipline supported by a vast—and still rapidly growing—body of literature.

Edited by a leading researcher in the history of econometrics, this new collection from Routledge’s Critical Concepts in Economics series brings together in one ‘mini library’ the best and most influential scholarship on the rise of econometrics. The set provides an authoritative one-stop resource to enable users to understand what has shaped econometrics into its current form. With a full index and comprehensive introductions to each volume, newly written by the editor, the collection also provides a synoptic view of many current key debates and issues.

Contents

draft cONTENTS

Volume I: Early Developments

Part 1: Setting the Scene

1. H. L. Moore, ‘The Statistical Complement of Pure Economics’, Quarterly Journal of Economics, 1908, 23, 1–33.

2. W. C. Mitchell, ‘The Contribution of Statistics’, Business Cycles: The Problem and its Setting (NBER, 1927), pp. 199–202.

Part 2: Data Explorations

3. C. Gini, ‘Concentration and Dependency Ratios’ [1909], Rivista di Politica Economica, 1997, 87, 769–89.

4. A. L. Bowley, ‘The Action of Economic Forces in Producing Frequency Distributions of Income, Prices, and Other Phenomena: A Suggestion for Study’, Econometrica, 1933, 1, 358–72.

5. W. M. Persons, ‘Construction of a Business Barometer Based Upon Annual Data’, American Economic Review, 1916, 6, 739–69.

6. W. C. Mitchell, ‘The Problem of Irregular Fluctuations’, Business Cycles: The Problem and its Setting (NBER, 1927), pp. 249–60.

7. W. C. Mitchell and A. F. Burns, ‘Statistical Indicators of Cyclical Revivals’, NBER Bulletin, 1938, 69, 1–12.

8. A. Cowles, ‘Can Stock Market Forecasters Forecast?’, Econometrica, 1933, 1, 309–24.

9. H. Working, ‘Differential Price Behavior as a Subject for Commodity Price Analysis’, Econometrica, 1935, 3, 416–27.

Part 3: Correspondence Between Data and Theory

10. C. W. Cobb and P. H. Douglas, ‘A Theoy of Production’, American Economic Review, 1928, 18, 139–65.

11. E. J. Working, ‘What Do Statistical "Demand Curves" Show?’, Quarterly Journal of Economics, 1927, 41, 212–35.

12. R. Stone and W. M. Stone, ‘The Marginal Propensity to Consume and the Multiplier: A Statistical Investigation’, Review of Economic Studies, 1938, 6, 1–24.

13. J. Marschak, ‘Personal and Collective Budget Functions’, Review of Economic Statistics, 1939, 21, 161–70.

Part 4: Statistical Methods

14. B. B. Smith, ‘Combining the Advantages of First-Difference and Deviation-From-Trend Methods of Correlating Time Series’, Journal of the American Statistical Association, 1926, 21, 55–9.

15. P. G. Wright, ‘The Tariff on Animal and Vegetable Oils’, 1928, Appendix B, 286–319.

16. R. Frisch, ‘Correlation and Scatter in Statistical Variables’, Nordic Statistical Journal, 1929, 8, 36–102.

17. H. Schultz, ‘The Standard Error of a Forecast from a Curve’, Journal of the American Statistical Association, 1930, 25, 139–85.

18. H. O. A. Wold, ‘Some Applications of the Scheme of Linear Autoregression’, A Study in the Analysis of Stationary Time Series, 1938, 174–90.

Part 5: Conceptual and Methodological Issues

19. O. Morgenstern, Excerpts from 'Wirtschaftsprognose: Eine untersuhung ihrer Voraussetzungen und Moglichkeiten,' 1928, 20 (previously unpublished in English).

20. R. Frisch, ‘Structural, Confluent and Artificial Relations in Economic Theory’, A Dynamic Approach to Economic Theory: The Yale Lectures of Ragnar Frisch, 1930 (Routledge, 2010).

21. R. Frisch, ‘Business Cycles as a Theoretical and as a Statistical Problem’ (1931) (previously unpublished).

Volume II: Formalization

Part 6: Macroeconometric Models and Tinbergen-Keynes Debate

22. J. Tinbergen, ‘An Economic Policy for 1936’, Jan Tinbergen: Selected Papers (1936), pp. 62–108.

23. J. M. Keynes, ‘Professor Tinbergen’s Method’, Economic Journal, 1939, 49, 556–68.

24. J. Tinbergen, ‘On a Method of Statistical Business Research: A Reply’, Economic Journal, 1940, 50, 141–54.

Part 7: Shaping of a Discipline

25. T. Haavelmo, ‘Om statistisk «testing» av hypoteser i den økonomiske teori’ ('On statistical testing of hypotheses in economic theory') (3rd Scandinavian Meeting for Young Social Economists, 1939) (previously unpublished in English).

26. T. Haavelmo, ‘The Statistical Implications of a System of Simultaneous Equations’, Econometrica, 1943, 11, 1–12.

27. T. W. Anderson and H. Rubin, ‘Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations’, Annals of Mathematical Statistics, 1949, 20, 46–63.

28. T. Koopmans, ‘Identification Problems in Economic Model Construction’, Econometrica, 1949, 17, 125–44.

29. T. Koopmans, ‘When is an Equation System Complete for Statistical Purposes’, Statistical Inference for Dynamic Models, 1950, CC10, 393–409.

Part 8: Methodological Issues

30. T. Koopmans, ‘Measurement Without Theory’, Review of Economics and Statistics, 1947, 29, 161–72.

31. R. Vining, ‘Koopmans on the Choice of Variables to be Studies and the Methods of Measurement’, Review of Economics and Statistics, 1949, 31, 77–86.

32. H. A. Simon, ‘Causal Ordering and Identifiability’, Studies in Econometric Methods, 1953, CC14, 49–74.

33. H. O. A. Wold, ‘Causality and Econometrics’, Econometrica, 1954, 22, 162–77.

34. T. C. Liu, ‘Underidentification, Structural Estimation, and Forecasting’, Econometrica, 1960, 28, 855–65.

35. C. F. Christ, ‘Simultaneous Equations Estimation: Any Verdict Yet?’, Econometrica, 1960, 28, 835–45.

Part 9: Applied Studies

36. L. Klein, ‘The Use of Econometric Models as a Guide to Economic Policy’, Econometrica, 1947, 15, 111–51.

37. C. Christ and M. Friedman, ‘Klein Model and Comment: A Test of an Econometric Model for the United States, 1921–1947’, Studies in Econometric Methods, 1952, CC 49.

38. F. L. Adelman and I. Adelman, ‘The Dynamic Properties of the Klein-Goldberger Model’, Econometrica, 1959, 27, 596–625.

39. G. H. Orcutt, ‘A Study of the Autoregressive Nature of the Time Series Used for Tinbergen’s Model of the Economic System of the United States’, Journal of the Royal Statistical Society, 1948, Series B, 10, 1–45.

40. D. B. Suits, ‘An Econometric Model of the Watermelon Market’, Journal of Farm Economics, 1955, 37, 237–51.

Volume III: Consolidation and Expansion

Part 10: Bayesian Reformalization

41. J. Drèze, ‘The Bayesian Approach to Simultaneous Equations Estimation’, 1962, O.N.R. Research Memorandum 67, Northwestern University (previously unpublished).

Part 11: Microeconometrics

42. P. Balestra and M. Nerlove, ‘Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas’, Econometrica, 1966, 34, 585–612.

43. Z. Griliches, ‘Hedonic Price Indexes for Automobiles: An Econometric Analysis of Quality Change Reprint’, Price Indexes and Quality Changes, 1961, 55–87.

44. G. Chamberlain and Z. Griliches, ‘Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers’, International Economic Review, 1975, 16, 422–50.

45. J. Tobin, ‘The Application of Multivariate Probit Analysis to Economic Survey Data’, Cowles Foundation Discussion Papers, 1955, 1–22.

46. T. Lancaster, ‘A Stochastic Model for the Duration of a Strike’, Journal of the Royal Statistical Society, 1972, 135, 257–71.

47. D. McFadden, ‘The Measurement of Urban Travel Demand’, Journal of Public Economics, 1974, 3, 303–28.

48. J. J. Heckman, ‘Shadow Prices, Market Wages, and Labor Supply’, Econometrica, 1974, 42, 679–94.

49. O. Ashenfelter, ‘Estimating the Effect of Training Programs on Earnings’, Review of Economics and Statistics, 1978, 60, 47–57.

50. A. Zellner, ‘An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias’, Journal of the American Statistical Association, 1962, 57, 348–68.

51. D. McFadden and F. Reid, ‘Aggregate Travel Demand Forecasting from Disaggregate Behavioural Models’, Transportation Research Record, 1975, 24–37.

52. H. Koenig, M. Nerlove, and G. Oudiz, ‘On the Formation of Price Expectations: An Analysis of Business Test Data by Log-Linear Probability Models’, European Economic Review, 1981, 16, 103–38.

Part 12: Financial Econometrics

53. M. F. M. Osborne, ‘Brownian Motion in the Stock Market’, Operations Research, 1959, 7, 145–73.

54. C. W. J. Granger and O. Morgenstern, ‘Spectral Analysis of Stock Market Prices’, Kyklos, 1963, 16, 1–27.

Volume IV: Reformative movements

Part 13: Model Specification and Selection Issues

55. H. Theil, ‘Specification Errors and the Estimation of Economic Relationships’, Review of International Statistical Institute, 1957, 25, 41–51.

56. P. J. Dhrymes, P. Howrey, S. H. Hymans, J. Kmenta, E. Leamer, R. E. Quandt, J. B. Ramsey, H. T. Shapiro, and V. Zarnowitz, ‘Criteria for Evaluation of Econometric Models’, NBER Annals of Economic and Social Measurement, 1972, 1, 291–325.

Part 14: Alternative Modelling Approaches

57. E. E. Leamer, ‘Multicollinearity: A Bayesian Interpretation’, Review of Economics and Statistics, 1973, 55, 371–80.

58. E. E. Leamer, ‘False Models and Post-Data Model Construction’, Journal of the American Statistical Association, 1974, 69, 122–31.

59. E. E. Leamer, ‘Introduction’, Specification Searches: Ad hoc Inference with Nonexperimental Data (Wiley, 1978), pp. 1–20.

60. T. J. Sargent and C. A. Sims, ‘Business Cycle Modelling Without Pretending to Have Too Much A Priori Economic Theory’, New Methods in Business Cycle Research: Proceedings from a Conference (1977), pp. 45–109.

61. R. B. Litterman, ‘Forecasting with Bayesian Vector Autoregressions: Five Years of Experience’, Journal of Business and Economic Statistics, 1986, 4, 25–38.

62. E. H. Davidson, D. F. Hendry, F. Sra, and S. Yeo, ‘Econometric Modelling of the Aggregate Timeseries Relationship Between Consumers’ Expenditure and Income in the United Kingdom’, Economic Journal, 1978, 88, 661–92.

63. D. F. Hendry and J.-F. Richard, ‘The Econometric Analysis of Economic Time Series’, International Statistical Review, 1983, 51, 111–48.

64. C. W. J. Granger, ‘Some Properties of Time Series Data and Their Use in Econometric Model Specification’, Journal of Econometrics, 1981, 16, 121–30.

Part 15: Methodological Issues and Debates

65. D. F. Hendry, ‘Econometrics: Alchemy or Science?’, Economica, 1980, 47, 387–406.

66. E. E. Leamer, ‘Let’s Take the Con Out of Econometrics’, American Economic Review, 1983, 73, 31–43.

67. M. McAleer, A. R. Pagan, and P. A. Volker, ‘What Will Take the Con Out of Econometrics?’, American Economic Review, 1985, 75, 293–307.

Part 16: Diverse Explorations

68. C. W. J. Granger, ‘Investigating Causal Relations by Econometric Models and Cross-spectral Methods’, Econometrica, 1969, 37, 424–38.

69. J. H. Stock and M. W. Watson, ‘New Indexes of Coincident and Leading Economic Indicators’, NBER Macroeconomic Annual, 1989, 351–409.

70. F. Kydland and E. Prescott, ‘Time to Build and Aggregate Fluctuations’, Econometrica, 1982, 50, 1345–70.

Related Subjects

  1. Econometrics

Name: The Rise of Econometrics (Hardback)Routledge 
Description: Edited by Duo Qin. In the memorable words of Ragnar Frisch, econometrics is ‘a unification of the theoretical–quantitative and the empirical–quantitative approach to economic problems’. Beginning to take shape in the 1930s and 1940s,...
Categories: Econometrics