Hostname: page-component-78c5997874-v9fdk Total loading time: 0 Render date: 2024-11-19T06:30:44.943Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Reception of Haavelmo’s Econometric Thought

Published online by Cambridge University Press:  04 March 2014

Kevin D. Hoover
Get access Rights & Permissions [Opens in a new window]

Abstract

The significance of Haavelmo’s “The Probability Approach in Econometrics” (1944), the foundational document of modern econometrics, has been interpreted in widely different ways. Some regard it as a blueprint for a provocative (but ultimately unsuccessful) program dominated by the need for a priori theoretical identification of econometric models. Others focus more on statistical adequacy than on theoretical identification. They see its deepest insights as unduly neglected. The present article uses bibliometric techniques and a close reading of econometrics articles and textbooks to trace the way in which the economics profession received, interpreted, and transmitted Haavelmo’s ideas. A key irony is that the first group calls for a reform of econometric thinking that goes several steps beyond Haavelmo’s initial vision; the second group argues that essentially what the first group advocates was already in Haavelmo’s “Probability Approach” from the beginning.

Type
Articles
Information
Journal of the History of Economic Thought , Volume 36 , Issue 1 , March 2014 , pp. 45 - 65
Copyright
Copyright © The History of Economics Society 2014 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Aldrich, John. 1989. “Autonomy.” Oxford Economic Papers N.S. 41 (1): 15–34.CrossRefGoogle Scholar
Anderson, T. W. 1991. “Trygve Haavelmo and Simultaneous Equations Models.” Scandinavian Journal of Statistics 18 (1): 1–19.Google Scholar
Bjerkholt, Olav. 2007. “Writing ‘The Probability Approach’ with Nowhere to Go: Haavelmo in the United States, 1939–1944.” Econometric Theory 23 (5): 775–837.Google Scholar
Bjerkholt, Olav., and Dupont, Ariane. 2010. “Ragnar Frisch’s Conception of Econometrics.” History of Political Economy 42 (1): 21–73.CrossRefGoogle Scholar
Castle, Jennifer, Doornik, Jurgen A., and Hendry, David F.. 2011. “Evaluating Automatic Model Selection.” Journal of Time Series Econometrics, 3 (1), Article 8: 1–31.CrossRefGoogle Scholar
Davis, Harold Thayer.1941. The Theory of Econometrics. Bloomington, IN: Principia Press.Google Scholar
Doornik, Jurgen A. 2009. “Autometrics.” In Castle, Jennifer L. and Shephard, Neil, eds., The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford: Oxford University Press, pp. 88–121.CrossRefGoogle Scholar
Eichenbaum, Martin. 1995. “Some Comments on the Role of Econometrics in Economic Theory.” Economic Journal 105 (433): 1609–1621.CrossRefGoogle Scholar
Frisch, Ragnar. 1933. “Editor’s Note.” Econometrica 1 (1): 1–4.Google Scholar
Frisch, Ragnar. 1938. “Statistical versus Theoretical Relations in Economic Macrodynamics.” Reprinted in Hendry, David F. and Morgan, Mary S., eds., The Foundations of Econometric Analysis. Cambridge: Cambridge University Press, 1995, pp. 407–419.Google Scholar
Girshick, M. A., and Haavelmo, Trygve. 1947. “Statistical Analysis of the Demand for Food: Examples of Simultaneous Estimation of Structural Equations.” Econometrica 15 (2): 79–110.CrossRefGoogle Scholar
Haavelmo, Trygve. 1943. “The Statistical Implications of a System of Simultaneous Equations.” Econometrica 11 (1):1–12.CrossRefGoogle Scholar
Haavelmo, Trygve. 1944. “The Probability Approach in Econometrics.” Econometrica 12 (Supplement): iii–115.CrossRefGoogle Scholar
Haavelmo, Trygve. 1947. “Methods of Measuring the Marginal Propensity to Consume.” Journal of the American Statistical Association 42 (237): 105–122.CrossRefGoogle Scholar
Haavelmo, Trygve. 1954. A Study in the Theory of Economic Development. Amsterdam: North-Holland.Google Scholar
Haavelmo, Trygve. 1960. A Study in the Theory of Investment. Chicago: University of Chicago Press.Google Scholar
Hastay, Millard. 1951. “Review of Statistical Inference in Dynamic Economic Model, by Tjalling C. Koopmans; Jacob Marschak.” Journal of the American Statistical Association 46 (255): 388–390.Google Scholar
Heckman, James J. 1992. “Haavelmo and the Birth of Modern Econometrics: A Review of the History of Econometric Ideas by Mary Morgan.” Journal of Economic Literature 30 (2): 876–886.Google Scholar
Heckman, James J. 2000. “Causal Parameters and Policy Analysis in Economics: A Twentieth Century Perspective.” Quarterly Journal of Economics 115 (1): 45–97.Google Scholar
Hendry, David F. 2000. “Econometrics: Alchemy or Science?” In Hendry, D., Econometrics: Alchemy or Science. Second edition. Oxford: Oxford University Press, pp. 1–28.CrossRefGoogle Scholar
Hendry, David F. 1995. Dynamic Econometrics. Oxford: Oxford University Press.CrossRefGoogle Scholar
Hendry, David F., and Johansen, Søren. 2011. “The Properties of Model Selection When Retaining Theory Variables.” Discussion papers. Department of Economics, University of Copenhagen.CrossRefGoogle Scholar
Hendry, David F., and Krolzig, Hans-Martin. 1999. “Improving on ‘Data Mining Reconsidered’ by K. D. Hoover and S. J. Perez.” Econometrics Journal 2 (2): 202–218.CrossRefGoogle Scholar
Hendry, David F. 2005. “The Properties of Automatic GETS Modelling.” Economic Journal 115 (502): C32–C61.Google Scholar
Hendry, David F., and Morgan, Mary S.. 1995. The Foundations of Econometric Analysis. Cambridge: Cambridge University Press.Google Scholar
Hendry, David F., Spanos, Aris, and Ericssson, Neil R.. 1989. “The Contributions to Econometrics in Trygve Haavelmo.” Sosialøkonomen 11: 12–17.Google Scholar
Hood, William C., and Koopmans, Tjalling, eds. 1953. Studies in Econometric Method. Cowles Commission Monograph 14. New York: Wiley.Google Scholar
Hoover, Kevin D. 2012. “Pragmatism, Perspectival Realism, and Econometrics.” In Lehtinen, Aki, Kuorikoski, Jaakko, and Ylikoski, Petri, eds., Economics for Real: Uskali Mäki and the Place of Truth in Economics. London: Routledge, pp. 223–240.Google Scholar
Hoover, Kevin D., Johansen, Søren, and Juselius, Katarina. 2008. “Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression.” American Economic Review 98 (2): 251–255.CrossRefGoogle Scholar
Hoover, Kevin D., and Perez, Stephen J.. 1999. “Data Mining Reconsidered: Encompassing and the General-to-Specific Approach to Specification Search.” Econometrics Journal 2: 1–25.CrossRefGoogle Scholar
Hoover, Kevin D., and Perez, Stephen J.. 2004. “Truth and Robustness in Cross-country Growth Regressions.” Oxford Bulletin of Economics and Statistics 66 (5): 765–798.CrossRefGoogle Scholar
Johnston, Jack. [1963, 1972] 1984. Econometric Methods. Third edition. New York: McGraw-Hill.Google Scholar
Juselius, Katarina. 2006. The Cointegrated VAR Model. Oxford: Oxford University Press.CrossRefGoogle Scholar
Keynes, John Maynard. 1939. “Official Papers: The Statistical Testing of Business-Cycle Theories.” Economic Journal 44 (195): 558–569.Google Scholar
Koopmans, Tjalling C., ed. 1950. Statistical Inference in Dynamic Economic Models. Cowles Commission Monograph 10. New York: Wiley.Google Scholar
Koopmans, Tjalling C., Rubin, H., and Leipnik, R. B.. 1950. “Measuring the Equation Systems of Dynamic Economics.” In Koopmans, T., ed., Statistical Inference in Dynamic Economic Models. Cowles Commission Monograph 10. New York: Wiley, pp. 53–237.Google Scholar
Krolzig, H.-M., and Hendry, D. F.. 2001. “Computer Automation of General-to-Specific Model Selection Procedures.” Journal of Economic Dynamics and Control 25: 831–866.CrossRefGoogle Scholar
Liu, Ta-Chung. 1960. “Underidentification, Structural Estimation, and Forecasting.” Econometrica 28 (4): 855–865.Google Scholar
Malinvaud, Edmund. 1966. Statistical Methods of Econometrics. Chicago: Rand McNally.Google Scholar
Mann, H. B., and Wald, A.. 1943. “On the Statistical Treatment of Linear Stochastic Difference Equations.” Econometrica 11 (3/4): 173–220.CrossRefGoogle Scholar
Marschak, Jacob. 1953. “Economic Measurements for Policy and Prediction.” In Hood, William C. and Koopmans, Tjalling, eds., Studies in Econometric Method. Cowles Commission Monograph 14. New York: Wiley, pp. 1–25.Google Scholar
Mayo, Deborah. 1996. Error and the Growth of Experimental Knowledge. Chicago: University of Chicago Press.Google Scholar
Moene, Karl Ove, and Rødseth, Asbjørn. 1991. “Nobel Laureate: Trygve Haavelmo.” Journal of Economic Perspectives 5 (3): 175–192.CrossRefGoogle Scholar
Morgan, Mary S. 1990. The History of Econometric Ideas. Cambridge: Cambridge University Press.CrossRefGoogle Scholar
Nerlove, Marc. 1990. “Trygve Haavelmo: A Critical Appreciation.” Scandinavian Journal of Economics 92 (1): 17–24.CrossRefGoogle Scholar
Sims, Christopher A. 1980. “Macroeconomics and Reality.” Econometrica 48 (1): 1–48.CrossRefGoogle Scholar
Spanos, Aris. 1986. The Statistical Foundations of Econometric Modelling. Cambridge: Cambridge University Press.Google Scholar
Spanos, Aris. 1989. “On Rereading Haavelmo: A Retrospective View of Econometric Modeling.” Econometric Theory 5 (3): 405–429.CrossRefGoogle Scholar
Valavanis, Stefan. 1959. Econometrics. New York: McGraw-Hill.Google Scholar
White, Halbert. 1990. “A Consistent Model Selection Procedure Based on m-testing.” In Granger, Clive, ed., Modelling Economic Series: Readings in Econometric Methodology. Oxford: Oxford University Press, pp. 369–383.Google Scholar