The Foundations of Econometric Analysis

Contents (vii)......Page 5
Preface (xi)......Page 9
Acknowledgements (xiii)......Page 11
Introduction (1)......Page 15
I. The Emerging Role of Econometrics in Economics (83)......Page 97
1. JN Keynes (1981) The Scope and Method of Political Economy......Page 98
2. Mitchell (1913) Business Cycles (91)......Page 104
3. Moore (1914) Economic Cycles — Their Law and Cause (95)......Page 108
4. Robbins (1932) An Essay on the Nature and Significance of Economic Science (98)......Page 111
5. Schumpeter (1933) The Common Sense of Econometrics (103)......Page 116
II. Early Time-Series Analysis (111)......Page 123
6. Jevons (1862) On the Study of Periodic Commercial Fluctuations (113)......Page 124
7. Hooker (1901) Correlation of the Marriage-Rate with Trade (122)......Page 133
8. Persons (1910) The Correlation of Economic Statistics (130)......Page 141
9. Yule (1926) Why do we sometimes get Nonsense Correlations between Time-Series? (141)......Page 152
10. Yule (1927) On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers (159)......Page 170
11. Working (1934) A Random-Difference Series for Use in the Analysis of Time Series (166)......Page 177
12. Wald (1936) Calculation and Elimination of Seasonal Fluctuations (175)......Page 186
13. Marget (1929) Morgenstern on the Methodology of Economic (180)......Page 191
III. Applied Econometrics and the Identification Problem (191)......Page 202
14. Lehfeldt (1914) The Elasticity of the Demand for Wheat (193)......Page 203
15. Moore (1914) Economic Cycles - Their Law and Cause (198)......Page 208
16. Wright (1915) Review of Moore, 'Economic Cycles' (206)......Page 216
17. Lenoir (1913) Variation of Supply and Demand Curves: Influences on Prices (214)......Page 224
18. Moore (1925) A Moving Equilibrium of Demand and Supply (218)......Page 228
19. Wright (1929) Review of Schultz, 'Statistical Laws of Demand and Supply' (225)......Page 235
20. Tinbergen (1930) Determination and Interpretation of Supply Curves: An Example (233)......Page 243
IV. The Evolution of Statistical Thinking in Econometrics (247)......Page 256
21. Schultz (1928) Statistical Laws of Demand and Supply with Special Application to Sugar (249)......Page 257
22. Marschak/Leontief/Frisch/Leontief/Marschak (1934) 'Pitfalls' Debate (257)......Page 265
23. Frisch (1934) Statistical Confluence Analysis by Means of Complete Regression Systems (271)......Page 279
24. Koopmans (1937) Linear Regression Analysis of Economic Time Series (274)......Page 282
25. Tinbergen (1939) Statistical Testing of Business Cycle Theories: A Method and Its Application to Investment Activity (292)......Page 300
26. Reiersøl (1945) Residual Variables in Regression and Confluence Analysis (299)......Page 307
V. Dynamic Models (307)......Page 315
27. Fisher (1925) Our Unstable Dollar and the So-Called Business Cycle (309)......Page 316
28. Tinbergen (1933) The Notions of Horizon and Expectancy in Dynamic Economics (322)......Page 329
29. Frisch (1933) Propagation Problems and Impulse Problems in Dynamic Economics (333)......Page 340
30. Tinbergen (1939) Statistical Testing of Business Cycle Theories: Business Cycles in the United States of America, 1919–1932 (347)......Page 354
31. Wold (1947) Statistical Estimation of Economic Relationships (352)......Page 359
32. Frisch (1949) Prolegomena to a Pressure-Analysis of Economic Phenomena (355)......Page 362
VI. The Tinbergen Debate (359)......Page 366
33. Tinbergen (1939) Statistical Testing of Business Cycle Theories: A Method and its Application to Investment Activity (361)......Page 367
34. Keynes (1939) Professor Tinbergen's Method (382)......Page 388
35. Marschak & Lange (1940) Mr Keynes on the Statistical Verification of Business Cycle Theories (390)......Page 396
36. Tinbergen (1940) Econometric Business Cycle Research (399)......Page 405
37. Frisch (1938) Autonomy of Economic Relations and Tinbergen's (1938) reply (407)......Page 413
VII. Structure and Simultaneity (425)......Page 430
38. Marschak (1942) Economic Interdependence and Statistical Analysis (427)......Page 431
39. Haavelmo (1944) The Probability Approach in Econometrics (440)......Page 444
40. Haavelmo (1943) The Statistical Implications of a System of Simultaneous Equations (454)......Page 458
41. Wold (1947) Statistical Estimation of Economic Relationships (464)......Page 468
VIII. The Probabilistic Revolution (475)......Page 478
42. Haavelmo (1944) The Probability Approach in Econometrics (477)......Page 479
43. Koopmans/Vining/Hastay (1947, 1949, 1951) 'Measurement without Theory' Debate (491)......Page 493
Index (552)......Page 553