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History of Econometrics

Editor’s Foreword

Olav Bjerkholt
p. 279-280

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1Œconomia ­­publishes regular thematic symposia on topics within the journal’s overall broad scope of history of economic thought, economic methodology and economic philosophy. It is an editorial policy of Œconomia to offer our readers articles which convey in a history and methodology perspective pertinent developments within economic sciences. This issue is devoted to the history of econometrics. Whereas scholars have mainly dealt with the early history so far, the present issue aims at gathering contributions on contemporary and recent history of econometrics.

2Econometrics is a field with roots that go far back in time. In his monumental History of Economic Analysis Joseph Schumpeter denoted William Petty and his group of practitioners of Political Arithmetick in England in the 17th century as “the econometricians,” while he noted the sparsity of a similar econometric spirit in combining theoretical assumptions and empirical facts to achieve useful results among economists in the following two hundred years. Econometrics did not come into self-consciousness as a separate field until the founding of the Econometric Society in 1930 on a program of promoting “studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems.” Ragnar Frisch who was the driving force behind this initiative also provided substantial inputs to the development of econometric methodology.

3Up to World War II there were competing ideas, approaches, and multiple techniques in econometrics but no ruling paradigm. Probability considerations played a very minor role in econometric work due to an unfounded but widely accepted view that economic time series were not amenable to such analysis. The formalization of econometrics undertaken at Cowles Commission in Chicago in the late 1940s inspired by the Probability Approach of Trygve Haavelmo, and often referred to as the CC-Haavelmo paradigm, placed the whole problem of determining economic relationships firmly within a probabilistic framework and made most traditional techniques redundant. A key assumption in this paradigm as it was conceived is that models to be estimated have been fixed with certainty by a priori formulated theories alone, it can thus be labeled as “theory-oriented”. It exerted a strong influence in the ensuing years, not least as consolidated standard econometrics propagated by textbooks. The history of econometrics, as written in the 1980s and 1990s, covered mainly the period up to and including the Cowles Commission econometric achievements.

4Haavelmo made a remark at the beginning of his influential monograph that econometric research aimed at connecting economic theory and actual measurements, using appropriate tools as a bridge pier, “[b]ut the bridge itself was never completely built.” From around 1960 there arose increasingly discontents of different kinds with the CC-Haavelmo paradigm, not least because of the key assumption mentioned above. The bridge needed mending but the ideas of how to do it went in different directions and led eventually to developments of new paradigms and new directions of econometric analysis. This issue comprises four articles illuminating developments in econometrics in the post-Cowles era.

5Marc Nerlove’s article, Individual Heterogeneity and State Dependence: From George Biddell Airy to James Joseph Heckman”, is a veritable tour de force through the history of disturbances in econometric relationships back to the origin in analysis of astronomical data. The key issue is individual heterogeneity in the analysis of panel data in econometrics in the presence of individual-specific temporally persistent unobservables and the inherent epistemological limitations.

6Duo Qin’s article, “Inextricability of Confluence and Autonomy in Econometrics”, discusses two key concepts introduced by Ragnar Frisch before World War II. The author elaborates on how the concepts largely have vanished from the standard textbook version of econometric methodology with misconceptions and methodological defects in empirical modelling research as a result.

7Aris Spanos sets out in his “Reflections on the LSE Tradition in Econometrics: a Student’s Perspective” the key tenets of one of the most influential approaches in applied econometric analysis, particularly in Britain and Europe. It originated at LSE in the early 1960 from dissatisfaction with the Cowles paradigm and has David Hendry as its main figure. Within an overall philosophical and methodological framework the LSE tradition applies a number of principles, e.g. the “general-to-specific modeling strategy”, and copes with Haavelmo’s bridging problem with less emphasis on the presuppositions of the theory and more on the facts of the data.

8The article “Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14”, by Nalan Basturk, Cem Cakmakli, S. Pinar Ceyhan, and Herman van Dijk, discusses many of the key issues in Bayesian econometrics and applications. Bayesianism which is based on a degree-of-belief probability concept, as opposed to a relative-frequency interpretation, started out around 1960 as an effort to improve the Cowles paradigm but later became an independent approach to econometric methodology.

9Those four articles do not exhaust the many facets of recent history of econometrics, and it is hoped that this issue will stimulate other issues or articles to be published in Œconomia in the future.

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Olav Bjerkholt, « Editor’s Foreword », Œconomia, 4-3 | 2014, 279-280.

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Olav Bjerkholt, « Editor’s Foreword », Œconomia [En ligne], 4-3 | 2014, mis en ligne le 01 septembre 2014, consulté le 28 mai 2017. URL : http://oeconomia.revues.org/950

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Auteur

Olav Bjerkholt

University of Oslo. E-mail: olav.bjerkholt@econ.uio.no

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Les contenus d’Œconomia sont mis à disposition selon les termes de la Licence Creative Commons Attribution - Pas d'Utilisation Commerciale - Pas de Modification 4.0 International.

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