» Econometrics
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Conditional Moment Restrictions" Journal
of Econometrics 34 305-334. ... cesses"
Chapter 45 in Handbook of Econometrics
Volume IV R. Engle and ...
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Prehistory of Econometrics
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Topic: Econometrics
Sort Desciption: Prehistory of Econometrics expires. specification is known and simple (in experiments on laws. where ceteris paribus can be achieved) ...
Content Inside: Prehistory of Econometrics Jan F. Kiviet July 10 2001 JFK 2001 2 Econometrics is not equivalent with Applied Economics A modern (though narrow) definition of econometrics is: Thorough statistical inference on observational (non-experimental) data from (mostly) selective samples Was Tinbergen an econometrician? according to the narrow definition: May be not !! JFK 2001 3 Econometrics: since World War II Some major landmarks: 1944 Haavelmo: probability approach 1950 Cowles group: simultaneity identification FIML 1950 Durbin & Watson: serial correlation test 1953 Klein: A Textbook of Econometrics 1953 Theil: Two-Stage Least-Squares 1960 Chow: tests for structural change 1964 Sargan: dynamic modelling 1969 Ramsey: RESET test 1974 Heckman: self-selection 1974 McFadden et al.: discrete choice 1974 Granger & Newbold: spurious regression 1978 Hausman: exogeneity test 1979 Godfrey-Breusch-Pagan-Bera-Engle: LM tests 1980 Hendry: Alchemy or science: Test (3x) 1981 Granger: non-stationarity and cointegration 1982 Engle: ARCH 1982 Hansen: GMM . JFK 2001 4 Prehistory of Econometrics expires specification is known and simple (in experiments on laws where ceteris paribus can be achieved) regressors are controled by the experimentor hence are exogenous and multicollinearity can be avoided disturbances are independent and identically distributed disturbances are normally distributed Thus t and F tests can be used for inference with exact control over type I errors This is when OLS (ordinary least-squares) estimators are BLU (best linear unbiased; Gauss-Markov) and inference is exact after full development of linear regression for the situation where: JFK 2001 5 Who developed this vehicle? Main contributors Main contributors: 1777-1855 Gauss 1752-1833 Legendre 1796-1874 Quetelet 1822-1911 Galton 1845-1926 Edgeworth 1857-1936 Pearson (Karl) 1871-1951 Yule 1876-1937 Gosset (Student) 1890-1962 Fisher 1895-1980 Pearson (Egon) 1894-1981 Neyman 1895-1967 Aitken 19 ...
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