Allin, I doubt very much whether there has ever been one refereed journal article which 'did econometrics right', even on your own criteria (which I think are a small subset of the full required criteria). This is the case even for say the Hendry type procedures which ostensibly are all about testing for the required properties of the error term. All practicing econometricians I know end up bending their own rules (the rules you describe) to get the 'right' results. Data mining is simply endemic and inescapable in a world of 'publish or die'. More interesting is to actually ask someone doing econometrics with some data set what they *really* think it tells them - and this may give some scientifically interesting answers - but what ever the answers are they always involve making difficult judgements in the face of some or other necessary theoretical assumption being broken. This 'art' of econometrics - making judgements as to the quantitative significance of breakdowns of theoretical assumptions seems an entrirely 'tacit' art with no rules written down in textbooks. For myself, it is an art that I struggle with - I simply cannot work out what the output tells me without the assumptions that would make it unambiguously meaningful. It's not a question of being an imperfect, imprecise buisines as Patrick seems to suggest. It's more a question of a 'perfect' formal theory (theoretical econometrics) whose application outside of such perfection (in the real world where some necessary assumption or other does not unambiguously hold) is, strictly speaking, *utter nonsense*!! Re Lawson: I think you must disagree with Lawson's characterisation of neoclassical economics somewhere along the line since, whether one agrees with his critique or not, his characterisation firmly ties the growth of neoclassical economics to the growth of econometrics - something you appear to want to deny. I'm yet to read your article on Lawson (I recently did a web search and it was one of the few articles that I could not actually download)- would be interested in your reflections on the exchange. Thanks, Andy On 19 Nov 2001, at 14:47, Allin Cottrell wrote: > On Mon, 19 Nov 2001, Andrew Brown wrote: > > > 1) Whether the only game or not, the trouble I find with typical > > econometric methods (typically based on multiple regression), is > > that the theoretical assumptions are *always* broken... > > It's difficult to do econometrics right -- but doing it right involves > rigorous testing for violation of the required statistical properties > of the error term, and the use of alternative estimators where needed. > > > 2) Does 'calibration' count as another game so suggesting there is > > another game in town after all? > > I think you're right, calibration is an alternative -- for researchers > who are certain in advance that their theory is right and who just > want to quantify parameters rather than test hypotheses. > > > 3) Why do you (Allin) reject Tony Lawson's characterisation of > > neoclassical economics as deductivist? As you know, Lawson's > > arguments tie econometrics closely to neoclassical economics, if > > they are accepted. > > I don't think I disagree with Tony Lawson's characterization of > neoclassical economics as such. I'm less persuaded by his critique of > econometrics. This is a rather complex subject; I wrote about it in > "Realism, Regularities and Prediction" (Review of Social Economy, > LVI/3, Fall 1998). > > Allin Cottrell. >
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