Deirdrie Mclosky and a co-author did a survey article on econometrics, which argued that there was a tendency to avoid using economic criteria for testing. This was published in the Journal of Economic Literature say about 4 years ago. I think they had problems getting it published but did make it through the referees in the end. Andrew T. > -----Original Message----- > From: Andrew Brown [SMTP:Andrew@lubs.leeds.ac.uk] > Sent: 20 November 2001 10:34 > To: ope-l@galaxy.csuchico.edu > Subject: [OPE-L:6210] Re: Re: econometrics > > 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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