[OPE-L:6211] RE: Re: Re: econometrics

From: A.B.Trigg@open.ac.uk
Date: Tue Nov 20 2001 - 06:42:47 EST

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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