The Foundations of Econometric Analysis

A 1995 collection of the classic papers of the pioneer econometricians which form the foundations of econometric thought.

David F. Hendry (Author), Mary S. Morgan (Author)

9780521588706, Cambridge University Press

Paperback, published 20 February 1997

576 pages, 83 b/w illus.
24.4 x 17 x 3 cm, 0.91 kg

'Hendry and Morgan assemble in one place the classics of econometric thought. It is required reading for any student of the history of econometrics or anyone interested in the evolution of one body of thinking about how to interpret empirical evidence.' James Heckman, University of Chicago

In this compelling 1995 book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and non-specialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a stand-alone and synthetic account of the development of econometrics.

Introduction
Part I. The Emerging Role of Econometrics in Economics: 1. The scope and method of political economy J. N. Keynes
2. Business cycles W. C. Mitchell
3. Economic cycles: their law and cause H. L. Moore
4. An essay on the nature and significance of economic science L. Robbins
5. The common sense of econometrics J. A. Schumpeter
Part II. Early Time Series Analysis: 6. On the study of periodic commercial fluctuations W. S. Jevons
7. Correlation of the marriage rate with trade R. H. Hooker
8. The correlation of economic statistics W. M. Persons
9. Why do we get nonsense correlations between time series? G. U. Yule
10. On a method of investigating periodicities in disturbed series, with special reference to Wolfer's sunspot numbers G. U. Yule
11. A random difference series for use in the analysis of time series H. Working
12. Calculation and elimination of seasonal fluctuations A. Wald
13. Morgenstern on economic forecasting A. W. Marget
Part III. Applied Econometrics and the Identification Problem: 14. The elasticity of the demand for wheat R. A. Lehfeldt
15. Economic cycles: their law and cause H. L. Moore
16. Moore's economic cycles P. G. Wright
17. A moving equilibrium of demand and supply H. L. Moore
18. Statistical laws of demand and supply P. G. Wright
19. Determination and interpretation of supply curves J. Tinbergen
Part IV. The Evolution of Statistical Thinking in Econometrics: 20. Statistical laws of demand and supply with special application to sugar H. Schultz
21. 'Pitfalls' debate R. Frisch, W. W. Leontief and J. Marschak
22. Statistical confluence analysis by means of complete regression systems R. Frisch
23. Linear regression analysis of economic time series T. C. Koopmans
24. Statistical testing of business cycle theories J. Tinbergen
25. Residual variables in regression and confluence analysis O. Reiersöl
Part V. Dynamic Models: 26. Our unstable dollar and the so-called business cycle I. Fisher
27. The notions of horizon and expectance in dynamic economics J. Tinbergen
28. Propagation problems and impulse problems in dynamic economics R. Frisch
29. Statistical testing of business cycle theories: business cycles in the United States of America 1919–32 J. Tinbergen
30. Statistical estimation of economic relationships H. O. A. Wold
31. Prolegomena to a pressure-analysis of economic phenomena R. Frisch
Part VI. The Tinbergen Debate: 32. Statistical testing of business cycle theories: a method and its application to investment activity J. Tinbergen
33. Professor Tinbergen's method J. N. Keynes
34. Mr Keynes on the statistical verification of business cycle theories J. Marschak and O. Lange
34. Econometric testing of business cycle research J. Tinbergen
35. Autonomy of economic relations R. Frisch
Part VII. Structure and Simultaneity: 36. Economic interdependence and statistical analysis J. Marschak
37. The probability approach in econometrics T. Haavelmo
38. The statistical implications of a system of simultaneous equations T. Haavelmo
39. Statistical estimation of economic relationships H. O. A. Wold
Part VIII. The Probabilistic Revolution: 40. The probability approach in econometrics T. Haavelmo
41. 'Measurement without theory' debate T. C. Koopmans, R. Vining, and M. Hastay
Part IX. Exogeneity: 42. When is an equation system complete for statistical purposes? T. C. Koopmans
43. Towards partial redirection of econometrics, actions, consequences and casual relations G. H. Orcutt
Conclusion.

Subject Areas: Econometrics [KCH]