A Historical Sketch of Macroeconometrics

Rahmanov, Ramiz (2014): A Historical Sketch of Macroeconometrics.

Abstract

The paper describes the evolutionary history of Macroeconometrics over the last one hundred years. Three main approaches are distinguished, their underlying principles are discussed and the weakness of each principle is considered. The paper also shows the current developments in the field and indicates the directions of the research currently undertaken.

• Item Type: MPRA Paper
• Language: English
• Keywords: Macroeconometrics, history, Cowles Commission, VAR, VECM, DSGE
• Subjects: B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology > B41 - Economic Methodology; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General

References

Canova, Fabio. 2007. Methods for Applied Macroeconomic Research. Princeton: Princeton University Press

Christ, Carl F. 1994. “The Cowles Commission’s Contributions to Econometrics at Chicago, 1939-1955”. Journal of Economic Literature, 1

Colander, David C. and Landreth, Harry. 1994. History of Economic Thought. Boston: Houghton Mifflin Company

Epstein, R. J. 1989. A history of Econometrics. Amsterdam: North-Holland

Favero, Carlo A. 2001. Applied Macroeconometrics. Oxford: Oxford University Press

Fernandez-Villaverde, Jesus and Rubio-Ramirez, Juan F. 2009. “Two Books on the New Macroeconometrics”. Econometric Reviews, 4

Hendry, David F. 2003. “J. Denis Sargan and the Origins of LSE Econometric Methodology”. Econometric Theory, 3

Lutkepohl, Helmut and Kratzig, Markus. 2004. Applied Time Series Econometrics. New York: Cambridge University Press

Malinvaud, E. 1988. “Economic Methodology at the Cowles Commission: Rise and Maturity”. Econometric Theory, 4 Morgan, Marry. 1992. A history of econometric ideas. Cambridge: Cambridge University Press

Pagan, Adrian. 1987. “Three Econometric Methodologies: A Critical Appraisal”. Journal of Economic Surveys, 1

Rao, Bhaskara B. 2005. “Estimating Short and Long Run Relationships: A guide to the Applied Economist”. Methodological Issues

Sims, Christopher A. 1980. “Macroeconomics and Reality”. Econometrica, 1

Tobin, James. 1997. “Jan Tinbergen”. Proceedings of the American Philosophical Society, 1