Abstract

http://ssrn.com/abstract=2171700
 
 

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Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression


Kevin D. Hoover


Duke University - Departments of Economics and Philosophy

Katarina Juselius


University of Copenhagen - Department of Economics

November 5, 2012

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-16

Abstract:     
The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.

Number of Pages in PDF File: 31

Keywords: Trygve Haavelmo, experiments, passive observation, CVAR, scenario analysis, probability approach, econometrics

JEL Classification: C30, C31, B41, B31, C50

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Date posted: November 7, 2012  

Suggested Citation

Hoover, Kevin D. and Juselius, Katarina, Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression (November 5, 2012). Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-16. Available at SSRN: http://ssrn.com/abstract=2171700 or http://dx.doi.org/10.2139/ssrn.2171700

Contact Information

Kevin D. Hoover
Duke University - Departments of Economics and Philosophy ( email )
Durham, NC 27708-0204
United States
Katarina Juselius (Contact Author)
University of Copenhagen - Department of Economics ( email )
Copenhagen University Library
Licenssekretariatet Nørre Alle 49
DK-2200 Copenhagen N.
Denmark
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