The Methodology of Econometrics

49 Pages Posted: 25 May 2005

See all articles by Kevin D. Hoover

Kevin D. Hoover

Duke University - Departments of Economics and Philosophy

Abstract

The methodology of econometrics is not the study of particular econometric techniques, but a meta-study of how econometrics contributes to economic science. As such it is part of the philosophy of science. The essay begins by reviewing the salient points of the main approaches to the philosophy of science - particularly, logical positivism, Popper's falsificationism, Lakatos methodology of scientific research programs, and the semantic approach - and orients econometrics within them. The principal methodological issues for econometrics are the application of probability theory to economics and the mapping between economic theory and probability models. Both are raised in Haavelmo's (1944) seminal essay. Using that essay as a touchstone, the various recent approaches to econometrics are surveyed - those of the Cowles Commission, the vector autoregression program, the LSE approach, calibration, and a set of common, but heterogeneous approaches encapsulated as the "textbook econometrics." Finally, the essay considers the light shed by econometric methodology on the main epistemological and ontological questions raised in the philosophy of science.

Keywords: Econometrics, methodology, philosophy of science, Popper, Lakatos, semantic approach, Haavelmo, vector autoregression, LSE approach, calibration, Cowles Commission

JEL Classification: B41, C10

Suggested Citation

Hoover, Kevin D., The Methodology of Econometrics. Available at SSRN: https://ssrn.com/abstract=728683 or http://dx.doi.org/10.2139/ssrn.728683

Kevin D. Hoover (Contact Author)

Duke University - Departments of Economics and Philosophy ( email )

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
1,589
rank
10,234
Abstract Views
7,136
PlumX Metrics