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Rational Econometric Man

Transforming Structural Econometrics

Edward J. Nell and Karim Errouaki

This challenging and original book takes a fresh, innovative look at econometrics, and re-examines the scientific standing of structural econometrics as developed by the founders (Frisch and Tinbergen) and extended by Haavelmo and the Cowles modellers (particularly Klein) during the period 1930–1960.
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Chapter 9: Haavelmo and beyond: probability, uncertainty, specification and stochasticism

Edward J. Nell and Karim Errouaki

Extract

Haavelmo (1944) provided the unifying foundations for present day econometrics. Although many have written about his contribution, his work has not been integrated within a more general philosophy of science. Since Haavelmo (1944), extraordinary advances have been made in econometrics. However, since the early 1990s the efficacy and scientific status of econometrics have become questionable. Not surprisingly, the growing discontent with econometrics has been accompanied by a growing interest in econometric methodology. Spanos (2007, p. 2) has noted that the focus in the econometric literature since the early 1960s has been primarily on technical issues. But he doesn’t think much advance has been made. He wrote (ibid., p. 3).

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