Sunday, June 16, 2013

Vintage Years in Econometrics: The 1940's

A Fathers' Day "thank you" to our founding fathers..........

Following on from my earlier post about vintage years for econometrics in the 1930's, here's my take on the 1940's. This is a more challenging decade to assess, given the explosion of major contributions in the second decade of life for the new discipline.

As before, let me note that "in econometrics, what constitutes quality and importance is partly a matter of taste - just like wine! So, not all of you will agree with the choices I've made in the following compilation."

I've added a few "tasting notes" here and there, if I thought they were warranted.

  • Haavelmo, T.. The inadequacy of testing dynamic theory by comparing theoretical solutions and observed business cycles. Econometrica, 8, 312-321. 
  • Tintner, G.. The analysis of economic time series. Journal of the American Statistical Association, 35, 93-100.
  • Wald, A.. The approximate determination of indifference surfaces by means of Engel curves. Econometrica, 8, 144-175.
  • Wald, A. The fitting of straight lines if both models are subject to error. Annals of Mathematical Statistics, 11, 284-300. 
  • Koopmans, T..  Distributed lags in dynamic economics. Econometrica, 9, 128-134.    
  • Neumann, J. von.. Distribution of the ratio of the mean square successive difference to the variance. Annals of Mathematical Statistics, 12, 367–395. [This paper provided the forerunner to the Durbin-Watson test for serial independence.]
  • Reiersøl, O.. Confluence analysis by means of lag moments and other methods of confluence analysis. Econometrica, 9, 1–24.
  • Wald, A.. Some examples of asymptotically most powerful tests. Annals of Mathematical Statistics, 12, 396-408.
  • Girshick, M. A.. The application of the theory of linear hypotheses to the coefficient  of elasticity of demand. Journal of the American Statistical Association, 37,  233-237.  
  • Wallis, W. A.. Compounding probabilities from independent significance tests. Econometrica, 10, 229-248.
  • Waugh, F. V.. Regressions between sets of variables. Econometrica, 10, 290-310. [The start of the Frisch-Waugh-Lovell Theorem.]
  • Haavelmo, T.. The statistical implications of a system of simultaneous equations. Econometrica, 11, 1-12.
  • Mann, H. B. and A. Wald. On the statistical treatment of linear stochastic difference equations. Econometrica, 11, 173-220.
  • Mann, H. B. and A. WaldOn stochastic limit and order relationships. Annals of Mathematical Statistics, 14, 217–226.
  • Working, H.. Statistical laws of family expenditure. Journal of the American Statistical Association, 38, 43-56.  
  • Bancroft, T.A.. On biases in estimation due to the use of preliminary tests of significance. Annals of Mathematical Statistics, 15, 190-204. [This paper gave the first treatment of "preliminary test" estimation bias.]
  • Haavelmo, T.. The probability approach in econometrics. Econometrica, 12, supplement, iii-vi + 1-115.
  • Tintner, G.. A note on the derivation of production functions from farm records. Econometrica, 12, 26-34.   
  • Reiersøl, O.. Confluence analysis by means of instrumental sets of variables. Arkiv for Mathematik, Astronomi och Fysik32, 1-119. [The term "instrumental variables" appeared for the first time in this paper.]
  • Stone, J. R. N.. The analysis of market demand. Journal of the Royal Statistical Society, 108, 286–382.
  • Tintner, G.. Multiple regression for systems of equations. Econometrica, 14,  5-36.
  • Tintner, G.. Some applications of multivariate analysis to economic data. Journal of the American Statistical Association, 41, 472-500.  
  • Anderson, T. W.. A note on a maximum likelihood estimate. Econometrica, 15, 241-244.
  • Girshick, M. A. and T. Haavelmo. Statistical analysis of the demand for food: Examples of simultaneous estimation of structural equations. Econometrica, 15, 79-110. 
  • Haavelmo, T.. Methods of measuring the marginal propensity to consume. Journal of the American Statistical Association, 42, 105-122.
  • Hurwicz, L.. Some problems arising in estimating economic relations. Econometrica, 15, 236-240
  • Klein, L. R.. The use of econometric models as a guide to economic policy. Econometrica, 15, 111-151.
  • Koopmans, T. C.. Measurement without theory. Review of Economics and Statistics, 29, 161-172. [The start of a classic debate!]
  • Wald, A.. Foundations of a general theory on sequential decision theory of sequential decision functions. Econometrica, 15, 279-313. [One of Wald's last great papers - the beginning of sequential decision theory.]
  • Neyman, J.  and E. L. Scott. Consistent estimated based on partially consistent observations. Econometrica, 16, 1-32. [If you've ever wondered about the difficulties associated with MLE when it's applied to models with measurement errors, this paper will provide the answer.]
  • Bartlett, M. S.. A note on the statistical estimation of supply and demand relations form time series. Econometrica, 16, 323-329.
  • Anderson, T. W. and H. Rubin..   Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics, 20, 46-63. [This paper presents the LIML estimator. There has been a recent resurgence of interest in the associated over-identification test given by these authors.]
  • Arrow, K. J., D. Blackwell, and M. A. Girshick. Bayes and minimax solutions of sequential decision problems. Econometrica, 17, 213-244.
  • Clark, C.. A system of equations explaining the United States trade cycle, 1921 to 1941. Econometrica, 17, 93-124. [An early SEM from an Australian economist who helped develop what we now know as "national accounts".]
  • Cochrane, D. and G. H. Orcutt. Application of least squares regression to relationships containing autocorrelated error terms. Journal of the American Statistical Association, 44, 32-61. 
  • Cochrane, D. and G. H. Orcutt. A sampling study of the merits of autoregressive and reduced form transformations in regression analysis. Journal of the American Statistical Association, 44, 356 -372. 
  • Geary, R. C., Determination of linear relations between systematic parts of variables with errors of observation the variances of which are unknown. Econometrica, 17, 30-58. [This is a classic paper on the use of I.V. estimation to deal with measurement error.]
  • Koopmans, T. C.. Identification problems in economic model construction. Econometrica, 17, 125-144. [The "identification problem" revealed!
  • Metropolis, N. and S. Ulam.  The Monte Carlo method. Journal of the American Statistical Association, 44, 335-341. [The title says it all!]
  • Vining, R.. Koopmans on the choice of variables to be studied and  the methods of measurement. Review of Economics and Statistics, 31, 77-86. [Round 2 in the debate.]

Best vintage of the 1940's: 1949.

Bottoms up

© 2013, David E. Giles

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