Econometrics and the Philosophy of Economics: Theory-Data Confrontations in Economics

796 Pages·2003·5 MB·English

by  Bernt P. Stigum

Econometrics and the
Philosophy of Economics

Econometrics and the
Philosophy of Economics
Theory-Data Confrontations in Economics
Bernt P. Stigum
PRINCETON UNIVERSITY PRESS
PRINCETON AND OXFORD
Copyright©2003byPrincetonUniversityPress
PublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJersey08540
IntheUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,Oxfordshire
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LibraryofCongressControlNumber:2003106662
ISBN:0-691-11300-9
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Harald,Heather,Herman,JeffreyandDan,andToreandNils
—forcollaborating
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—foranunforeseenappendix
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Richard,andYngvild
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Contents
ListofFigures ix
ListofTables xi
Preface xv
Chapter1 Introduction 1
PARTI. FACTSANDFICTIONINECONOMETRICS 31
Chapter2 TheConstructionofSocialReality 33
Chapter3 TheSocialConstructionofReality 52
Chapter4 FactsandFictioninEconometrics 71
PARTII. THEORIZINGINECONOMICS 93
Chapter5 TheoriesandModels 95
Chapter6 ThePurportofanEconomicTheory 117
Chapter7 RationalityinEconomics 143
Chapter8 TopologicalArtifactsandLifeinLargeEconomies 168
PARTIII. THEORY-DATACONFRONTATIONSINECONOMICS 191
Chapter9 RationalAnimalsandSamplePopulations 193
Chapter10 TheTheoryUniverse 216
Chapter11 TheDataUniverse 237
Chapter12 TheBridgePrinciples 262
PARTIV. DATAANALYSES 283
Chapter13 FrequentistAnaloguesofPriorsandPosteriors
ToreSchwederandNilsLidHjort 285
Chapter14 OntheCOLSandCGMMMomentEstimation
MethodsforFrontierProductionModels
HaraldE.Goldstein 318
Chapter15 CongruenceandEncompassing
ChristopheBontempsandGrayhamE.Mizon 354
Chapter16 NewDevelopmentsinAutomaticGeneral-to-Specific
Modeling
DavidF.HendryandHans-MartinKrolzig 379
PARTV. EMPIRICALRELEVANCE 421
Chapter17 Conjectures,Theories,andTheirEmpiricalRelevance 423
Chapter18 ProbabilityversusCapacityinChoiceunderUncertainty 458
viii CONTENTS
Chapter19 EvaluationofTheoriesandModels
CliveW.J.Granger 480
PARTVI. DIAGNOSTICSANDSCIENTIFICEXPLANATION 497
Chapter20 DiagnosesandDefaultsinArtificialIntelligence
andEconomics 499
Appendix:Section20.3fromaLogicalPointofView
byHermanRugeJervell 520
Chapter21 ExplanationsofanEmpiricalPuzzle:WhatCanBe
LearnedfromaTestoftheRationalExpectationsHypothesis?
HeatherM.Anderson 525
Chapter22 ScientificExplanationinEconomics 558
Chapter23 ScientificExplanationinEconometrics:ACaseStudy
HeatherM.Anderson,BerntP.Stigum,andGeirOlveStorvik 578
PARTVII. CONTEMPORARYECONOMETRICANALYSES 611
Chapter24 HandlingtheMeasurementErrorProblembyMeans
ofPanelData:MomentMethodsAppliedonFirmData
ErikBiørn 613
Chapter25 OnBayesianStructuralInferenceinaSimultaneous
EquationModel
HermanK.vanDijk 642
Chapter26 AnEconometricAnalysisofResidentialElectric
ApplianceHoldingsandConsumption
JeffreyA.DubinandDanielL.McFadden 683
Chapter27 EconometricMethodsforAppliedGeneralEquilibrium
Analysis
DaleW.Jorgenson 702
Index 755
Figures
1.1 Atheory-dataconfrontation 3
1.2 Adisturbingriddle 4
3.1 Universalsandthereferenceofvariablesinthedata
universe 56
5.1 Theaxiomaticmethod 100
5.2 Ahierarchyofconsumerchoicetheories 102
6.1 Alife-cycleinformationstructure 137
13.1 Confidencedistributionfortheratioψrepresentedas
confidencedegree2[C(ψ)−1/2],basedon
Norwegiandata 294
13.2 Trueconfidencedensityalongwithabc-estimatedversion
ofit,forparameterψ=σ /σ withfourandninedegrees
2 1
offreedom 302
13.3 Threelog-likelihoodsconsistentwithauniformconfidence
distributionover[0.4,0.8] 305
13.4 OnethousandbootstrapestimatesofP andµ 310
1848
13.5 Priorconfidencedensity,bootstrapdensity,andposterior
confidencedensitiesforµ 312
14.1 PlotofR (t) 323
1
14.2 PlotofR (t) 323
2
ˆ
14.3 HistogramofV 340
1
ˆ
14.4 HistogramofV 340
2
ˆ
14.5 HistogramofV 343
3
16.1 Nullrejectionfrequencies 398
16.2 Power-sizetrade-off:t =2 399
16.3 Power-sizetrade-off:t =3 400
16.4 Selectingmisspecificationtests:QQplotsforT =100 413
21.1 Levelsdata 535
21.2 Differenceddata 536
21.3 Actualandforecastvaluesof∆R(1,t) 546
21.4 Actualandforecastvaluesof∆R(2,t) 547
23.1 Scatterplotsofeachpairofrandomtermscalculated
fromtheestimatedmodelbytheKalmanfilter 601
23.2 Estimatedautocorrelationfunctionsforη ,η ,andΛ 602
1 2
23.3 Estimatedpartialautocorrelationfunctionsforη ,η ,
1 2
andΛ 602