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It seems worthwhile to pause occasionally and take stock of the balance of trade between economics and health economics. Martin Feldstein (1974) did this fourteen years ago at the ASSA meetings, and sufficient time has lapsed to bring up the issue again. Here, however, I undertake only a fragment of the task, confining the discussion to some remarks about econometrics and health economics. If one were writing about economic theory and health economics, one might focus on the importance for health economics of both uncertainty and the physician's dual role as supplier and patient agent. In discussing econometrics and health economics, however, other features of health economics are relevant:
Toward a Formal Science of Economics provides a unifying way to look at the concept of economic science. Toward a Formal Science of Economics provides a unifying way to look at the concept of economic science. It lays a foundation for the axiomatic method, focusing on applications in economics and econometrics, and including discussions in logic, epistemology, and probability theory. Each chapter deals with a topic of fundamental importance to a rigorous science of economics while illustrating an aspect of the axiomatic method. Stigum describes an introductory course in mathematical logic, developing a symbolic language for mathematics and discussing the strengths and weaknesses of the axiomatic method. He presents the standard theory of consumer choice, illustrating different aspects of the use of the axiomatic method and evaluating economic theories of individual behavior. He takes up problems in the foundations of econometrics and choice under uncertainty and offers an introduction to nonstandard analysis that leads to discussion of exchange and probability in hyperspace. A section on epistemology completes Stigum's construction of a formal unitary methodological basis for theoretical and empirical science. The last three parts of the book apply these methodological tools to various topics in economics and econometrics including empirical analyses of the permanent income hypothesis and consumer choice among risky and nonrisky assets; discussion of determinism, uncertainty, and the utility hypothesis; and study of topics of importance to the analysis of economic time series.
INTRODUCTION In order to understand and formulate economic theories, we tend to classify the types of movements which characterize economic time series as trend, cyclical, seasonal, and irregular. The idea that each component has separate and different causal forces is implicit in many of the discussions on the decomposition. Among the four components, two were considered to be of prime interest to economists. Whereas theories of economic growth suggest models which explain the secular or trend component of economic aggregates, the bulk of macroeconomics focuses on models explaining the stylized facts of the reoccurring cyclical component. The other two components, namely the seasonal and the irregular, were mostly viewed as a nuisance and of no major interest to us economists for the simple reason that we have almost no theoretical developments on economic models of seasonality. Consequently, without any interest in seasonality and considering that it was common until recently to separate growth models from business cycle models, the large majority of empirical macroeconomics has adopted a strategy of seasonally adjusting and detrending each series separately prior to any inference about the business cycle. Lately economic theorists studying stochastic growth theory have suggested models integrating the growth and cyclical components of economic time series, viewing expansions and contractions simply as the acceleration and the slowing down of the overall economic growth process. Time series econometricians, on the other hand, focused their attention on the econometric estimation and testing of parametric models with trending processes. Nowadays empirical macroeconomists tend to be more careful about trends and pay more attention to issues such as common trends and the interaction of cyclical and secular fluctuations.
An extensive synthesis is provided of the concepts, measures and techniques of Information Theory (IT). After an axiomatic description of the basic definitions of “information functions”, “entropy” or uncertainty and the maximum entropy principle, the paper demonstrates the power of IT as both an interpretive and techinically productive tool. It is argued that this power and universality is promarily due to the common need for (i) measures of distance and discrimination and, (ii) appropriate partitioning- aggregation properties. IT offers a very suggestive unification for a bewildering and arbitrary set of approaches that have evolved in different disciplines. Applications are discussed or indicated. These applications have relevance to economics, finance, industrial organization, marketing, statistical ingerence and model selection, political science and communication. A main focus of the discussion is the generative power of IT measures in statistical examinations of unknown distributions and random phe...
This is the second of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The second volume addresses topics such as big data, macroeconomics, financial markets, and partially identified models.
Journal Article Econometrics and Quantitative Economics Get access Econometrics and Quantitative Economics. Edited by DAVID F. HENDRY and KENNETH F. WALLIS. (Oxford: Basil Blackwell, 1984. Pp. 342. £22.50 hardback.) Michael Wickens Michael Wickens University of Southampton Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 95, Issue 379, 1 September 1985, Pages 791–794, https://doi.org/10.2307/2233045 Published: 01 September 1985
This book is the first volume of three containing papers presented at the Seventh World Congress of the Econometric Society. The papers summarize and interpret key recent developments and discuss current and future directions in a wide range of topics in economics and econometrics. They cover both theory and applications. Authored by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline.
Based on a money market analysis using the cointegrated VAR model the paper demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feedback and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The interpretation and analysis of common driving trends are related to the notion of shocks or disturbances to a system, distinguishing between permanent and transitory, and anticipated and unanticipated effects.
This paper surveys selected applications of the Lorenz curve and related stochastic orders in economics and econometrics, with a bias towards problems in statistical distribution theory. These include characterizations of income distributions in terms of families of inequality measures, Lorenz ordering of multiparameter distributions in terms of their parameters, probability inequalities for distributions of quadratic forms, and Condorcet jury theorems.
Abstract Concern for the potentially harmful side effects of agricultural chemical inputs, especially pesticides, highlights the need to accurately determine the economic levels of their use. We consider three model specification issues: interaction of direct production inputs with damage control inputs in damage abatement, justification for a priori exclusion of production inputs from the abatement function, and the motivations and consequences of alternative stochastic specifications. Empirical analysis using farm‐level data shows that misspecification of the stochastic element in the production function can overestimate the marginal physical productivity of pesticides and grossly underestimate the responsiveness of demand to increases in pesticide prices.
This paper measures an important component of the research output of economics and econometrics teaching departments, namely, the number of pages published during the period 1988‐93, in journals listed by the Journal of Economic Literature. Based on page counts it is found that department rankings are similar over a broad range of journal groupings. It is also found that the median numbers of pages published by each of the groups of senior lecturers, associate professors and professors are quite small, indicating that within these groups research output is highly concentrated among a few active publishers.
The book discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
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This classic text has proven its worth in university classrooms and as a tool kit in research--selling over 40,000 copies in the United States and abroad in its first edition alone. Users have included undergraduate and graduate students of economics and business, and students and researchers in political science, sociology, and other fields where regression models and their extensions are relevant. The book has also served as a handy reference in the real world for people who need a clear and accurate explanation of techniques that are used in empirical research.Throughout the book the emphasis is on simplification whenever possible, assuming the readers know college algebra and basic calculus. Jan Kmenta explains all methods within the simplest framework, and generalizations are presented as logical extensions of simple cases. And while a relatively high degree of rigor is preserved, every conflict between rigor and clarity is resolved in favor of the latter. Apart from its clear exposition, the book's strength lies in emphasizing the basic ideas rather than just presenting formulas to learn and rules to apply.The book consists of two parts, which could be considered jointly or separately. Part one covers the basic elements of the theory of statistics and provides readers with a good understanding of the process of scientific generalization from incomplete information. Part two contains a thorough exposition of all basic econometric methods and includes some of the more recent developments in several areas.As a textbook, Elements of Econometrics is intended for upper-level undergraduate and master's degree courses and may usefully serve as a supplement for traditional Ph.D. courses in econometrics. Researchers in the social sciences will find it an invaluable reference tool.A solutions manual is also available for teachers who adopt the text for coursework.Jan Kmenta is Professor Emeritus of Economics and Statistics, University of Michigan.
A Guide to Modern Econometrics is a new textbook published by John Wiley and Sons. It covers a wide range of topics in applied econometrics in a concise and intuitive way. Some distinctive features:\n\nEmphasis on empirical relevance and intuition, paying attention to the links between alternative approaches. \nLimited use of matrix algebra. \nCoverage of many modern topics from time-series, cross-section and panel data econometrics. \nConcisely and carefully written, so that the reader does not get lost in the details. \nFull length empirical illustrations are provided throughout, typically taken from the modern economics literature and using full-size data sets. \nEmpirical illustrations taken from finance, labour economics, environmental economics, monetary economics, international economics and many more. \nExercises added to all chapters, with a focus on intuition and interpretation of results. Several exercises involve the use of actual data. \nData sets used for illustrations and exercises are available from the internet.
Since Edward Leamer's memorable 1983 paper, “Let's Take the Con out of Econometrics,” empirical microeconomics has experienced a credibility revolution. While Leamer's suggested remedy, sensitivity analysis, has played a role in this, we argue that the primary engine driving improvement has been a focus on the quality of empirical research designs. The advantages of a good research design are perhaps most easily apparent in research using random assignment. We begin with an overview of Leamer's 1983 critique and his proposed remedies. We then turn to the key factors we see contributing to improved empirical work, including the availability of more and better data, along with advances in theoretical econometric understanding, but especially the fact that research design has moved front and center in much of empirical micro. We offer a brief digression into macroeconomics and industrial organization, where progress—by our lights—is less dramatic, although there is work in both fields that we find encouraging. Finally, we discuss the view that the design pendulum has swung too far. Critics of design-driven studies argue that in pursuit of clean and credible research designs, researchers seek good answers instead of good questions. We briefly respond to this concern, which worries us little.
Peter Kennedy's book, which provides intuitive, narrative explanations for a wide range of topics covered in undergraduate and graduate econometrics courses, occupies a unique position in the econometrics textbook market. -- David Ribar, Department of Economics, the George Washington University Guide to Econometrics has established itself as the first-choice text for teachers and students throughout the world. It provides an overview of the subject and an intuitive feel for its concepts and techniques without the notation and technical detail often characteristic of econometrics textbooks. The fourth edition updates the contents and references thoughout, while retaining the basic structure and flavor of earlier editions. New material has been added on several topics, such as bootstrapping, count data, duration models, generalized method of moments, instrumental variable estimation, linear structural relations, Monte Carlo studies, neural nets, time series analysis, and VARs. A new appendix and a new type of exercise underline the importance of the sampling distribution concept.
ABSTRACT Spatial econometrics has been criticized by some economists because some model specifications have been driven by data‐analytic considerations rather than having a firm foundation in economic theory. In particular, this applies to the so‐called W matrix, which is integral to the structure of endogenous and exogenous spatial lags, and to spatial error processes, and which are almost the sine qua non of spatial econometrics. Moreover, it has been suggested that the significance of a spatially lagged dependent variable involving W may be misleading, since it may be simply picking up the effects of omitted spatially dependent variables, incorrectly suggesting the existence of a spillover mechanism. In this paper, we review the theoretical and empirical rationale for network dependence and spatial externalities as embodied in spatially lagged variables, arguing that failing to acknowledge their presence at least leads to biased inference, can be a cause of inconsistent estimation, and leads to an incorrect understanding of true causal processes.
Experimetrics is an essential guide to discovering new and more illuminating ways to analyse experimental econometric data. Peter Moffatt, one of the world's experts in the field, covers a range of techniques: from the familiar, such as treatment testing, to lesser known ones such as finite mixture models and the method of maximum simulated likelihood. The book takes a hands-on approach by explaining STATA commands in detail. In addition, difficult problems inherent in the methodology are addressed, such as the parametric estimation of social preference models, quantal response models, and learning models. An indispensable book for researchers and advanced students in experimental and behavioural economics who want to come to grips with the field of Experimetrics.
Many empirical questions in economics and other social sciences depend on causal effects of programs or policies. In the last two decades, much research has been done on the econometric and statistical analysis of such causal effects. This recent theoretical literature has built on, and combined features of, earlier work in both the statistics and econometrics literatures. It has by now reached a level of maturity that makes it an important tool in many areas of empirical research in economics, including labor economics, public finance, development economics, industrial organization, and other areas of empirical microeconomics. In this review, we discuss some of the recent developments. We focus primarily on practical issues for empirical researchers, as well as provide a historical overview of the area and give references to more technical research.