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Lessons in Econometric Methodology: The Axiom of Correct Specification

Yıl 2017, Cilt: 9 Sayı: 2, 50 - 68, 04.10.2017
https://doi.org/10.33818/ier.337657

Öz

Leamer first pointed
out that a regression model is valid only if all of the assumptions under which
it is constructed are valid. In particular, this means that all of relevant
regressors which are determinants must be included. In practice, applied
econometricians assume that whatever model they put is valid, when there can
only be one valid model. If any relevant regressor is omitted, then the
equation is mis-specified and conclusions drawn from the regression can be
seriously misleading. Even though this mis-specification analysis is included
in textbooks, it is routinely ignored in applications, where researcher
interpret their equations as if they have correctly specified all regressors,
without testing to see if this may be the cases. Hendry’s encompassing
methodology provides a remedy for this problem, but seems to be unfamiliar to
many. The purpose of this pedagogical note is to provide an introduction to an
elementary but important aspect of this methodology

Kaynakça

  • Angrist, Joshua D., and Jörn-Steffen Pischke. Mastering'metrics: The path from cause to effect. Princeton University Press, 2014.
  • Asghar, Zahid. "A Structural Approach for Testing Causality." International Econometric Review (IER) 3.2 (2011): 1-12.
  • Bellone, B., and E. Michaux. "Model Uncertainty and Forecasting, a Practitioner Point of View." (2006). Unpublished manuscript.
  • Castle, Jennifer L., Jurgen A. Doornik, and David F. Hendry. "Evaluating automatic model selection." Journal of Time Series Econometrics 3.1 (2011).
  • Davidson, James EH, et al. "Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom." The Economic Journal (1978): 661-692.
  • Diebold, Francis X. "Forecast combination and encompassing: Reconciling two divergent literatures." International Journal of Forecasting 5.4 (1989): 589-592.
  • Ericsson, Neil R. "The fragility of sensitivity analysis: an encompassing perspective." Oxford Bulletin of Economics and Statistics 70.s1 (2008): 895-914.
  • Faust, Jon, and Charles H. Whiteman. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and critique." Carnegie-Rochester Conference Series on Public Policy. Vol. 47. North-Holland, 1997.
  • Fernandez, Carmen, Eduardo Ley, and Mark FJ Steel. "Model uncertainty in cross‐country growth regressions." Journal of applied Econometrics 16.5 (2001): 563-576.
  • Gilbert, Christopher L. "PRACTITIONERS'CORNER: Professor Hendry's Econometric Methodology." Oxford Bulletin of Economics and Statistics 48.3 (1986): 283-307.
  • Granger, Clive WJ, and Harald F. Uhlig. "Reasonable extreme-bounds analysis." Journal of Econometrics 44.1-2 (1990): 159-170.
  • Hlavac, Marek. (2016). "ExtremeBounds: Extreme Bounds Analysis in R," Journal of Statistical Software, Vol. 72.
  • Hendry, David F., and Michael P. Clements. "Pooling of forecasts." The Econometrics Journal 7.1 (2004): 1-31.
  • Hendry, David F., and Hans‐Martin Krolzig. "We ran one regression." Oxford bulletin of Economics and Statistics 66.5 (2004): 799-810.
  • Hendry, David F., and Hans‐Martin Krolzig. "The properties of automatic Gets modelling." The Economic Journal 115.502 (2005).
  • Hoover, Kevin D., and Stephen J. Perez. "Data mining reconsidered: encompassing and the general‐to‐specific approach to specification search." The Econometrics Journal 2.2 (1999): 167-191.
  • Hoover, Kevin D., and Stephen J. Perez. "Truth and robustness in cross‐country growth regressions." Oxford bulletin of Economics and Statistics 66.5 (2004): 765-798.
  • Kennedy, Peter E. "Sinning in the basement: What are the rules? The ten commandments of applied econometrics." Journal of Economic Surveys 16.4 (2002): 569-589.
  • Leamer, Edward E. Specification searches: Ad hoc inference with nonexperimental data. Vol. 53. John Wiley & Sons Inc, NY 1978.
  • Leamer, Edward E. "Sets of posterior means with bounded variance priors." Econometrica: Journal of the Econometric Society (1982): 725-736.
  • Leamer, Edward E. "Let's take the con out of econometrics." The American Economic Review 73.1 (1983): 31-43.
  • Lovell, Michael C., "Data Mining," Review of Economics and Statistics, February 1983, 45, 1-12
  • Sala-i-Martin, Xavier X. "I just ran two million regressions." The American Economic Review (1997): 178-183.
  • Stock, James H. "Asymptotic properties of least squares estimators of cointegrating vectors." Econometrica: Journal of the Econometric Society (1987): 1035-1056.
  • Tukey, John W. Exploratory data analysis. Wiley, NY (1977)
  • Varian, Hal R. "Causal inference in economics and marketing." Proceedings of the National Academy of Sciences 113.27 (2016): 7310-7315.
  • Zaman, Asad. Statistical foundations for econometric techniques. Academic Press, 1996.
  • Zaman, Asad “Causal Relations via Econometrics,” International Econometrics Review, vol 2, no. 1, 2010
  • Zaman, Asad “Methodological Mistakes and Econometric Consequences,” International Econometric Review, Sep. 2012, Vol. 4, Issue 2, p.99-122.
Yıl 2017, Cilt: 9 Sayı: 2, 50 - 68, 04.10.2017
https://doi.org/10.33818/ier.337657

Öz

Kaynakça

  • Angrist, Joshua D., and Jörn-Steffen Pischke. Mastering'metrics: The path from cause to effect. Princeton University Press, 2014.
  • Asghar, Zahid. "A Structural Approach for Testing Causality." International Econometric Review (IER) 3.2 (2011): 1-12.
  • Bellone, B., and E. Michaux. "Model Uncertainty and Forecasting, a Practitioner Point of View." (2006). Unpublished manuscript.
  • Castle, Jennifer L., Jurgen A. Doornik, and David F. Hendry. "Evaluating automatic model selection." Journal of Time Series Econometrics 3.1 (2011).
  • Davidson, James EH, et al. "Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom." The Economic Journal (1978): 661-692.
  • Diebold, Francis X. "Forecast combination and encompassing: Reconciling two divergent literatures." International Journal of Forecasting 5.4 (1989): 589-592.
  • Ericsson, Neil R. "The fragility of sensitivity analysis: an encompassing perspective." Oxford Bulletin of Economics and Statistics 70.s1 (2008): 895-914.
  • Faust, Jon, and Charles H. Whiteman. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and critique." Carnegie-Rochester Conference Series on Public Policy. Vol. 47. North-Holland, 1997.
  • Fernandez, Carmen, Eduardo Ley, and Mark FJ Steel. "Model uncertainty in cross‐country growth regressions." Journal of applied Econometrics 16.5 (2001): 563-576.
  • Gilbert, Christopher L. "PRACTITIONERS'CORNER: Professor Hendry's Econometric Methodology." Oxford Bulletin of Economics and Statistics 48.3 (1986): 283-307.
  • Granger, Clive WJ, and Harald F. Uhlig. "Reasonable extreme-bounds analysis." Journal of Econometrics 44.1-2 (1990): 159-170.
  • Hlavac, Marek. (2016). "ExtremeBounds: Extreme Bounds Analysis in R," Journal of Statistical Software, Vol. 72.
  • Hendry, David F., and Michael P. Clements. "Pooling of forecasts." The Econometrics Journal 7.1 (2004): 1-31.
  • Hendry, David F., and Hans‐Martin Krolzig. "We ran one regression." Oxford bulletin of Economics and Statistics 66.5 (2004): 799-810.
  • Hendry, David F., and Hans‐Martin Krolzig. "The properties of automatic Gets modelling." The Economic Journal 115.502 (2005).
  • Hoover, Kevin D., and Stephen J. Perez. "Data mining reconsidered: encompassing and the general‐to‐specific approach to specification search." The Econometrics Journal 2.2 (1999): 167-191.
  • Hoover, Kevin D., and Stephen J. Perez. "Truth and robustness in cross‐country growth regressions." Oxford bulletin of Economics and Statistics 66.5 (2004): 765-798.
  • Kennedy, Peter E. "Sinning in the basement: What are the rules? The ten commandments of applied econometrics." Journal of Economic Surveys 16.4 (2002): 569-589.
  • Leamer, Edward E. Specification searches: Ad hoc inference with nonexperimental data. Vol. 53. John Wiley & Sons Inc, NY 1978.
  • Leamer, Edward E. "Sets of posterior means with bounded variance priors." Econometrica: Journal of the Econometric Society (1982): 725-736.
  • Leamer, Edward E. "Let's take the con out of econometrics." The American Economic Review 73.1 (1983): 31-43.
  • Lovell, Michael C., "Data Mining," Review of Economics and Statistics, February 1983, 45, 1-12
  • Sala-i-Martin, Xavier X. "I just ran two million regressions." The American Economic Review (1997): 178-183.
  • Stock, James H. "Asymptotic properties of least squares estimators of cointegrating vectors." Econometrica: Journal of the Econometric Society (1987): 1035-1056.
  • Tukey, John W. Exploratory data analysis. Wiley, NY (1977)
  • Varian, Hal R. "Causal inference in economics and marketing." Proceedings of the National Academy of Sciences 113.27 (2016): 7310-7315.
  • Zaman, Asad. Statistical foundations for econometric techniques. Academic Press, 1996.
  • Zaman, Asad “Causal Relations via Econometrics,” International Econometrics Review, vol 2, no. 1, 2010
  • Zaman, Asad “Methodological Mistakes and Econometric Consequences,” International Econometric Review, Sep. 2012, Vol. 4, Issue 2, p.99-122.
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Asad Zaman

Yayımlanma Tarihi 4 Ekim 2017
Gönderilme Tarihi 11 Eylül 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 9 Sayı: 2

Kaynak Göster

APA Zaman, A. (2017). Lessons in Econometric Methodology: The Axiom of Correct Specification. International Econometric Review, 9(2), 50-68. https://doi.org/10.33818/ier.337657
AMA Zaman A. Lessons in Econometric Methodology: The Axiom of Correct Specification. IER. Ekim 2017;9(2):50-68. doi:10.33818/ier.337657
Chicago Zaman, Asad. “Lessons in Econometric Methodology: The Axiom of Correct Specification”. International Econometric Review 9, sy. 2 (Ekim 2017): 50-68. https://doi.org/10.33818/ier.337657.
EndNote Zaman A (01 Ekim 2017) Lessons in Econometric Methodology: The Axiom of Correct Specification. International Econometric Review 9 2 50–68.
IEEE A. Zaman, “Lessons in Econometric Methodology: The Axiom of Correct Specification”, IER, c. 9, sy. 2, ss. 50–68, 2017, doi: 10.33818/ier.337657.
ISNAD Zaman, Asad. “Lessons in Econometric Methodology: The Axiom of Correct Specification”. International Econometric Review 9/2 (Ekim 2017), 50-68. https://doi.org/10.33818/ier.337657.
JAMA Zaman A. Lessons in Econometric Methodology: The Axiom of Correct Specification. IER. 2017;9:50–68.
MLA Zaman, Asad. “Lessons in Econometric Methodology: The Axiom of Correct Specification”. International Econometric Review, c. 9, sy. 2, 2017, ss. 50-68, doi:10.33818/ier.337657.
Vancouver Zaman A. Lessons in Econometric Methodology: The Axiom of Correct Specification. IER. 2017;9(2):50-68.