History of econometrics : the reformation from the 1970s / Duo Qin.

Includes bibliographical references and indexes.

1. Consolidation of the Cowles Commission Programme --
1.1. Cowles commission methodology --
1.2. Programme consolidation: textbook standardization --
1.3. Programme consolidation: emulative research --
1.4. Programme consolidation: the role of applied modelling --
1.5. Mood changes: `econometrics' or `playometrics' --
2. Rise of Bayesian Econometrics --
2.1. Bayesian entry and reformulation of the structural approach --
2.2. Emergence of the Bayesian specification search --
2.3. Model selection based on statistical theory --
2.4. Bayesian fusion with time-series econometrics --
2.5. Methodological reflection --
3. Rise of the VAR Approach --
3.1. Dynamic specification gap: from theory to data --
3.2. The rational expectations hypothesis and VAR model --
3.3. Emergence of the VAR approach --
3.4. Manifesto of the VAR approach --
3.5. Emergence of structural VARs --
3.6. Methodological reflection --
4. Rise of the LSE Approach --
4.1. Preludes. Contents note continued: 4.2. Dynamic specification from empirical modelling --
4.3. Conceptual formalization of dynamic specification --
4.4. Dynamic specification in action: money demand studies --
4.5. Methodological reflection --
5. Case Study One---Modelling the Phillips Curve --
5.1. The Phillips curve --
5.2. Price and wage modelling --
5.3. The inverse Phillips curve --
5.4. Diversified practice --
5.5. Impact assessment through citation analysis --
5.6. Retrospective assessment --
6. Case Study Two---Modelling Business Cycles --
6.1. Background and preludes --
6.2. Theory led time-series reforms --
6.3. Time-series formalization of business cycle measures --
6.4. Forecasting business cycles with time-series modelling --
6.5. Retrospective assessment --
7. Evolving Polysemy of Structural Parameters --
7.1. Prelude: the conceptualization of structural parameters --
7.2. Diagnosis and treatment of non-constant parameter estimates. Contents note continued: 7.3. Diagnosis and treatment of collinear parameter estimates --
7.4. Specification and estimation of static parameters using time-series data --
7.5. History in retrospect --
8. Evolving Roles of Error Terms --
8.1. Structural approach and errors in equations --
8.2. Errors in equations during the consolidation years --
8.3. Error terms as manoeuvrable unobservables --
8.4. Error terms as innovative structural shocks --
8.5. Error terms and error-correction models --
8.6. History in retrospect --
9. Calibration of Model Selection and Design Procedure --
9.1. Model specification and selection in the consolidation years --
9.2. Data-based model evaluation and the rise of specification tests --
9.3. Major alternatives to specification searches and model selection --
9.4. Diversified approaches and formalization of selection procedures --
9.5. History in retrospect --
10. The Impact of the CC Programme through Citation Analysis. Contents note continued: 10.1. Citation database, impact measures, and key summary statistics --
10.2. Citation analysis of the CC paradigm --
10.3. Citation analysis of comparative alternatives --
10.4. Concluding remarks --
10.5. Appendix: database description.

It describes the formation and consolidation of the Cowles Commission (CC) paradigm and traces and analyses the three major methodological attempts to resolve problems involved in model choice and specification of the CC paradigm. These attempts have reoriented the focus of econometric research from internal questions (how to optimally estimate a priori given structural parameters) to external questions (how to choose, design, and specify models). It also examines various modelling issues and problems through two case studies- modelling the Phillips curve and business cycles. The third part of the book delves into the development of three key aspects of model specification in detail- structural parameters, error terms, and model selection and design procedures. The final chapter uses citation analyses to study the impact of the CC paradigm over the span of three and a half decades (1970-2005). The citation statistics show that the impact has remained extensive and relatively strong in spite of certain weakening signs. It implies that the reformative attempts have fallen short of causing a paradigm shift.