Econometrics Quotes
Econometrics is the name for a field of science in which mathematical-economic and mathematical-statistical research are applied in combination. Econometrics, therefore, forms a borderland between two branches of science, with the advantages and disadvantages thereof; advantages, because new combinations are introduced which often open up new perspectives; disadvantages, because the work in this field requires skill in two domains, which either takes up too much time or leads to insufficient training of its students in one of the two respects.
Jan Tinbergen
As a boundary science, econometrics is younger than the adjacent regions, which fact likewise has advantages and disadvantages. As a disadvantage, the lack of an established doctrine, and also the lack of established textbooks, can be felt; as an advantage is the fresh enthusiasm, with which its students work.
Jan Tinbergen
Intermediate between mathematics, statistics, and economics, we find a new discipline which, for lack of a better name, may be called econometrics. Econometrics has as its aim to subject abstract laws of theoretical political economy or "pure" economics to experimental and numerical verification, and thus to turn pure economics, as far as possible, into a science in the strict sense of the word.
Ragnar Frisch
In this essay on econometrics in its conception and its use in economic planning for the betterment of man's fate, I will try to cover a very broad field.
When talking about the methodology in the particular fields mentioned - about which I am supposed to have a little more than second hand knowledge - I have always found it utterly inadequate to focus attention only on these special fields without seeing them in a much broader perspective.
Therefore it was inevitable that I should have to include in the field of vision of this paper also some branches of science where I can only speak as a layman, hopefully as a somewhat informed layman. For whatever blunders I may have made in these fields I must ask for the reader's forgiveness.
Ragnar Frisch
At Chicago, I was in the midst of a veritable galaxy of stars: Trygve Haavelmo, Tjalling Koopmans, Theodore Anderson, Leonid Hurwicz, Herman Rubin, Kenneth Arrow, Don Patinkin, Herman Chernoff, and Herbert Simon, among others. I completed my first of a series of macroeconometric models, solidified my understanding of econometrics, learned (through endless discussion) about the functioning of the economy, and got started on several theoretical paths such as aggregation, demand systems, and prediction.
Lawrence Klein
I was reminded of how much I had misjudged the potential the profession would see in the time series rational expectations models. When I, as a graduate student at the Massachusetts Institute of Technology (MIT) around 1970 did some work on the econometrics of rational expectations time series models, I felt rather apologetic about the extreme assumptions in the models. I did not expect others to regard them as anything more than a passing gimmick. Richard Sutch had just written in his MIT doctoral dissertation (1968) an exposition of the coefficient restrictions implied for time series representations of long-term and short-term interest rates, but he never bothered to publish this work. I remember conversations with him and others about rational expectations models, and I did not come away thinking they were the wave of the future.
Robert J. Shiller
My recollection is that Bob Lucas and Ed Prescott were initially very enthusiastic about rational expectations econometrics. After all, it simply involved imposing on ourselves the same high standards we had criticized the Keynesians for failing to live up to. But after about five years of doing likelihood ratio tests on rational expectations models, I recall Bob Lucas and Ed Prescott both telling me that those tests were rejecting too many good models.
Thomas J. Sargent
The nature of the instability of an unregulated free-enterprise system is only now beginning to be clearly understood. Perhaps the degree of understanding already attained ensures that the grosser shortcomings have gone for ever, and to that extent the conflict between Capitalism and Communism is about issues that belong to the past. It may now be too late. The gods must smile to note how different the state of the world might have been if the progress of economic thought of the last twenty years had been advanced by even ten years.
The possibility of a stable economic life with full utilization of our resources is still not sufficiently assured, and it is extremely important that it should be so assured, and that the whole world should accept this as a fact. The work that is being done in econometrics is massive, and undaunted by mathematical difficulties, but it appears, at any rate as viewed from outside, to be unclear as to its aim.
Arnold Tustin