Revisiting Haavelmo's structural econometrics: bridging the gap between theory and data

摘要

The objective of the paper is threefold. First, to argue that some of Haavelmo's (1944) methodological ideas and insights have been neglected because they are largely at odds with the traditional perspective that views empirical modeling in economicsas an exercise in curve-fitting. Second, to make a case that this neglect has contributed to the unreliability of empirical evidence in economics that is largely due to statistical misspecification. The latter affects the reliability of inference by inducing discrepancies between the actual and nominal error probabilities. Third, to argue that the 'bridge pier' between theory and data, as envisaged by Haavelmo, T (1944) [The Probability Approach to Econometrics, Econometrica, 12 (supplement), 1-115], can be completed by blending some of his key methodological ideas and insights into a refined/extended version of the frequentist approach to inference. This new perspective is used to revisit dynamic stochastic general equilibrium modeling in an attemptto bring out the perspicacity and current relevance of some of Haavelmo's neglected ideas.