Monday, June 3, 2013

Vintage Years in Econometrics - The 1930's

We all know that when it comes to wine-making, some years yield better wine than others. If you like to sip a little wine while looking at pictures, then The Wine Advocate's "Vintage Chart" may appeal to you. (It's just a pity that they don't acknowledge the fact that there's more than one wine-producing region in New Zealand!)

That got me thinking about vintage years for econometrics. Funny how the mind works, sometimes, isn't it?

So, this post is for you budding students of econometrics. Our future lies with you, but it's not a bad thing to know something about our past!
You've probably guessed already that this post is going to be the first of a series. No promises about when the others will appear, though!

In econometrics, what constitutes quality and importance is partly a matter of taste - just like wine! So, not all of you will agree with the choices I've made in the following compilation.

Also, by starting with the 1930's I've made an arbitrary, but defensible, choice. This coincides with the important meetings that led to the formation of the Econometric Society, and the first publication of Econometrica. However, it's important to acknowledge that there were many significant and relevant contributions that one can link to what we now call econometrics, prior to the 1930's. Indeed, the term "econometrics" was coined by Ragnar Frisch in 1926.

1930:
  • Formation of the Econometric Society.
  • Tinbergen, J., Bestimmung und Deutung von Angebotskurven: ein Beispiel. Zeitschrift für Nationalökonomie. 1, 669–679.
1931:
  • 173 people became members of the Econometric Society this year.
1932:
  • Cowles Commission for Research in Economics founded, located at Colorado Springs. Motto: "Science is Measurement".
1933:
  • First issue of Econometrica.
  • Frisch, R., Pitfalls in the Statistical Construction of Demand and Supply Curves. Hans Buske Verlag, Leipzig.
  • Frisch, R., Propagation problems and impulse problems in dynamic economics. In Economic Essays in honour of Gustav Cassel. George Allen and Unwin, London, 171-205.
  • Frisch, R., Pitfalls in the Statistical Construction of Demand and Supply Curves. Veröffentlichungen der Frankfurter Gesellschaft für Konjunkturforschung, Neue Folge Heft 5, Hans Buske Verlag, Leipzig..
  • Frisch, R. and F. V. Waugh, Partial time regressions as compared with individual trends. Econometrica, 1, 387-401.
1934:
  • Frisch,R., Statistical Confluence Analysis by Means of Complete Regression Systems. Publication No. 5, University Institute of Economics, Oslo. 

  • [The term "multicollinearity" was used for the first time (p.75), although with a slightly different meaning to the one we use today.]
1935:
  • Koopmans, T. C., On Modern Sampling Theory. Lectures delivered at Oslo, Autumn 1935, mimeo.
1936:
  • Frisch, R.Note on the term "econometrics". Econometrica, 4, 95.
  • Leontief, W. W., Quantitative input-output relations in the economic system of the United States. Review of Economic Statistics, 18, 105–125.
  • Whitman, R. H. The statistical law of demand for a producer's good as illustrated by the demand for steel. Econometrica, 4, 138-152.
1937:
  • Fisher, I., Note on a short-cut method for calculating distributed lags. Bulletin de l’Institut International de Statistique, 29, 323–327.
  • Koopmans, T.C., Linear Regression Analysis of Economic Time Series. De Erven F. Bohn for the Netherlands Economic Institute, Haarlem.
  • Tinbergen, J., An Econometric Approach to Business Cycle Problems. Herman and Cie Editeurs, Paris.
1938:
  • Haarvelmo spends 1938-39 academic year at University of Aarhus, Denmark.
  • Frisch, R. and T. Haavelmo, Efterspørselen efter melk i Norge. Statsøkonomisk Tidsskrift, 52, 1-62.
  • Frisch, R., Statistical versus theoretical relations in economic macrodynamics, Memorandum prepared for the Business Cycle Conference at Cambridge, England, July 1938, to discuss Professor J. Tinbergen’s publications for the League of Nations. 
  • Haavelmo, T., The method of supplementary confluent relations, illustrated by a study of stock prices. Econometrica, 6, 203-218.
  • Hilfer, I., Differential effect in the butter market, Econometrica, 6, 270-284.
  • Wold, H., A Study in the Analysis of Stationary Time Series, Uppsala.
1939:
  • Cowles Commission moved to Chicago.
  • Haavelmo, T., Indledning til statistikkens teori, Forelæsninger ved Aarhus Universitet, 
  • Efteraarssem. 1938, Aarhus, Mimeographed, 49 pp. 
  • Haavelmo, T. (1939b) A dynamic study of pig production in Denmark. Nordisk Tidsskrift for Teknisk Økonomi 5, 177-216.
  • Haavelmo, T., Efterspørgselen efter flæsk i København. Studier fra Aarhus Universitets Økonomiske Institut, No. 5, 48 pp.. 
  • Haavelmo, T., Om statistisk ”testing” av hypoteser i den økonomiske teori. Det Tredje Nordiske Møte for Yngre Økonomer, København, Aarhus, Mimeo. 
  • Haavelmo, T., Statistical Testing of Dynamic Systems If the Series Observed Are Shock Cumulants.  In Report of Fifth Annual Research Conference on Economics and Statistics at Colorado Springs, July 3-28, 1939. Cowles Commission for Research in Economics.
  • Keynes, J. M., The statistical testing of business cycle theories.  Economic Journal 49, 558–568.
  • Tinbergen, J., Statistical Testing of Business Cycle Theories. Vol. 1: A Method and its Application to Investment Activity; Vol. 2: Business Cycles in the United States of America, 1919–1932. League of Nations, Geneva.
  • Wald, A., The fitting of straight lines if both variables are subject to error. In Report of Fifth Annual Research Conference on Economics and Statistics at Colorado Springs, July 3-28, 1939. Cowles Commission for Research in Economics, 25-28.

Best vintages of the 1930's: 1933 and 1939.

Cheers!

© 2013, David E. Giles

4 comments:

  1. Thank you for the compilation. I like that you have Haavelmo's writings in Danish/Norwegian listed. They reveal the importance of agriculture for the Danish economy which even today is significant.

    A small correction. Aarhus is located in Denmark and not in Norway.

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  2. Andreas - Whoops! Not sure where that came from - fixed now!
    Thanks for the comments.

    DG

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  3. Because many relationships in economics are non linear, Does that mean OLS is of limtited use ?

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    Replies
    1. Do you mean non linear in the parameters, or no linear in the variables? It matters!

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