Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression
Research output: Working paper › Research
Standard
Experiments, Passive Observation and Scenario Analysis : Trygve Haavelmo and the Cointegrated Vector Autoregression. / Hoover , Kevin D. ; Juselius, Katarina.
Kbh. : Økonomisk institut, Københavns Universitet, 2012.Research output: Working paper › Research
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - Experiments, Passive Observation and Scenario Analysis
T2 - Trygve Haavelmo and the Cointegrated Vector Autoregression
AU - Hoover , Kevin D.
AU - Juselius, Katarina
N1 - JEL Classification: C30, C31, B41, B31, C50
PY - 2012
Y1 - 2012
N2 - The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.
AB - The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.
KW - Faculty of Social Sciences
KW - Trygve Haavelmo
KW - experiments
KW - passive observation
KW - scenario analysis
KW - probability approach
KW - econometrics
KW - CVAR
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - Experiments, Passive Observation and Scenario Analysis
PB - Økonomisk institut, Københavns Universitet
CY - Kbh.
ER -
ID: 43213686