The Foundations of Econometric Analysis

David F. Hendry; Mary S. Morgan

doi:10.1017/CBO9781139170116

In this compelling 1995 book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and non-specialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a stand-alone and synthetic account of the development of econometrics.

‘Hendry and Morgan assemble in one place the classics of econometric thought. It is required reading for any student of the history of econometrics or anyone interested in the evolution of one body of thinking about how to interpret empirical evidence.’

James Heckman - University of Chicago

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Contents

Frontmatter
pp i-vi
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Contents
pp vii-x
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Preface
pp xi-xii
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Acknowledgements
pp xiii-xvi
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Introduction
pp 1-77
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Bibliography
pp 78-82
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I - The Emerging Role of Econometrics in Economics
pp 83-84
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1 - The Scope and Method of Political Economy (Macmillan, London, 1891, pp. 313–14, 320–31)
pp 85-90
- By J. N. Keynes
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2 - Business Cycles (California University Memoirs, vol. III, Berkeley, 1913, pp. 19–20, 449–51)
pp 91-94
- By W. C. Mitchell
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3 - Economic Cycles – Their Law and Cause (Macmillan, New York, 1914, pp. 66–8, 84–8 (cut))
pp 95-97
- By H. L. Moore
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4 - An Essay on the Nature and Significance of Economic Science (Macmillan, London, 1932, pp. 98–105)
pp 98-102
- By L. Robbins
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5 - The Common Sense of Econometrics (Econometrica, vol. 1, 1933, pp. 5–12)
pp 103-110
- By J. A. Schumpeter
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II - Early Time-Series Analysis
pp 111-112
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6 - On the Study of Periodic Commercial Fluctuations (Read to the British Association in 1862, and in Investigations in Currency and Finance, Macmillan, 1884, pp. 3–10 and plates)
pp 113-121
- By W. S. Jevons
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7 - Correlation of the Marriage-Rate with Trade (Journal of the Royal Statistical Society, vol. 64, 1901, pp. 485–92)
pp 122-129
- By R. H. Hooker
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8 - The Correlation of Economic Statistics (Journal of the American Statistical Association, vol. 12, 1910, pp. 289–94, 306–17 (cut))
pp 130-140
- By W. M. Persons
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9 - Why do we sometimes get Nonsense Correlations between Time-Series? (Journal of the Royal Statistical Society, vol. 89, 1926, pp. 2–9, 30–41)
pp 141-158
- By G. U. Yule
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10 - On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers (Philosophical Transactions of the Royal Society of London, A, vol. 226, 1927, pp. 267–73)
pp 159-165
- By G. U. Yule
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11 - A Random-Difference Series for Use in the Analysis of Time Series (Journal of the American Statistical Association, vol. 29,934, pp. 11–24 (data cut))
pp 166-174
- By H. Working
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12 - Calculation and Elimination of Seasonal Fluctuations [Berechnung und Ausschaltung von Saisonschwankungen] (Julius Springer, Vienna, 1936, chap. 1)
pp 175-179
- By A. Wald
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13 - Morgenstern on the Methodology of Economic Forecasting (Journal of Political Economy, vol. 37, 1929, pp. 312–17, 320–3, 326–37 (cut))
pp 180-190
- By A. W. Marget
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III - Applied Econometrics and the Identification Problem
pp 191-192
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14 - The Elasticity of the Demand for Wheat (Economic Journal, vol. 24, 1914, pp. 212–17)
pp 193-197
- By R. A. Lehfeldt
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15 - Economic Cycles – Their Law and Cause (Macmillan, New York, 1914, pp. 68–80)
pp 198-205
- By H. L. Moore
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16 - Review of Moore, ‘Economic Cycles’ (Quarterly Journal of Economics, vol. 29, 1915, pp. 631–41 (cut))
pp 206-213
- By P. G. Wright
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17 - Variation of Supply and Demand Curves: Influences on Prices (Etudes sur la Formation et le Mouvement des Prix, Paris, 1913, pp. 56–62)
pp 214-217
- By M. Lenoir
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18 - A Moving Equilibrium of Demand and Supply (Quarterly Journal of Economics, vol. 39, 1925, pp. 359–60, 364–71)
pp 218-224
- By H. L. Moore
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19 - Review of Schultz, ‘Statistical Laws of Demand and Supply’ (Journal of the American Statistical Association, vol. 24, 1929, pp. 207–15)
pp 225-232
- By P. G. Wright
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20 - Determination and Interpretation of Supply Curves: An Example [Bestimmung und Deutung von Angebotskurven. Ein Beispiel] (Zeitschrift fur Nationalokonomie, vol. 1, 1930, pp. 669–79)
pp 233-246
- By J. Tinbergen
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IV - The Evolution of Statistical Thinking in Econometrics
pp 247-248
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