THE RISE AND FALL OF EXTRANEOUS ESTIMATION: LESSONS FROM ECONOMETRIC HISTORY?
外部估计的兴衰：计量经济学史的启示AI 解读 ↓
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外部估计的兴衰：计量经济学史的启示
- 研究问题
- 作为需求分析中应对共线性的工具，外部估计为何兴起又衰落，其发展如何反映计量理论与应用之间的资源配置？
- 方法与思路
- 作者从知识资源配置的历史视角，梳理该程序的起源、统计理论与后续文献，并评估理论改进和实际使用之间的关系。
- 材料陈述的贡献
- 摘要称，最优计量程序在相关应用中很少被采用，而外部估计不再具有需求分析实用价值后，理论细化仍持续发表。
- 阅读关注点
- 应核对外部估计的定义、史料选择与时期划分，以及作者判断程序最优性、实际用途和理论投入价值的依据。
- 阅读边界
- 仅依据所给RePEc出版社摘要，其中包含较长致谢。历史判断的史料与评价标准未展开，不能据此推断该方法在其他应用中的价值。
原文摘要
It is possible to view econometric history as the retrospective assessment of intellectual resource allocations. This paper uses such a perspective to examine the history of extraneous estimation. Independently proposed by Marschak (1939, Econometrica 7, 332–335) and Wold (1940, Efterfrågan på jordbruksprodukter och dess känslighet för prisoch inkomstförändringar (The demand for agricultural products and its sensitivity to price and income changes)), extraneous estimation was widely used as a collinearity solution in demand analysis from 1950 to 1980. We give a detailed account of the origins of this procedure and the theoretical work that clarified the statistical structure that underpinned it. The subsequent literature is then assessed in terms of the optimal use of available econometric tools and the interaction between theory and applications. We find that optimal econometric procedures were rarely used and that theoretical refinements continued to be published well after extraneous estimation had ceased to be a useful tool for demand analysis.An earlier version of this paper titled “To Pool or Not to Pool? Why Is That Still a Question?” was presented at the Thirteenth Annual Meeting of the Canadian Econometrics Study Group, University of Waterloo, September 21–22, 1996. I thank Robin Carter for his comments at that presentation. Another version titled “The Optimum Amount of Econometrics” was presented on October 31, 1998, at Concordia University on the occasion of Gordon Fisher's seventieth birthday. I am indebted to Lady Giovanna Stone and Peter Jones of King's College Library for arranging access to Sir Richard Stone's papers and to the staff of the UCLA Research Library for access to the Jacob Marschak Archive. James Tobin was kind enough to share some of his recollections of the “extraneous estimation” period. George Szava-Kovats and Chris Minns provided able research assistance, and Charlene Hill typed the manuscript with her customary efficiency. Colin and Sally Ash, Reinhold Bergstrom, Jim Hamilton, Balder von Hohenbalken, Joe Ostroy, and Martin Weale provided help of the sort that does not lend itself to detailed elaboration. An earlier version of the paper had the benefit of a close and perceptive reading by John Aldrich. The referees' and editor's comments have also helped shape the paper into its present form, and I thank them for their contributions.