Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression

Kevin D.  Hoover; Katarina Juselius

Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression

Økonomisk Institut

Abstract

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.

Originalsprog	Engelsk
Udgivelsessted	Kbh.
Udgiver	Økonomisk institut, Københavns Universitet
Antal sider	30
Status	Udgivet - 2012

Navn	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer	16
Vol/bind	12
ISSN	1601-2461

Emneord

Det Samfundsvidenskabelige Fakultet
Trygve Haavelmo
experiments
passive observation
scenario analysis
probability approach
econometrics
CVAR

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Citationsformater

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