Econometrics and the Philosophy of Economics

Bernt P. Stigum is Professor of Economics at the University of Oslo. He is the author of Toward a Formal Science of Economics and coeditor of Foundations of Utility and Risk Theory with Applications.

• List of Figures ix List of Tables xi Preface xv Chapter 1: Introduction 1 PART I. FACTS AND FICTION IN ECONOMETRICS 31 Chapter 2: The Construction of Social Reality 33 Chapter 3: The Social Construction of Reality 52 Chapter 4: Facts and Fiction in Econometrics 71 PART II. THEORIZING IN ECONOMICS 93 Chapter 5: Theories and Models 95 Chapter 6: The Purport of an Economic Theory 117 Chapter 7: Rationality in Economics 143 Chapter 8: Topological Artifacts and Life in Large Economies 168 PART III. THEORY-DATA CONFRONTATIONS IN ECONOMICS 191 Chapter 9: Rational Animals and Sample Populations 193 Chapter 10: The Theory Universe 216 Chapter 11: The Data Universe 237 Chapter 12: The Bridge Principles 262 PART IV. DATA ANALYSES 283 Chapter 13: Frequentist Analogues of Priors and Posteriors Tore Schweder and Nils Lid Hjort 285 Chapter 14: On the COLS and CGMM Moment Estimation Methods for Frontier Production Models Harald E. Goldstein 318 Chapter 15: Congruence and Encompassing Christophe Bontemps and Grayham E. Mizon 354 Chapter 16: New Developments in Automatic General-to-Specific Modeling David F. Hendry and Hans-Martin Krolzig 379 PART V. EMPIRICAL RELEVANCE 421 Chapter 17: Conjectures, Theories, and Their Empirical Relevance 423 Chapter 18: Probability versus Capacity in Choice under Uncertainty 458 Chapter 19: Evaluation of Theories and Models Clive W. J. Granger 480 PART VI. DIAGNOSTICS AND SCIENTIFIC EXPLANATION 497 Chapter 20: Diagnoses and Defaults in Artificial Intelligence and Economics 499 Appendix: Section 20.3 from a Logical Point of View by Herman Ruge Jervell 520 Chapter 21: Explanations of an Empirical Puzzle: What Can Be Learned from a Test of the Rational Expectations Hypothesis? Heather M. Anderson 525 Chapter 22: Scientific Explanation in Economics 558 Chapter 23: Scientific Explanation in Econometrics: A Case Study Heather M. Anderson, Bernt P. Stigum, and Geir Olve Storvik 578 PART VII. CONTEMPORARY ECONOMETRIC ANALYSES 611 Chapter 24: Handling the Measurement Error Problem by Means of Panel Data: Moment Methods Applied on Firm Data Erik Biorn 613 Chapter 25: On Bayesian Structural Inference in a Simultaneous Equation Model Herman K. van Dijk 642 Chapter 26: An Econometric Analysis of Residential Electric Appliance Holdings and Consumption Jeffrey A. Dubin and Daniel L. McFadden 683 Chapter 27: Econometric Methods for Applied General Equilibrium Analysis Dale W. Jorgenson 702 Index 755

"[A] remarkably ambitious and largely unprecedented analysis of the philosophical foundations of econometrics... Stigum has made a bold attempt to understand the enterprise of econometrics in its original formulation. It is not only a difficult book, but also a rich and provocative one. No other such work exists. It sets the standard against which any future contribution to the philosophical foundations of econometrics will be judged."--Kevin D. Hoover, Research in the History of Economic Thought & Methodology