Dr.サージェント またはルーカスとプレスコットは如何にして尤度比検定に頼るのを止めてカリブレーションを愛するようになったか

こちらのEconlogエントリ経由でトーマス・サージェントインタビューを読んで、これは1年前にカリブレーションを巡ってクルーグマンとStephen Williamsonが議論するきっかけとなったインタビュー*1であることに気付いた。インタビュアーは、適応的学習の研究で有名なGeorge W. EvansとSeppo Honkapohjaのコンビ*2で、インタビュー記事の日付は2005年1月11日。


Evans and Honkapohja: What were the profession’s most important responses to the Lucas Critique?
Sargent: There were two. The first and most optimistic response was complete rational expectations econometrics. A rational expectations equilibrium is a likelihood function. Maximize it.
Evans and Honkapohja: Why optimistic?
Sargent: You have to believe in your model to use the likelihood function. It provides a coherent way to estimate objects of interest (preferences, technologies, information sets, measurement processes) within the context of a trusted model.
Evans and Honkapohja: What was the second response?
Sargent: Various types of calibration. Calibration is less optimistic about what your theory can accomplish because you’d only use it if you didn’t fully trust your entire model, meaning that you think your model is partly misspecified or incompletely specified, or if you trusted someone else’s model and data set more than your own. My recollection is that Bob Lucas and Ed Prescott were initially very enthusiastic about rational expectations econometrics. After all, it simply involved imposing on ourselves the same high standards we had criticized the Keynesians for failing to live up to. But after about five years of doing likelihood ratio tests on rational expectations models, I recall Bob Lucas and Ed Prescott
both telling me that those tests were rejecting too many good models. The idea of calibration is to ignore some of the probabilistic implications of your model but to retain others. Somehow, calibration was intended as a balanced response to professing that your model, though not correct, is still worthy as a vehicle for quantitative policy analysis.

Evans and Honkapohja
Evans and Honkapohja
Evans and Honkapohja


*2:cf. ここここここ