Œconomiaという学術誌が最新号で計量経済学史を特集し、その前文をオスロ大学のOlav Bjerkholt書いている(H/T Dave Giles)。以下はそこからの引用。

Econometrics is a field with roots that go far back in time. In his monumental History of Economic Analysis Joseph Schumpeter denoted William Petty and his group of practitioners of Political Arithmetick in England in the 17th century as “the econometricians,” while he noted the sparsity of a similar econometric spirit in combining theoretical assumptions and empirical facts to achieve useful results among economists in the following two hundred years. Econometrics did not come into self-consciousness as a separate field until the founding of the Econometric Society in 1930 on a program of promoting “studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems.” Ragnar Frisch who was the driving force behind this initiative also provided substantial inputs to the development of econometric methodology.
Up to World War II there were competing ideas, approaches, and multiple techniques in econometrics but no ruling paradigm. Probability considerations played a very minor role in econometric work due to an unfounded but widely accepted view that economic time series were not amenable to such analysis. The formalization of econometrics undertaken at Cowles Commission in Chicago in the late 1940s inspired by the Probability Approach of Trygve Haavelmo, and often referred to as the CC-Haavelmo paradigm, placed the whole problem of determining economic relationships firmly within a probabilistic framework and made most traditional techniques redundant. A key assumption in this paradigm as it was conceived is that models to be estimated have been fixed with certainty by a priori formulated theories alone, it can thus be labeled as “theory-oriented”. It exerted a strong influence in the ensuing years, not least as consolidated standard econometrics propagated by textbooks. The history of econometrics, as written in the 1980s and 1990s, covered mainly the period up to and including the Cowles Commission econometric achievements.
Haavelmo made a remark at the beginning of his influential monograph that econometric research aimed at connecting economic theory and actual measurements, using appropriate tools as a bridge pier, “[b]ut the bridge itself was never completely built.” From around 1960 there arose increasingly discontents of different kinds with the CC-Haavelmo paradigm, not least because of the key assumption mentioned above. The bridge needed mending but the ideas of how to do it went in different directions and led eventually to developments of new paradigms and new directions of econometric analysis. This issue comprises four articles illuminating developments in econometrics in the post-Cowles era.


  • Marc Nerlove, “Individual Heterogeneity and State Dependence: From George Biddell Airy to James Joseph Heckman”.
    • 時間的に継続する個別的な観測できない要因が存在するパネルデータ分析時の個別異方性の問題とそれに内在する認識論的限界という重要な問題を取り上げた。
  • Duo Qin, “Inextricability of Confluence and Autonomy in Econometrics”.
    • ラグナル・フリッシュが第二次大戦前に導入した「合流」と「自律」という2つの概念が如何にその後の教科書的な計量経済学的手法から消失したか、および、その結果として、実証的モデル研究において誤解や方法論的欠陥が生じたことを論じた。
  • Aris Spanos, “Reflections on the LSE Tradition in Econometrics: a Student’s Perspective”.
    • 1960年代初頭にコールズパラダイムへの不満からデビッド・ヘンドリーが主導し、特に英国や欧州で影響力を持つようになったLSE計量経済学的分析手法*1を紹介。哲学的・方法論的な大枠の中で、「一般から特定へ」というモデル構築戦略など様々な方針を採用し、ハーヴェルモの橋の問題を、理論の前提を弱め、データによる事実を強めることによって対処した。
  • Nalan Basturk, Cem Cakmakli, S. Pinar Ceyhan, and Herman van Dijk, “Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14”.

*1: cf, ここ