昨日紹介したローマー論説を受けて、Mean Squared Errorsというブログがごく簡単なマクロモデル小史を書いている(H/T Economist's View)。

Forty years ago, the name of the game in macroeconomics wasn't theory at all; it was forecasting. And it wasn't particularly successful. In retrospect, the lack of success isn't surprising. Models were typically estimated by running regressions on a handful aggregate data series representing the experience of a single country over a very short (and rather placid) period of time (1). Moreover, in macroeconomic data, everything is pretty highly correlated with everything else. So you could put pretty much whatever you liked into your regressions and get a really good fit with in-sample data. Then history would happen, new data would arrive to contradict the model's predictions, and you'd either re-estimate the model (and watch the coefficients bounce around more or less at random) or you'd declare the latest data to be some kind of special case and "adjust" for it.
So when critics denigrated the models of the early '70's as "ad hoc," they had a pretty serious point.
But what was the solution to all of this ad hoc-ery? Where were we to look for the all-important virtue of discipline? Ideally, in social science as in physical science, the source of discipline is data. If you want to tell the difference between a true theory and a false one, you ask reality to settle the question. But that was the heart of the problem: with so little data, all the models looked equally good in-sample, and no model looked especially good out-of-sample. Discipline, if there was to be any, would have to come from theory instead. And "microfoundations" was put forward as one form of theoretical discipline (2).
The idea certainly sounded good: rather than simply making up relationships between aggregate variables like interest rates, output, unemployment, and inflation, we should show how those relationships arise from the behavior of individuals. Or, failing that, we should at least restrict the relationships in our macro models to those which are consistent with our understanding of individual behavior. For surely our standard assumptions about individual behavior (basically: people do the best they can under the circumstances they find themselves in) must imply restrictions on how the system behaves in the aggregate.
しかしそうしたアドホック性という問題への解決策は何だったのか? 非常に重要な規律の美徳をどこに求めれば良かったのか? 理想的には、物理学と同様に社会科学でも、規律の源はデータとなるべきである。真の理論と偽の理論を区別したければ、現実に問い掛けて決着すべきである。しかしそれこそが問題の核心であった。データがあまりにも少ないため、インサンプルではすべてのモデルが同じように良く見え、アウトサンプルでは特に良く見えるモデルが存在しないのである。規律をもたらすとすれば、理論から持ってくるしか無かった。そして、理論的規律の一形態として、「ミクロ的基礎付け」が打ち出された*2


  1. ルーカスが1976年の論文でミクロ的基礎付けの運動を創始する2年前に、デブリューとマンテルによってその前提が数学的に誤りであることが証明されていた
    • ゾンネンシャイン=マンテル=デブリューは、どんなマクロ的振る舞いについても、集団でそうした振る舞いを示すような、標準的な行動を取る合理的効用を最適化する主体が存在する、ということを証明した。従って、個人の行動に関する標準的な仮定は、マクロモデルの制約には一切ならない。
    • そのため、こちらのミクロ的基礎付けの方が「良い」、というもっともらしい口上は、ミクロ的基礎付けのいかさまのその1、ということになる。
  2. ミクロ的基礎付けを持つと喧伝するモデルは皆「代表的個人」に基礎を置いているが、代表的個人の前提条件が全く説得力が無い
    • その前提とは、(a)すべての個人が同一の嗜好を持ち、(b)その嗜好が準相似(=総資源額がビル・ゲイツに等しい10000の家計はビル・ゲイツとまったく同じものを買う)、というもの。
    • マクロ経済学者も含め、それが真実だと信じるものは誰もいない。
    • しかし2つの条件のいずれかが成立しないと、標準的なミクロ経済の基礎から、代表的個人が存在するように振る舞う経済を導くことはできない。

*1:原注:Bear in mind that the entire apparatus for gathering and reporting economic statistics in the U.S. was basically created in 1947. Pity the macroeconomist circa 1965, trying to understand the most complex social system in history based on n < 20 observations. Yikes.

*2:原注: "Rational expectations" was another. The "rational expectations revolution" business probably deserves a separate post. For now, just know that the name is a kind of mathematical pun, and that neither "rational" nor "expectations" means what you probably think they mean. Aren't we clever?