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- W1597581431 abstract "BRITISH economists adopt an approach to time series econometrics which is noticeably different from that prevalent in the United States. There is an emphasis on relatively free ('databased') dynamic specification in conjunction with a commitment to extensive specification tests. The error correction dynamic adjustment specification is frequently adopted, and found acceptable. And there is a tendency to identify residual autocorrelation with equation misspecification. Elsewhere (Gilbert (1987)), I have referred to this approach to econometrics as the LSE approach and contrasted it with two very different American methodologies; and in Gilbert (1986a) I attempted to codify a particular exemplar of the British approach. In this paper I shall be concerned with the origins of this approach to econometrics. I argue (Section 4) that the British approach arises from the successful marriage of traditional structural methods, deriving from the Cowles tradition, with the methods of the statistical theory of time series analysis most familiar in the analysis of business statistics. In the United States these disciplines have remained largely distinct. An important historical question is why this cross-fertilization took place in Britain and not in the United States. One possible answer' is that the British were relatively strong in statistics and less strong in economic theory, while the reverse was true in North America. I find it difficult to see evidence for the premise of this argument. I claim that the British tradition in applied econometrics is an LSE (London School of Economics) tradition that has to some extent colonized and to some extent been infiltrated into the remainder of the British university system. I suggest that the evolution of the British approach to econometrics arose from the unique position of statistics at the LSE, and from the particular individuals who were involved in econometrics at the LSE in the postwar decades. In Section 2 I attempt an account of the development of the teaching of econometrics at the LSE from the early fifties to the mid sixties. At the" @default.
- W1597581431 created "2016-06-24" @default.
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- W1597581431 date "2005-01-01" @default.
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- W1597581431 title "LSE and the British approach to time series econometrics" @default.
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