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The Basic Statistics

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Book cover The Practice of Econometric Theory

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics ((ASTA,volume 44))

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Abstract

The spirit of the present, somewhat econometrically jaded age is different from that in the immediate post-war years of the 1940s at both the Department of Applied Economics in Cambridge (Gilbert, 1988; Qin & Gilbert, 2001; Smith, 1998) and the Cowles Commission in Chicago (Christ, 1994; Morgan, 1990; Qin, 1993). These were then the two organized centers of applied and theoretical econometric research and the aspects of their published findings that deserve some modern attention are not only the ways in which the particular promulgated techniques shaped econometric practice subsequently but also the associated degree of intellectual excitement. Among the specific results emerging from the DAE in the late 1940s and early 1950s were the techniques and statistics now associated with the names Cochrane and Orcutt and Durbin and Watson (Gilbert, 1988; Qin & Gilbert, 2001). In addition to other research conducted by Stone and others, ignored here because of its present tangentiality, there was also the exploration by Geary, Stone, Tintner, and others of the connections between Instrumental Variables, Principal Components and Canonical Correlation (Begg & Henry, 1998; Gilbert, 1991; Qin, 1993; Smith, 1998). These investigations lead to later seminal work on Instrumental Variables by Denis Sargan, then a graduate student at Cambridge (Desai, Hendry, & Mizon, 1997; Hendry, 2003). As discussed to a degree in Chap. 3, the Cochrane-Orcutt technique and the Durbin-Watson statistic have of course been included in most econometric software programs of the past 40 years. Sargan’s work, including further extensions, is embodied in the LSE method – but also in PcGive and other software packages (Gilbert, 1989).

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  1. Alphametrics Corporation, 11-13 East Princeton Road, Bala Cynwyd, 19004-2242, Pennsylvania, USA

    Charles Renfro

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Renfro, C. (2009). The Basic Statistics. In: The Practice of Econometric Theory. Advanced Studies in Theoretical and Applied Econometrics, vol 44. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-75571-5_5

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  • DOI: https://doi.org/10.1007/978-3-540-75571-5_5

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