Econometrics - Essays in Theory and Applications (Hardcover)

Franklin Fisher's work on the underlying structure of econometric models has been fundamental to the development of the subject. Fisher's early discovery of block-recursive systems, together with his results on continuity for small specification errors, provided the foundation for all structural estimation. It did so by showing that such estimation is possible and useful even though models are inevitably approximate and contain exogenous variables which are themselves determined by equations in a larger stochastic system. Fisher's later work on causation dealt with the implications of regarding simultaneous equation models as limiting cases of non-simultaneous ones. The essays in this volume enlarge on those themes in various ways. They not only deal with such matters as the importance of block-recursive systems for the foundation of structural estimation but also with more practical topics. These include the implications of block-recursive systems for the relations between sectoral and macro models and for the choice of instrumental variables. The book also contains Fishers' well known exposition of Chow tests and closes with some examples of empirical work including the famous Fisher-Griliches-Kaysen study of the cost of automobile model changes.