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Econometrics in a Formal Science of Economics


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This book crystallizes Stigum's deep investigation into the philosophical underpinnings of empirical economics. Here he contrasts theories of Frisch and Haavelmo and then his own that illuminate how we do econometrics today. The book is a complex read with nuggets along the way. Stigum may be the James Joyce of econometrics. -- Robert Engle, 2003 Nobel Laureate, Economics Econometrics in a Formal Science of Economics is the third volume in Bernt Stigum's development of a formal science of economics. In this volume Stigum successfully unifies the theoretical and empirical aspects of econometrics presented in the work of his illustrious predecessors at the University of Oslo -- Ragnar Frisch and Trygve Haavelmo. In a tour de force he brings the formal science in direct contact with frontier issues in current econometric practice. -- Dale Jorgenson, Samuel W. Morris University Professor of Economics, Harvard University In his new book, Stigum proposes a formal and novel approach to the problem of confronting economic theory with data in the form of an axiomatic framework. This book is distinguished from other attempts to discuss the theory-data confrontation by several unique features: an extensive use of the axiomatic approach; a praiseworthy attempt to adapt the best theories of explanation, such as Hempel's, from philosophy of science to econometrics; an in-depth discussion of the roles of both theory and data in empirical modeling; and a commendable attempt to relate the proposed framework for empirical modeling to previous attempts by Frisch and Haavelmo and in the related literature. -- Aris Spanos, Wilson E. Schmidt Professor of Economics, Virginia Tech

About the Author

Bernt P. Stigum is Professor Emeritus at the University of Oslo. He is the author of Toward a Formal Science of Economics (MIT Press) and Econometrics and the Philosophy of Economics.

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