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The Formation of EconometricsA Historical Perspective$
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Duo Qin

Print publication date: 1997

Print ISBN-13: 9780198292876

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198292872.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 02 August 2021

Estimation

Estimation

Chapter:
(p.65) 3 Estimation
Source:
The Formation of Econometrics
Author(s):

Qin Duo

Publisher:
Oxford University Press
DOI:10.1093/0198292872.003.0004

Narrates the process of how estimation was formalized. Estimation can be seen as the genesis of econometrics, since finding estimates for coefficients of economically meaningful relationships has always been the central motive and fulfilment of applied modelling activities. The process therefore became separated out as one of the basic steps along with model construction, identification, and testing. Subsequent research activities in estimation were confined to technical development of new optimal estimators for increasingly complicated model forms. The first section of the chapter describes the early developments in estimation methods centring around the least squares (LS) principle; how this led to the maximum‐likelihood (ML) method in a simultaneous‐equations system is the content of the second section; the third section turns to look at special problems in the context of time‐series analysis; other developments concerning errors‐in‐variables models are summed up in the fourth section; and the final completion of basic estimation theory in orthodox econometrics takes up the final section.

Keywords:   coefficients, econometric modelling, econometric models, econometrics, errors‐in‐variables models, estimation, estimation theory, history, least squares method, maximum‐likelihood method, simultaneous‐equations model formulation, time‐series analysis

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