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A History of EconometricsThe Reformation from the 1970s$
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Duo Qin

Print publication date: 2013

Print ISBN-13: 9780199679348

Published to Oxford Scholarship Online: September 2013

DOI: 10.1093/acprof:oso/9780199679348.001.0001

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Evolving Polysemy of Structural Parameters

Evolving Polysemy of Structural Parameters

(p.114) 7 Evolving Polysemy of Structural Parameters
A History of Econometrics

Qin Duo

Oxford University Press

This chapter examines various shifts in the specification and interpretation of structural parameters to illustrate the methodological confusions in econometrics. It traces the origin of the definition for structural parameters back to Frisch at the beginning of the 1930s. It shows how the properties of structural parameters gradually varied and mutated during the post-CC era. For instance, time-varying parameters have proposed as a strategy to remedy cracked models due to ‘structural breaks’; logically conflicting strategies have been offered to treat the problem of multicollinearity. The development of error-correction models and cointegration has also undermined the CC tradition that structural parameters are taken as a priori known and fixed.

Keywords:   Time-varying parameters, multicollinearity, structural shifts, long-run equilibrium, cointegration

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