Econometric Modeling Quotes

I work on the boundary between economics and statistics in this field called econometrics. Part of my interest is understanding how you use statistics in productive ways to analyze dynamic economic models.

The data are what matter in economics, and the more ruthlessness that an economist can summon to make sense of the data, the more useful his findings will be.

I've debated many economists who claim to specialize in risk and probability: when one takes them slightly outside their narrow focus, but within the discipline of probability, they fall apart, with the disconsolate face of a gym rat in front of a gangster hit man.

I think the rise of quantitative econometrics and a highly mathematical approach to risk management was the obverse of a decline in interest in financial history.

In a sense, there are as many forecasting methods as there are forecasters. But I would argue that most projections are derived from two major methods: macro-econometric models and eclectic judgment.

On the way from Chicago, I spent the summer of 1947 in Ottawa, helping to build the first of a series of econometric models for the Canadian government.

The first and most optimistic response was complete rational expectations econometrics. A rational expectations equilibrium is a likelihood function. Maximize it.

When I was a graduate student, estimating and interpreting distributed lags topped the agenda of macroeconomists and other applied economists.

During the early 1960s, I decided to supplement research support for quantitative economic studies at Pennsylvania by selling econometric forecasts to private and public sector buyers.