Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression
Kevin Hoover () and
No 12-16, Discussion Papers from University of Copenhagen. Department of Economics
The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.
Keywords: Trygve Haavelmo; experiments; passive observation; CVAR; scenario analysis; probability approach; econometrics (search for similar items in EconPapers)
JEL-codes: C30 C31 B41 B31 C50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-hpe
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:1216
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