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How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics

Michael Wickens

Discussion Papers from Department of Economics, University of York

Abstract: This lecture is about how best to evaluate economic theories in macroeconomics and finance, and the lessons that can be learned from the past use and misuse of evidence. It is argued that all macro/finance models are ‘false’ so should not be judged solely on the realism of their assumptions. The role of theory is to explain the data, They should therefore be judged by their ability to do this. Data mining will often improve the statistical properties of a model but it does not improve economic understanding. These propositions are illustrated with examples from the last fifty years of macro and financial econometrics.

Keywords: Theory and evidence in economics; DSGE modelling; time series modelling; asset price modelling (search for similar items in EconPapers)
JEL-codes: B1 C1 E1 G1 (search for similar items in EconPapers)
Date: 2014-09
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets, nep-fmk, nep-his, nep-hpe and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:14/17

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