The MIT Press
2 total works
Stigum conceives two scenarios for research in applied econometrics: contemporary econometrics in the tradition of Trygve Haavelmo and the formal theory-data confrontation envisioned by Ragnar Frisch. Stigum presents case studies of economic phenomena, contrasting the empirical analysis prescribed by contemporary applied econometrics with the empirical analysis prescribed by a formal theory-data confrontation. He finds significant and provocative differences. Which are we to believe when the statistical analyses of these two methodologies yield very different descriptions of the behavior characteristics of data variables and inferences about social reality?
Stigum points to three aspects of contemporary econometric methodology that may benefit from serious discussions: the analysis of positively valued time series, a suspect characteristic of qualitative response models, and the search for linearly cointegrated time series. These three aspects are of as much concern to formal econometrics as they are to contemporary econometrics.
Toward a Formal Science of Economics provides a unifying way to look at the concept of economic science. It lays a foundation for the axiomatic method, focusing on applications in economics and econometrics, and including discussions in logic, epistemology, and probability theory. Each chapter deals with a topic of fundamental importance to a rigorous science of economics while illustrating an aspect of the axiomatic method.Stigum describes an introductory course in mathematical logic, developing a symbolic language for mathematics and discussing the strengths and weaknesses of the axiomatic method. He presents the standard theory of consumer choice, illustrating different aspects of the use of the axiomatic method and evaluating economic theories of individual behavior. He takes up problems in the foundations of econometrics and choice under uncertainty and offers an introduction to nonstandard analysis that leads to discussion of exchange and probability in hyperspace. A section on epistemology completes Stigum's construction of a formal unitary methodological basis for theoretical and empirical science.The last three parts of the book apply these methodological tools to various topics in economics and econometrics including empirical analyses of the permanent income hypothesis and consumer choice among risky and nonrisky assets; discussion of determinism, uncertainty, and the utility hypothesis; and study of topics of importance to the analysis of economic time series.Bernt P. Stigum is Professor of Economics at the University of Oslo, Norway.