Sims QOTD on Modern Econometrics

Andrew Gelman linked to an interesting and short essay by the newly minted Economics Nobelist Christopher Sims. Sims won the Nobel for his work on macroeconometrics – specifically, vector autoregressions that were a big deal in the late 70s and 80s (to present) in helping to parse causality in macroeconomics. The linked essay is a critique of Angrist and Pischke, two prominent microeconometricians* who promote specific recent innovations. Here’s Sims best takeaway line:

Natural experiments, difference-in-difference, and regression discontinuity design are good ideas. They have not taken the con out of econometrics — in fact, as with any popular econometric technique, they in some cases have become the vector by which “con” is introduced into applied studies. (p. 8 )

An interesting (if somewhat dense) read, if you’re interested in the practical consequences of innovations in statistical techniques, and some of the problems that innovation can produce.

*Whose book Mostly Harmless Econometrics is a pretty fun read, given that it’s a book about econometrics.

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3 Comments

  1. Interesting paper–thanks for the pointer. I’m waiting for your post on Thomas Sargent and rational expectations, though. I thought it was a surprising choice in the current environment, although I do recognize the significance of the contribution.

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