Keynes on the limits of econometrics

7 Dec, 2015 at 14:52 | Posted in Statistics & Econometrics | 3 Comments


Many thanks for sending me your article. I enjoyed it very much. I am sure these matters need discussing in that sort of way. There is one point, to which in practice I attach a great importance, you do not allude to. In many of these statistical researches, in order to get enough observations they have to be scattered over a lengthy period of time; and for a lengthy period of time it very seldom remains true that the environment is sufficiently stable. That is the dilemma of many of these enquiries, which they do not seem to me to face. Either they are dependent on too few observations, or they cannot rely on the stability of the environment. It is only rarely that this dilemma can be avoided.

Letter from J. M. Keynes to T. Koopmans, May 29, 1941



  1. […] Now there are a number of caveats in the research and I also get that they have an agenda. So of course does BP. No one is lying here,  it’s just that humans are “boundedly rational“; they can only process so much, and what they do therefore is referenced in cognitive analogies and models. The arguments form part of a “dominant logic” of analysis and decision making. Both are statiscally sophisticated models with regression analysis at the core and therefore one is reminded of the Great Man’s warning (to Koopman’s) on the problems with this sort of analysis: […]

  2. Certainly that was true in 1941.

    Your insinuation that the same remains true in 2017, as with your sneering suggestion that scientists routinely engage in fraud on a massive scale, is risible.

    One, or the other, or both, these may be true – with the accent on “may” – but if you have a serious point then you have to bring the evidence.

    • “Risible”?? Oh dear. Robert, you scaring me.

Sorry, the comment form is closed at this time.

Blog at
Entries and Comments feeds.