Keynes on the methodology of econometrics

21 Feb, 2021 at 20:39 | Posted in Statistics & Econometrics | Leave a comment

Machine Learning or Econometrics? | by Dr. Dataman | Analytics Vidhya |  Medium There is first of all the central question of methodology — the logic of applying the method of multiple correlation to unanalysed economic material, which we know to be non-homogeneous through time. If we are dealing with the action of numerically measurable, independent forces, adequately analysed so that we were dealing with independent atomic factors and between them completely comprehensive, acting with fluctuating relative strength on material constant and homogeneous through time, we might be able to use the method of multiple correlation with some confidence for disentangling the laws of their action … In fact we know that every one of these conditions is far from being satisfied by the economic material under investigation.

Letter from John Maynard Keynes to Royall Tyler (1938)

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