RMM-3: Special Volume on Stat Scie Meets Phil Sci

The article “Empirical Economic Model Discovery and Theory Evaluation” by Sir David Hendry has now been published in our special volume of the on-line journal, Rationality, Markets, and Morals (Special Topic: Statistical Science and Philosophy of Science: Where Do/Should They Meet?”)

Economies are so high dimensional and non-constant that many features of models can- not be derived by prior reasoning, intrinsically involving empirical discovery and requiring theory evaluation. Despite important differences, discovery and evaluation in economics are similar to those of science. Fitting a pre-specified equation limits discovery, but automatic methods can formulate much more general initial models with many possible variables, long lag lengths and non-linearities, allowing for outliers, data contamination, and parameter shifts; then select congruent parsimonious-encompassing models even with more candidate variables than observations, while embedding the theory; finally rigorously evaluate selected models to ascertain their viability.

Categories: Philosophy of Statistics, Statistics | Tags: ,

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