宏观计量经济学建模简史

A Short History of Macro-econometric Modelling

作者：戴维·亨德里（David F. Hendry）

The key stages in the development of empirical macro-econometric model building are briefly described. Essential steps included characterizing the economy as a system, collating aggregate macroeconomic time series on prices and quantities, isolating the many interacting concepts necessary for understanding how to empirically model economies, inventing viable methods of estimation and inference for dynamic systems, developing hardware and software calculating devices to make such approaches operational, then combining all of these to implement empirical macro-econometric modelling, forecasting and policy making. Its history is littered with both successes and failures, leading overall to substantive progress in understanding, but highlighting the roles of fashions in economic theory dominating empirical evidence and the pernicious impacts of location shifts causing forecast failures and entailing theory failures.
简要描述了经验宏观计量经济学模型构建过程中的关键阶段。基本步骤包括将经济作为一个系统表征，整理价格和数量上的总体宏观经济时间序列，找出理解如何对经济模型进行建模所必需的许多相互影响的概念，为动态系统发明可行的估算和推断方法，开发硬件和软件计算使此类方法可行的设备，然后将所有这些方法组合起来以实施经验主义的宏观经济建模，预测和政策制定。它的历史上既有成功也有失败，导致整体上在理解上取得了实质性进展