The Methodology of Econometrics and the Disturbance Term in Macroeconomic Models

抄録

In this paper, we consider the influence of econometrics as a tool on macroeconomics as a vision focusing on the disturbance term in econometric and theoretical models.
Keynes rejected Tinbergen's method. The reason is that Keynes's views on probability conflicted with the concept of probability expressed in the disturbance term of Tinbergen's model.
In macroeconometrics the disturbance term was interpreted as the influence of omitted variables and was viewed as caused by measurement error at the earlier stage and by sampling error at the later one.
After the attack on Keynesian theory and simultaneous equation models by the rational expectations school and by proponents of vector autoregressive models, a disturbance term came to be introduced into theoretical models. They are interpreted as shocks caused by a shortage of information or by a fluctuations of productivity.