The book delves into the evolution of econometrics, addressing John Maynard Keynes' critical view of the discipline as akin to black magic. It explores the foundational theories and practices developed over fifty years by leading social scientists. By examining different interpretations of probability theory, the author aims to reconstruct the principles of econometric inference, offering a comprehensive assessment of the field's growth and ongoing challenges.
The idea that simplicity matters in science is as old as science itself, with the much cited example of Ockham's Razor. A problem with Ockham's Razor is that nearly everybody seems to accept it, but few are able to define its exact meaning and to make it operational in a non-arbitrary way. Using a multidisciplinary perspective including philosophers, mathematicians, econometricians and economists, this monograph examines simplicity by asking six questions: What is meant by simplicity? How is simplicity measured? Is there an optimum trade-off between simplicity and goodness-of-fit? What is the relation between simplicity and empirical modelling? What is the relation between simplicity and prediction? What is the connection between simplicity and convenience?