My introductory graduate econometrics class has just finished up. The students sat the final examination yesterday. They did really well!
If you'd like to try your hand, you can find the exam. here.
"We argue that many methodological confusions in time-series econometrics may be seen as arising out of ambivalence or confusion about the error terms. Relationships between macroeconomic time series are inexact and, inevitably, the early econometricians found that any estimated relationship would only fit with errors. Slutsky interpreted these errors as shocks that constitute the motive force behind business cycles. Frisch tried to dissect further the errors into two parts: stimuli, which are analogous to shocks, and nuisance aberrations. However, he failed to provide a statistical framework to make this distinction operational. Haavelmo, and subsequent researchers at the Cowles Commission, saw errors in equations as providing the statistical foundations for econometric models, and required that they conform to a priori distributional assumptions specified in structural models of the general equilibrium type, later known as simultaneous-equations models (SEM). Since theoretical models were at that time mostly static, the structural modelling strategy relegated the dynamics in time-series data frequently to nuisance, atheoretical complications. Revival of the shock interpretation in theoretical models came about through the rational expectations movement and development of the VAR (Vector AutoRegression) modelling approach. The so-called LSE (London School of Economics) dynamic specification approach decomposes the dynamics of modelled variable into three parts: short-run shocks, disequilibrium shocks and innovative residuals, with only the first two of these sustaining an economic interpretation."
"The Econometric Society was founded at an “organization meeting” in December 1930. The invitations had been issued by Irving Fisher, Ragnar Frisch and, Charles F. Roos. In June the same year they had sent a form letter to a list of 31 scholars to solicit advice about establishing an international association “to help in gradually converting economics into a genuine and recognized science.” The responses of these scholars from ten different countries are set out at some length in the paper. Rather than persevering in building a constituency of adherents on which a society could be founded the three initiators decided to rush ahead and sent out invitations to an organization meeting to found the Econometric Society at short notice. The paper discusses possible reasons for the change of pace, indicating that Schumpeter had a decisive role, and gives an account of the deliberations of the organization meeting founding the Econometric Society."
"Professor of Economics at the University of Chicago, Henry Schultz, spent a sabbatical year in Europe in 1933/34 working on his forthcoming monograph The Theory and Measurement of Demand (Schultz 1938). During the year he found time to travel in 6-7 countries meeting economists and other scholars. The article describes and comments his seven weeks long visit to Italy in March-April 1934. The glimpses of Henry Schultz in Italy are provided by Schultz’s own brief diary notes during that visit. Henry Schultz was a prominent member of the Econometric Society and had been present at the organization meeting of the Society in 1930. In Italy he met with practically all the leading econometricians in Italy. Schultz was particularly interested in the stand taken by Italian economists on Mussolini’s Corporate State and also in the situation of Jews under fascism. Schultz followed a tourist trail in Italy visiting also Roman and Etruscan remains and a number of places of Christian worship."
"The five most valuable econometric methods, or what the authors call the Furious Five - random assignment, regression, instrumental variables, regression discontinuity designs, and differences in differences."