Hostname: page-component-76fb5796d-25wd4 Total loading time: 0 Render date: 2024-04-25T17:15:40.365Z Has data issue: false hasContentIssue false
  • English
  • Français

TRYGVE HAAVELMO AT THE COWLES COMMISSION

Published online by Cambridge University Press:  27 June 2014

Olav Bjerkholt
Olav Bjerkholt*
Affiliation:
Department of Economics, University of Oslo
*
*Address correspondence to Olav Bjerkholt, University of Oslo, PO Box 1095, 0317 Oslo, Norway; e-mail: olav.bjerkholt@econ.uio.no.
Get access Rights & Permissions [Opens in a new window]

Abstract

The article reviews the early history of the Cowles Commission (CC), its close and intertwined relations with the Econometric Society (ES), and the influence and guidance of Ragnar Frisch. It provides detail on three rounds of choosing a research director for CC in 1937–38, in 1939 and, particularly, at the end of 1942. Haavelmo’s work in the early 1940s came to play a major role for the econometric research at the Cowles Commission under Jacob Marschak as research director 1943–48. The article points to the importance of Abraham Wald and Jacob Marschak for the success of Haavelmo’s venture and its influence and tells the story of how it came about that Haavelmo’s ideas were adopted, applied, and disseminated by the Cowles Commission. Thus the mention of Trygve Haavelmo in the title is referring also to his econometric ideas. The ideas themselves and their further evolvement at the CC have been a dominating theme in the history of econometrics literature, e.g., Hildreth (1986), Epstein (1987), Morgan (1990), Qin (1993), and Christ (1994). The article discusses the recruitment, the inner workings, and various other concerns of the Cowles econometricians, from Marxism to Black Magic. It recounts at some length the efforts made by Marschak to recruit Abraham Wald to the University of Chicago and the Cowles Commission. The article can be read as a sequel to Bjerkholt (2005, 2007).

Type
ARTICLES
Information
Econometric Theory , Volume 31 , Issue 1: Haavelmo Memorial Issue: Part One , February 2015 , pp. 1 - 84
Copyright
Copyright © Cambridge University Press 2014 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Anderson, T.W. & Rubin, H. (1949) Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics 20, 46–63.CrossRefGoogle Scholar
Arrow, K.J. (1991) Jacob Marschak 1898–1977. A Biographical Memoir. National Academy ofSciences, Washington D.C.Google Scholar
Beneke, R.B. (1998) T.W. Schultz & pamphlet no. 5: The oleo margarine war and academic freedom. Choices 13(2), 4–8.Google Scholar
Bjerkholt, O. (2005) Frisch’s econometric laboratory and the rise of Trygve Haavelmo’s Probability Approach. Econometric Theory 21, 491–533.CrossRefGoogle Scholar
Bjerkholt, O. (2007) Writing “The Probability Approach” with nowhere to go: Haavelmo in the United States, 1939–1944. Econometric Theory 23, 775–837.Google Scholar
Bjerkholt, O. (2010) The “Meteorological” and the “Engineering” Type of Econometric Inference: A 1943 Exchange between Trygve Haavelmo and Jacob Marschak. Memorandum 07/2010, Department of Economics, University of Oslo.Google Scholar
Bock, M.E. (2004) A Festschrift for Herman Rubin. Lecture Notes-Monograph Series, vol. 45. Institute of Mathematical Statistics.Google Scholar
Boumans, M. (2010) The problem of passive observation. History of Political Economy 42, 75–110.CrossRefGoogle Scholar
Cherrier, B. (2010) Rationalizing human organization in an uncertain world: Jacob Marschak, from Ukrainian prisons to behavioral science. History of Political Economy 42(3), 443–467.Google Scholar
Christ, C.F. (1952) History of the Cowles Commission, 1932–1952. In Economic Theory and Measurement: A Twenty Year Research Report. Cowles Commission.Google Scholar
Christ, C.F. (1994) The Cowles Commission’s contributions to econometrics at Chicago, 1939–1955. Journal of Economic Literature 32, 30–59.Google Scholar
Darity, W., Leeson, R., & Young, W. (2012) Economics, Economists and Expectations. From Microfoundations to Macroapplications. Routledge.Google Scholar
Davis, H.T. (1940) Theory of Econometrics. Principia Press.Google Scholar
Davis, H.T. (1941) The Analysis of Economic Time Series. Monograph No. 6. Cowles Commission for Research in Economics. Principia Press.Google Scholar
Davis, H.T. & Nelson, W.F.C. (1935) Elements of Statistics. Principia Press, 424pp. A revised and enlarged second edition in 1937 (434 pp.).Google Scholar
Epstein, R.J. (1987) A History of Econometrics. North-Holland.Google Scholar
Epstein, R.J. (1989) The fall of OLS in structural estimation. Oxford Economic Papers, New Series 41, 94–107.Google Scholar
Frisch, R. (1933) Propagation problems and impulse problems in dynamic economics. In Economic Essays in Honour of Gustav Cassel, pp. 171–205. Allen and Unwin.Google Scholar
Frisch, R. (1934) Statistical Confluence Analysis by means of Complete Regression Systems. Publication No. 5 from the Institute of Economics, Oslo.Google Scholar
Frisch, R. (1937) Memorandum to Alfred Cowles, 3rd from Ragnar Frisch Regarding a Research Project on Economic Control. Typewritten, dated July 11, 1937.Google Scholar
Gardner, M. (1973) The Flight of Peter Fromm. William Kaufmann, Inc.Google Scholar
Girshick, M.A. & Haavelmo, T. (1947) Statistical analysis of the demand for food: Examples of simultaneous estimation of structural equations. Econometrica 15, 79–110.Google Scholar
Haavelmo, T. (1938) The method of supplementary confluent relations, illustrated by a study of stock. Econometrica 6, 203–218.Google Scholar
Haavelmo, T. (1940) The inadequacy of testing dynamic theory by comparing theoretical solutions and observed cycles. Econometrica 8(4), 312–321.CrossRefGoogle Scholar
Haavelmo, T. (1941) On the Theory and Measurement of Economic Relations. Hecto.Google Scholar
Haavelmo, T. (1943a) The statistical implications of a system of simultaneous equations. Econometrica 11, 1–12.Google Scholar
Haavelmo, T. (1943b) Statistical testing of business cycle theories. Review of Economic Statistics 25, 13–18.Google Scholar
Haavelmo, T. (1944) The probability approach in econometrics. Econometrica 12, supplement, 1–115.Google Scholar
Haavelmo, T. (1950) Remarks on Frisch’s confluence analysis and its use in econometrics. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, pp. 258–260. CC Monograph No. 10. John Wiley & Sons.Google Scholar
Hagemann, H. (1997) Jacob Marschak (1898–1977). In Blomert, R., Esslinger, H.U., &Giovanni, N. (eds.) Heidelberger Sozial- und Staatswissenschaften. Das Institut für Sozial- und Staatswissenschaften zwischen 1918 und 1958. Metropolis-Verlag.Google Scholar
Hendry, D.F. & Morgan, M.S. (eds.) (1995) The Foundations of Econometric Analysis. Cambridge University Press.Google Scholar
Hildreth, C. (1986) The Cowles Commission in Chicago, 1939–1955. Springer-Verlag.Google Scholar
Hotelling, H. (1940) The teaching of statistics. Annals of Mathematical Statistics 11, 457–70.Google Scholar
Katona, G. (1945) Price Control and Business. Monograph No. 9. Principia Press.Google Scholar
Keynes, J.M. (1940) On a method of statistical business-cycle research. A comment. Economic Journal 50, 154–156.Google Scholar
Klein, L.R. (1943) Pitfalls in the statistical determination of the investment schedule. Econometrica 11, 246–258.Google Scholar
Klein, L.R. (1947) Theories of effective demand and employment. Journal of Political Economy 55, 108–131. Re-issued in Horowitz, D. (ed.) (1968) Marx and Modern Economics.Google Scholar
Klein, L.R. (1950) Economic Fluctuations in the United States, 1921–1941. CC Monograph No. 11. John Wiley & Sons.Google Scholar
Klein, L.R. (1991) The Statistics Seminar, M.I.T., 1942–1943. Statistical Science 6, 320–330.Google Scholar
Klein, L.R. & Mariano, R. (1987) The ET interview: Professor L.R. Klein. Econometric Theory 3, 409–460.Google Scholar
Koopmans, T.J. (1937) Linear Regression Analysis of Economic Time Series. De Erven F. Bohn N.V.Google Scholar
Koopmans, T.C. (1941) The logic of econometric business-cycle research, Journal of Political Economy 49(2), 157–181.CrossRefGoogle Scholar
Koopmans, T.C. (1942) Serial correlation and quadratic forms in normal variables. Annals of Mathematical Statistics 13, 14–33.Google Scholar
Koopmans, T.C. (1945) Statistical estimation of simultaneous economic relations. Journal of the American Statistical Association 40, 448–466.Google Scholar
Koopmans, T.C. (ed.) (1950) Statistical Inference in Dynamic Economic Models. CC Monograph No. 10. John Wiley & Sons.Google Scholar
Koopmans, T.C. (1978) Jacob Marschak 1898–1977. American Economic Review 68(2), ix–xi.Google Scholar
Koopmans, T.C., Rubin, H., & Leipnik, R.B. (1950) Measuring the equation systems of dynamic economics. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, pp. 53–237. CC Monograph No. 10. John Wiley & Sons.Google Scholar
Lange, O. (1938) The rate of interest and the optimum propensity to consume. Economica, New Series, 5, No.17, 12–32.Google Scholar
Louçã, F. (2007) The Years of High Econometrics. Routledge.Google Scholar
Malinvaud, E. (1983) Econometric methodology at the Cowles Commission: Rise and maturity. In Cowles Fiftieth Anniversary. Cowles Foundation for Research in Economics.Google Scholar
Mann, H.B. & Wald, A. (1943) On the statistical treatment of linear stochastic difference equations. Econometrica 11, 173–220.Google Scholar
Marschak, J. (1942) Economic interdependence and statistical analysis. In Lange, O., McIntyre, F., & Yntema, T.O. (eds.), Studies in Mathematical Economics and Econometrics—In Memory of Henry Schultz. University of Chicago Press.Google Scholar
Marschak, J. & Andrews, (1944) Random simultaneous equations and the theory of production. Econometrica 12, 143–205.Google Scholar
Morgan, M.S. (1990) The History of Econometric Ideas. Cambridge University Press.Google Scholar
Mosak, J. (1944) General-Equilibrium Theory in International Trade. CC Monograph No. 7. Principia Press.Google Scholar
Olkin, I. (1989) A conversation with Maurice Bartlett. Statistical Science 4, 151–163.CrossRefGoogle Scholar
Phillips, P. (1986) The ET interview: Professor T.W. Anderson. Econometric Theory 2, 249–288.CrossRefGoogle Scholar
Qin, D. (1993) The Formation of Econometrics. Clarendon Press.Google Scholar
Sims, C.A. (1980) Macroeconomics and reality. Econometrica 48, 1–49.Google Scholar
Solberg, W.U. & Tomilson, R.W. (1997) Academic McCarthyism and Keynesian economics: The Bowen controversy at the University of Illinois. History of Political Economy 29, 55–81.Google Scholar
Stigler, S.M. (forthcoming) Milton Friedman and statistics. In Leeson, R. (ed.), The Collected Writings of Milton Friedman. Routledge.Google Scholar
Vining, R. (1945) Regional variations in cyclical fluctuations viewed as a frequency distribution. Econometrica 13(2), 183–213.Google Scholar
Wald, A. (1937) Zur Theorie der Preisindexziffern, Zeitschrift für Nationalökonomie (now Journal of Economics) 8(2), 179–219.Google Scholar
Wald, A. (1939a) A new formula for the index of cost of living. Econometrica 7(4), 319–331.Google Scholar
Wald, A. (1939b) Contributions to the theory of statistical estimation and testing hypotheses. Annals of Mathematical Statistics 10, 299–326.Google Scholar
Wald, A. (1940a) The approximate determination of indifference surfaces by means of Engel curves. Econometrica 8(2), 144–175.Google Scholar
Wald, A. (1940b) The fitting of straight lines if both variables are subject to error. Annals of Mathematical Statistics 11, 284–300.Google Scholar
Wallis, W.A. (1980a) The Statistical Research Group, 1942–45. Journal of the American Statistical Association 75, 320–330.Google Scholar
Wallis, W.A. (1980b) The Statistical Research Group, 1942–45: Rejoinder. Journal of the American Statistical Association 75, 334–335.Google Scholar
Wold, H. (1961) Oskar Anderson, 1887–1960. Annals of Mathematical Statistics 32(3), 651–658.Google Scholar