Econometrics / Sehr guter Artikel für Fundamentals-Gläubige

verfasst von JÜKÜ, 22.04.2002, 18:21

<div>
<font size="4">Dieser Artikel erklärt sehr gut meine Abneigung,
"Fundamentals" für jede Art von Prognose heranzuziehen.</font>


<font size="4">------------------------------------------------------------------</font>




<font face="Verdana" size="1" color="#002864">http://www.mises.org/fullstory.asp?control=940</font>
</div>



<div>
<font face="Arial" size="2"><font face="Verdana" color="#002864" size="5"><strong>What is Wrong With Econometrics?</strong></font>
</div>





<font size="4">by Frank Shostak</font>




<font size="2">[Posted April 22, 2002]</font>




<font size="2">[img][/img] </font></font><font face="Arial" size="3">A
recent academic study by economists Karl Case, John Quigley, and Robert
Shiller of consumer-spending behavior in the U.S. and 13 other developed
nations indicates that the wealth effect from housing is twice as great on
consumer spending as comparable changes in stock-market wealth. In the U.S.,
for example, they found that a 10-percent gain in housing prices would provoke
an average 0.62-percent increase in consumption, while a similar jump in
stock-market wealth only elicited about a 0.3-percent to 0.2-percent increase
in spending (Barron?s, April 15, 2002).</font>




<font face="Arial" size="3">What enabled these economists to derive these
answers is econometric modeling.</font>




<font face="Arial" size="3">In the natural sciences, a laboratory experiment
can isolate various elements and their movements. There is no equivalent in the
discipline of economics. The employment of econometrics and econometric
model-building is an attempt to produce a laboratory where controlled
experiments can be conducted.</font>




<font face="Arial" size="3">The idea of having such a laboratory is very
appealing to economists and politicians. Once the model is built and endorsed as
a good replica of the economy, politicians can evaluate the outcomes of various
policies. This, it is argued, enhances the efficiency of government policies and
thus leads to a better and more prosperous economy. It is also suggested that
the model can serve as a referee in assessing the validity of various economic
ideas. The other purpose of a model is to provide an indication regarding the
future.</font>




<font face="Arial" size="3">By means of mathematical and statistical methods,
an econometrician establishes functional relationships between various economic
variables. For example, personal consumer outlays are related to personal
disposable income and interest rates, while fixed capital spending is explained
by the past stock of capital, interest rates, and economic activity. A
collection of such various estimated relations?i.e., equations?constitutes
an econometric model.</font>




<font face="Arial" size="3">A comparison of the goodness of fit of the
dynamic simulation versus the actual data is an important criterion in assessing
the reliability of a model. (In a static simulation, the equations of the model
are solved using actual lagged variables. In a dynamic simulation, the equations
are solved by employing calculated from the model-lagged variables). The final
test of the model is its response to a policy variable change, such as an
increase in taxes or a rise in government outlays. By means of a qualitative
assessment, a model builder decides whether the response is reasonable or not.
Once the model is successfully constructed, it is ready to be used.</font>




<font face="Arial" size="3">Despite the aura of importance and mysterious
wisdom that econometric modeling projects, <font color="#FF0000">it is
nevertheless an empty vessel.</font> The econometric modeling procedure employs
an untenable methodology: it tries to capture human behavior by means of
mathematical and statistical methods.</font>


<h1><font face="Arial" size="3">Is the mathematical method valid in economics?</font></h1>


<font face="Arial" size="3">By applying mathematics, mainstream economics is
attempting to follow in the footsteps of natural sciences. In the natural
sciences, the employment of mathematics enables scientists to formulate the
essential nature of objects. In short, by means of a mathematical formula, the
response of objects to a particular stimulus in a given condition is captured.
Consequently, within these given conditions, the same response will be obtained
time and again.</font>




<font face="Arial" size="3">The same approach, however, is not valid in
economics. For economics is supposed to deal with human beings and not objects.
According to Mises,</font>



<font face="Arial" size="3" color="#FF0000">The experience with which the
sciences of human action have to deal is always an experience of complex
phenomena. No laboratory experiments can be performed with regard to human
action.<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftn1" name="_ftnref1">[1]</a></font>



<font face="Arial" size="3">The main characteristic or nature of human beings
is that they are rational animals. They use their minds to sustain their lives
and well-being. The usage of the mind, however, is not set to follow some kind
of automatic procedure, but rather every individual employs his mind in
accordance with his own circumstances. <font color="#FF0000">This makes it
impossible to capture human nature by means of mathematical formulae</font>, as
is done in the natural sciences.</font>




<font face="Arial" size="3">In short, people have the freedom of choice to
change their minds and pursue actions that are contrary to what was observed in
the past. As a result of the unique nature of human beings, analyses in
economics can only be qualitative. </font>




<font face="Arial" size="3">Furthermore, to pursue quantitative analysis
implies the possibility of the assignment of numbers, which can be subjected to
all of the operations of arithmetic. To accomplish this, it is necessary to
define an objective fixed unit. Such an objective unit, however, doesn?t exist
in the realm of human valuations. On this Mises wrote, <font color="#FF0000">"There
are, in the field of economics, no constant relations</font>, and consequently
no measurement is possible."<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftn2" name="_ftnref2">[2]</a></font>




<font face="Arial" size="3">There are no constant standards for measuring the
minds, the values, and the ideas of men. Valuation is the means by which a
conscious purposeful individual assesses the given facts of reality. In other
words once an individual establishes what the facts are, he then assesses which
out of these established facts are the most suitable to attain his various ends.</font>




<font face="Arial" size="3">Individual goals or ends set the standard for
valuing the facts of reality. For instance, if the goal of an individual is to
improve his health, then he would establish which goods will benefit his health
and which will not. Among those that will benefit him, some will be more
effective than others. There is no way, however, to quantify this
effectiveness. All that one could do is rank these goods in accordance with
perceived effectiveness.</font>




<font face="Arial" size="3">The use of mathematics in economics poses another
serious problem. The employment of mathematical functions implies that human
actions are set in motion by various factors. However, this is an erroneous way
of thinking. For instance, contrary to the mathematical way of thinking,
individual outlays on goods are not"caused" by real income as such.
In his own context, every individual decides how much of a given amount of
income will be used for consumption and how much for savings. While it is true
that people respond to changes in their incomes, the response is not automatic,
and it cannot be captured by a mathematical formula. For instance, an increase
in an individual?s income doesn?t automatically imply that his consumption
expenditure will follow suit. In other words, every individual assesses the
increase in income against the goals he wants to achieve. Thus he might decide
that it is more beneficial for him to raise his savings rather than raise his
consumption.</font>


<h1><font face="Arial" size="3">The validity of probability theory in economics</font></h1>


<font face="Arial" size="3">While mathematics is the key tool of econometric
methods, the foundation of econometrics is probability theory. What is
probability? The probability of an event is the proportion of times the event
occurs out of a large number of trials. For instance, the probability of
obtaining heads when a coin is tossed is 50 percent. This does not mean that
when a coin is tossed 10 times, five heads are always obtained. However, if the
experiment is repeated a large number of times, then it is likely that 50
percent will be obtained. The greater the number of throws, the nearer the
approximation is likely to be.</font>




[... ]




<font face="Arial" size="3"><font color="#FF0000">In economics, however, we
don?t deal with homogeneous cases. Each observation is a unique, nonrepeatable
event caused by a particular individual response.</font> Consequently, no
probability distribution can be established. Again, probability distribution
rests on the assumption that we are dealing with a nonparticular, and so
repeatable, event. Let us take for instance entrepreneurial activities. If these
activities were repeatable with known probability distributions, then we would
not need entrepreneurs. After all, an entrepreneur is an individual who arranges
his activities toward finding out consumers? future requirements. People?s
requirements, however, are never constant with respect to a particular good. <font color="#FF0000">The
assumption that econometrics makes--that probability distribution exists and can
be quantified--leads to absurd results.</font> For it describes, not a world of
human beings who exercise their minds in making choices, but machines.</font>




<font face="Arial" size="3">Human activities, however, cannot be analyzed in
the same way that one would analyze objects. To make sense of historical data,
one must scrutinize them not by means of statistical methods but by means of
trying to grasp and understand how they emerged.</font>


<h1><font face="Arial" size="3" color="#FF0000">Econometric models have nothing
to do with the reality.</font></h1>


<font face="Arial" size="3">Given the fact that human beings are governed by
freedom of choice, the various policy analyses by means of models, known as
"what if" or multiplier analyses, are little more than children?s
games and cannot be taken seriously. After all, to assume that a change in
government policy would leave the structure of equations intact would mean that
individuals in the economy ceased to be alive and were, in fact, frozen.</font>




<font face="Arial" size="3">Another major problem with most econometric
models is that they are designed along the lines of Keynesian economic thinking.
Thus the main variable in these models is gross domestic product, which is
explained within the model framework by the interactions between various lumped
data known as aggregates. The interaction between various aggregates in the
model framework <font color="#FF0000">gives the impression that the economy is
about gross domestic product, or about balance of payments, but not about human
beings and human life.</font> Obviously this runs contrary to the fact that
everything in the human world is caused by man?s purposeful conduct.</font>




<font face="Arial" size="3">To improve an econometric model?s capability as
a forecasting tool, econometricians often employ various tricks. The predictive
capability of each equation in the model is checked against actual data, and the
difference between the actual data and the data obtained from the equations,
also known as the add factor, is extrapolated forward and incorporated into the
models equations.</font>




<font face="Arial" size="3">In many instances the forecast produced by an
econometric model is heavily influenced by the add factor which allows the model
builder to force the outcome of the forecast in line with his"gut feelings."
Most people are not aware of these tricks and believe that the model alone
generated the outcome. All this casts a shadow on the"scientific"
procedures employed by econometric modeling. Furthermore, one should not forget
the suspect quality of the data out of which econometric models are constructed.
In short, econometric models are nothing more than glorified play. On this Mises
said,</font>



<font face="Arial" size="3" color="#FF0000">As a method of economic analysis
econometrics is a childish play with figures that does not contribute anything
to the elucidation of the problems of economic reality.<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftn3" name="_ftnref3">[3]</a></font>

<h1><font face="Arial" size="3">Conclusion</font></h1>


<font face="Arial" size="3" color="#FF0000">Rather than viewing econometric
models as a sophisticated technique that can discover the hidden truth about the
economy, we should regard them as clumsy and expensive extrapolative devices,
which have nothing in common with reality. Anyone who decides to use models as
an analytical tool or a forecasting device runs the risk of seriously confusing
himself.</font>


<font face="Arial" size="2">
<div>
<hr align="left" width="33%" SIZE="1">
</div>


<font size="2">Frank Shostak, Ph.D., is an adjunct scholar of the Mises
Institute and a frequent contributor to Mises.org. Send him <font color="#000080" size="2">MAIL</font>
and see his outstanding Mises.org <font color="#3571ca" size="2">Articles
Archive</font>. Dr. Shostak expresses gratitude to Michael Ryan for helpful
comments during the writing of this article.</font>


<div>
<hr align="left" width="33%" SIZE="1">
</div>
<div>
<div id="ftn1">


<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftnref1" name="_ftn1"><font size="2">[1]</font></a><font size="2">
Ludwig von Mises, <em>Human Action</em> (1963), p. 31.</font>


</div>
<div id="ftn2">


<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftnref2" name="_ftn2"><font size="2">[2]</font></a><font size="2">
<em>Human Action,</em> p. 55.</font>


</div>
<div id="ftn3">


<a title href="http://www.mises.org/fullstory.asp?control=940&FS=What+is+Wrong+With+Econometrics%3F#_ftnref3" name="_ftn3"><font size="2">[3]</font></a><font size="2">Ludwig
von Mises, <em>The Ultimate Foundation of Economic Science </em>(1962), p.
63.</font>


</div>
</div>
</font>


<center>

<HR>

</center>

Thread gesperrt

 

gesamter Thread:

• Econometrics / Sehr guter Artikel für Fundamentals-Gläubige - JÃœKÃœ, 22.04.2002, 18:21
  • Re: Econometrics / Sehr guter Artikel für Fundamentals-Gläubige - tas, 22.04.2002, 23:06
  • Re: Die Fundamentals des Lebens - R.Deutsch, 23.04.2002, 12:55
    • Re: Die Fundamentals des Lebens - JÃœKÃœ, 23.04.2002, 13:02