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主题:【原创】经济学的经验研究方法 -- Dracula

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家园 经济学中对内生性问题的处理,

尤其是使用辅助变量的处理方法源远流长。

哈佛大学的前经济系主任James Stock就有文章考证过,经济学家在1925年就已经开始使用辅助变量来解决供给和需求的内生关系。而经济学家Philip G. Wright很可能就是IV方法的最早的发明者和使用者。

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伟大的经济学先驱Philip G. Wright

而他的儿子Sewall Wright,20世纪最重要的基因统计学家,也可能对此有贡献。

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20世纪最重要的基因统计学家Sewall Green Wright (December 21, 1889 – March 3, 1988)

外链出处

这个可以看James Stock文章的联结(外链出处)

As discussed in Stock and Watson, Introduction to Econometrics (2003, Ch. 10), the first published use of IV regression to estimate the coefficient on an endogenous variable (that is, to solve the “identification problem” in econometrics) appeared in Appendix B of Philip G. Wright’s book, The Tariff on Animal and Vegetable Oils. There, the author showed, via two derivations (one limited information, or single-equation, the other full-information, or system-based), that if there an observed variable that shifts demand but not supply, this variable could be used to estimate the slope of the supply curve. This was applied to data in percentage changes, so the result was the estimation of the elasticity of supply. The estimator, referred to as the “method of external factors,” is in fact the instrumental variables estimator with a single instrument. The second method derived the indirect least squares estimator, based on first solving for the reduced form when there is a variable that shifts supply but not demand and another variable that shifts demand but not supply.

Our analysis strongly points towards Philip Wright being the author of Appendix B. We also think that there is strong circumstantial and historical evidence that he thought of the idea of IV regression himself, although without additional primary sources we cannot be as sure of this. To find out more, download the paper (.pdf file).

搞学问有门户之见,是对自己智力发展的限制。

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