The Econometrics of Ragnar Frisch

Volume 1: A Documentary History of the Early Years of the Econometric Society This first volume covers the early history of the Econometric Society. While the Society was founded at the end of 1930 its origins go back to 1926 when Ragnar Frisch coined the term 'econometrics' and, in correspondence with Francois Divisia, conceived the idea of an econometric association and associated journal (Econometrica). Through extensive use of Frisch's private correspondence the volume charts his efforts to canvass both US and European colleagues, including Irving Fisher and Charles F Roos. The volume then covers the early history and meetings of the Society in Europe between 1931 and 1936, as well as the remaining pre-war years and subsequent American meetings. Separate chapters discuss membership and recruitment, fellowship and fellowship elections, and other issues. Volumes 2 & 3: Selected Works by Ragnar Frisch, 1926-34 Volumes 2 and 3 include works by Ragnar Frisch from the period of the foundation of the Econometric Society. These works were much discussed by early Econometric Society members. Some of these papers have not been previously published, although the works included are representative of issues discussed in the early years of the Society. 1. Sur un Probleme d'Economie Pure (Norsk Matematisk Forenings Skrifter, Oslo, 1926) This is the paper in which Frisch introduces the term 'econometrics' as the name of a new field in economics. In it, he launches some highly innovative ideas, such as an axiomatic approach in demand theory and a procedure for measurement of marginal utility, illuminated by empirical analysis and guided by theory. 2. The Analysis of Time Series (New York, 1927) This paper contains new, inventive methods for the analysis and determination of business cycles from the economic time series. Frisch abandoned this approach later when his idea of a structural approach in the confrontation between theory and data came to dominate his research programme. 3. Correlation and Scatter in Statistical Variables (Nordic Statistical Journal, 1929) This is a penetrating study on methods for the analysis of data. Ahead of its time, Frisch's use of matrix algebra is likely to have limited the wider distribution of this insightful treatise. It foreshadowed principal components as well as other methods and set a standard in rigour and use of mathematical reasoning. 4. What is Economic Theory? (Lecture Given to Students at Yale University, February 13, 1930) This lecture was given at Yale University shortly after Frisch's arrival. In a simple persuasive way it launched a number of concepts for modern economics, foremost among them is the idea of a model as a theoretical tool invented by the researcher's mind, rather than as an analogy with something observed. 5. Marginal and Limitational Productivity (Lectures at Yale University, 1930) Frisch was a pioneer in production theory and his lectures on Norwegian analysis in the late 1920s were outstanding. He took these notes with him to Yale and used them in his lectures, which were never published. The newly-transcribed manuscript contains the first mention in English of the term 'isoquant'. 6. New Methods of Measuring Marginal Utility (Tubingen, 1932) Written during Frisch's visit to the USA in 1930-31, this book launched several methods for the measurement of marginal utility and suggests a number of applications for these ideas. Extensively reviewed when it came out, it left a deep impact on later analysis. 7. Pitfalls in the Statistical Construction of Demand and Supply Curves (Veroffentlichungen der Frankfurter Gesellschaft fur Konjunkturforschung, 1933) This paper is of great importance to the history of econometrics, specifically in the treatment of simultaneity and identification, issues that were not fully resolved until the end of the 1940s. 8. Problemes et Methodes de l'Econometrie (Huit conferences presentees a l'Institut Henri Poincare, Universite de Paris, 1933) This lecture series was given at the Institut d'Henri Poincare and was meant to to be published by the Institute, but Frisch never submitted the final manuscript. It has been reconstructed and transcribed from Frisch's original typewritten manuscript and extensive marginal notes. 9. Statistical Confluence Analysis by Means of Complete Regression Systems (Institute of Economics, 1934) This is the first comprehensive book on methods for studying economic data, particularly time series, discussing problems that would later be known as identification, structural equations and simultaneity. The book was of vital importance to the revolution in econometric theory made by Trygve Haavelmo and his Probability Approach.