Dienstag, 17. Dezember 2013

Microfoundations

Simon Wren-Lewis schreibt in einem guten Beitrag über den Umgang mit mikrofundierten und rein empirischen Modellen - und der Hybridversion.
"So what about aggregate models that use a bit of theory and a bit of econometrics?

A model should be as good a representation of the economy as possible for the task in hand. The modeller has two sources of information to help them: micro theory about how individuals may behave, and statistical evidence about how the aggregate economy has behaved in the past. Ideally we would want to exhaust both sets of information in building our model, but our modelling abilities are just not good enough. There is a lot in the data that we cannot explain using micro theory.

Given this, we have three alternatives. We can focus on microfoundations. We can focus on the data. Or we can do something in between - let me call this the eclectic approach.  [...]
Now a microfoundation modeller might respond that the right thing to do in these circumstances is to microfound these credit constrained consumers. But that just misses the point. We are not talking about research programmes, but particular models at particular points in time. At any particular time, even the best available microfounded model will be misspecified, and an eclectic approach that uses information provided by the data alongside some theory may pick up these misspecifications, and therefore do better.
Another response might be that we know for sure that the eclectic model will be wrong, because (for example) it will fail the Lucas critique. More generally, it will not be internally consistent. But we also know that the microfounded model will be wrong, because it will not have the right microfoundations. The eclectic model may be subject to the Lucas critique, but it may also - by taking more account of the data than the microfounded model - avoid some of the specification errors of the microfounded model. There is no way of knowing which errors matter more."
 


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