SEMAINE D ETUDE SUR LE ROLE DE L’ ANALYSE ECONOMETRIQUE ETC.
“x J ,
perfectly well that the apparent precision which the theory of esti:
mation gives to the results is not in fact present. Whether this ic
due to the properties of the model or to the character of the data
is a matter of some dispute, but it is a common phenomenon.
What my paper is about is those situations so common in prac-
tice in which statistical techniques which have very nice properties
in the secure situations for which they are designed do not in fact
have such nice properties when applied to models of the type one
actually has to estimate. In such cases we have to make all sorts
of compromises to produce techniques which have properties whick
one deems desirable. For example, in almost all the original lite
rature on simultaneous equation estimation, everyone simply as
sumed that there was no serial correlation in the disturbances. In
economy-wide models, there is such serial correlation and the usual
simultaneous equation estimators lose a good deal of their appeal
if used incautiouslv
[LEONTIEEF
In the context of previous discussion I would like to raise agair
the question of relative advantages and disadvantages of simulta
neous as against independent estimation of the empirical parameters
entering into different parts of an integrated analytical model. Al
though from a fundamental philosophical point of view indirect
inference and direct observation have much in common, in daily
practice of scientific investigation they differ from each other greatly.
So long as we operate with highly aggregative models, indirect
inference must dominate the field. Since aggregative variables and
parameters, in terms of which relationships are usually described.
cannot be observed directly, they necessarily must be estimated in:
directly. As soon, however, as disaggregation reaches the critical
level at which the individual bits of data used in the theoretica
model are identical or nearly identical to those familiar to the
producers and consumers of individual goods and services in their
61
Fisher - pag. 77
