{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,13]],"date-time":"2026-05-13T00:15:50Z","timestamp":1778631350234,"version":"3.51.4"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2001,3,3]],"date-time":"2001-03-03T00:00:00Z","timestamp":983577600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,4]]},"abstract":"<jats:p>We argue that many methodological confusions in \ntime-series econometrics may be seen as arising out of \nambivalence or confusion about the error terms. Relationships \nbetween macroeconomic time series are inexact, and, inevitably, \nthe early econometricians found that any estimated relationship \nwould only fit with errors. Slutsky interpreted these errors \nas shocks that constitute the motive force behind business \ncycles. Frisch tried to dissect the errors further into \ntwo parts: stimuli, which are analogous to shocks, and \nnuisance aberrations. However, he failed to provide a statistical \nframework to make this distinction operational. Haavelmo, \nand subsequent researchers at the Cowles Commission, saw \nerrors in equations as providing the statistical foundations \nfor econometric models and required that they conform to \na priori distributional assumptions specified in structural \nmodels of the general equilibrium type, later known as \nsimultaneous-equations models. Because theoretical models \nwere at that time mostly static, the structural modeling \nstrategy relegated the dynamics in time-series data frequently \nto nuisance, atheoretical complications. Revival of the \nshock interpretation in theoretical models came about through \nthe rational expectations movement and development of the \nvector autoregression modeling approach. The so-called \nLondon School of Economics dynamic specification approach \ndecomposes the dynamics of the modeled variable into three \nparts: short-run shocks, disequilibrium shocks, and innovative \nresiduals, with only the first two of these sustaining \nan economic interpretation.<\/jats:p>","DOI":"10.1017\/s0266466601172063","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"424-450","source":"Crossref","is-referenced-by-count":28,"title":["THE ERROR TERM IN THE HISTORY OF TIME SERIES ECONOMETRICS"],"prefix":"10.1017","volume":"17","author":[{"given":"Duo","family":"Qin","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Christopher L.","family":"Gilbert","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2001,3,3]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601172063","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T19:29:04Z","timestamp":1554751744000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601172063\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,3,3]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2001,4]]}},"alternative-id":["S0266466601172063"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601172063","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,3,3]]}}}