The Analysis of Economic Time Series

Abstract

ECONOMETRICS may be described as the application of mathematics to statistics for the elucidation of economic forces and the measurement of their effects. Since these actions are dynamic the principal data are successive records in time, or time series, and in recent years many mathematical economists have made them the subject of intensive study. Mr. Harold T. Davis has brought together and criticized the theories and methods employed in this region, and illustrated them with a wealth of new material. His summary of his subject is (p. 59): “The problem of single time series is concerned with three things: first, the determination of atrend ; second, the discovery and interpretation of cyclical movements in the residuals ; third, the determination of the magnitude of the erratic element in the data. This preliminary problem, once solved, leads immediately into the more complex one of discovering valid interactions of one time series with another. Upon the discovery of such relationships the hope of establishing a firm science of economics inevitably rests. From them will come ultimately the power of prediction, which is the finaltest of any mature science.” The Analysis of Economic Time Series By Harold T. Davis. (Cowlos Commission for Research in Economics, Monograph No. 6.) Pp. xv + 620. (Bloomington, Ind.: The Principia Press, Inc.; London: Williams and Norgate, Ltd., 1941.) 5 dollars.