WRITING “THE PROBABILITY APPROACH” WITH NOWHERE TO GO: HAAVELMO IN THE UNITED STATES, 1939–1944

Abstract

This paper is concerned with the progress of Trygve Haavelmo's research and with his activities in general during his stay in the United States from June 1939 until the publication of his thesis “The Probability Approach in Econometrics” (Haavelmo, 1944, Econometrica 12, Suppl. 1–118) in July 1944. His original intention had been to stay in the United States only until the end of 1940, but the outbreak of World War II and the German occupation of Norway left him stranded. His “Theory and Measurement” treatise (Haavelmo, 1941, “On the Theory and Measurement of Economic Relations,” hectograph), the first version of “The Probability Approach,” was completed by the middle of 1941. From 1942 Haavelmo worked in New York for the Norwegian government in exile and was called upon to present his ideas to econometricians. Throughout his time in the United States he argued that probability should be accepted as an integral part of economic theory and as a basis for verification in economics. This paper considers how much of Haavelmo's approach was the result of his prewar experiences and how much the result of his time in the United States. It elaborates on his contact with Jerzy Neyman, Abraham Wald, and Jakob Marschak and the circumstances leading to the publication of “The Probability Approach.” Haavelmo's activities have been tracked through letters, seminar notes, and a reconstruction of his itinerary. The paper is a sequel to Bjerkholt (2005, Econometric Theory 21, 491–533).The presentation owes very much indeed to the advice of three anonymous referees and to the editor Peter Phillips, as the result of which it was restructured, reformulated, and much improved. I am sincerely grateful to all of these individuals for their generous and constructive advice. The source material for the paper is to a large extent correspondence and documents from the Haavelmo Archive at the Department of Economics, University of Oslo, as organized by Tore Thonstad. It also draws on material from the Frisch correspondence files at the National Library of Norway and from the Frisch Archive at the Department of Economics, University of Oslo. I am most grateful to Wendy Glickman of the Rockefeller Archive Center for providing me with copies of the monitoring sheets on Haavelmo. I owe my colleague Tore Schweder thanks for very helpful advice. I have furthermore benefited from personal communication with Ted Anderson, Kenneth J. Arrow, Leo Hurwicz, Eilev S. Jansen, Lawrence R. Klein, J.J. Polak, and Paul A. Samuelson, for which I am most grateful. NBER's Claudia Goldin, Chris Nagorski, and Robert Lipsey helped me sort out some puzzles. Thanks are also due to Lesney Levene for invaluable linguistic advice and to Inger Bjerkodden for encouragement all along. The responsibility for all remaining errors (surely, a nonempty set) is entirely my own.