After a first post on the conception of the scientific method by Richard Feynman, let us look at the following paper written paper by David F. Hendry:
David F. Hendry. “Econometrics-Alchemy or Science?” Economica, vol. 47, no. 188, 1980, pp. 387–406.
Before thinking about Hendry’s paper. Let us look at what is Science for Richard Feynman. He recalls the essence of the scientific method: Guess → Compute the consequences → Compare with observation / with experiment → Conclude whether it works.
“If it disagrees with experiment, it is wrong. This simple statement is essential to science. It does not make any difference how beautiful the guess is. It does not make any difference how smart you are. If it disagrees with experiment, it is wrong. Simply.“
Let us turn to the answer of David F. Hendry to the aforementioned provocative question: Econometrics-Alchemy or Science? The full paper is available at the following address: https://www.jstor.org/stable/2553385.
He concludes that “The three golden rules of econometrics are: test, test, and test; that all three rules are broken regularly in empirical applications is fortunately easily remedied. Rigorously tested models, which adequately described the available data, encompassed previous findings and were derived from well based theories would greatly enhance any claim to be scientific.“
In social sciences, economics is a social science, randomized control trial are very difficult to design, especially at the macroeconomic level. Thus, applying the three “golden rules” of econometrics is a good way to have a rigorous approach in economics.
That’s why I have chosen to use (rigorously) econometrics in my own research, and not only rely on my intuitions, preferences and priors.
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