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A Theory-Based Formal-Econometric Interpretation of an Econometric Model

Bernt P. Stigum

Econometrics2026https://doi.org/10.3390/econometrics14010004article
AJG 1ABDC B
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0.50

Abstract

The references of most of the observations that econometricians have are ill defined. To use such data in an empirical analysis, the econometrician in charge must find a way to give them economic meaning. In this paper, I have data and an econometric model, and I set out to show how economic theory can be used to interpret the variables and parameters of my econometric model. According to Ragnar Frisch, that is a difficult task. Economic theories reside in a Model World and the econometrician’s data reside in the Real World; the rational laws in the model world are fundamentally different from the empirical laws in the real world; and between the two worlds there is a gap that can never be bridged To accomplish my task, I build a bridge between Frisch’s two worlds with applied formal-econometric arguments, invent a pertinent model-world economic theory, walk the bridge with the invented theory, and use it to give economic meaning to the variables and parameters of my econometric model. At the end I demonstrate that the invented theory and the bridge I use in my analysis are empirically relevant in the empirical context of my econometric model.

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https://doi.org/https://doi.org/10.3390/econometrics14010004

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@article{bernt2026,
  title        = {{A Theory-Based Formal-Econometric Interpretation of an Econometric Model}},
  author       = {Bernt P. Stigum},
  journal      = {Econometrics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.3390/econometrics14010004},
}

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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