Econometrics: Alchemy or Science?Essays in Econometric Methodology / Edition 2

by David F. Hendry

Overview

Since the first edition of this book was published in 1993, David Hendry's work on econometric methodology has become increasingly influential. In this edition he presents a brand new paper which compellingly explains the logic of his general approach to econometric modeling and describes recent major advances in computer-automated modeling, which establish the success of the proposed strategy. Empirical studies of consumers' expenditure and money demands illustrate the methods in action. The breakthrough presented here will make econometric testing much easier.

Product Details

ISBN-13:	9780198293545
Publisher:	Oxford University Press
Publication date:	01/04/2001
Edition description:	REV
Pages:	560
Product dimensions:	8.80(w) x 5.90(h) x 1.20(d)

About the Author

David F. Hendry is Leverhulme Personal Research Professor of Economics and Fellow of Nuffield College, Oxford. He was previously Professor of Econometrics at both the London School of Economics and the University of California at San Diego.

Table of Contents

I. Roots and Route Maps1. Econometrics — Alchemy or Science? 2. Stochastic Specification in an Aggregate Demand Model of the United Kingdom3. Testing Dynmaic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom4. Dynamic SpecificationII. The Development of Empirical Modelling Strategies5. On the Time-Series Approach6. Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England7. An Empirical Application and Monte Carlo Analysis of the Tests of Dynamic Specification8. Econometric Modelling of the Aggregate Tme-Series Relationship between Consumers' Expenditure and Income in the United Kingdom9. Liquidity and Inflation Effects on Consumers' Expenditure10. Interpreting Econometric Evidence: The Behaviour of Consumres' Expenditure in the United Kingdom11. Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money12. Monetary Economic Myth and Econometric RealityIII. Formalization13. The Structure of Simultaneous Equations Estimators14. AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors15. Exogenity16. On the Formulation of Empirical Models in Dynamic Econometrics17. The Econometric Analysis of Economic Time SeriesIV. Retrospect and Prospect18. Econometric Modelling: the 'Consumption Function' in Retrospect19. Postscript: the Econometrics of PC-GIVE20. Epilogue: the Success of General-to-Specific Model Selection