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Econometrics : alchemy or science? : essays in econometric methodology

Author: David F Hendry
Publisher: Oxford, UK ; Cambridge, USA : B. Blackwell, 1993.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
This volume draws together David Hendry's work on econometrics, tracing the main steps through which he has evolved his theories. Both destructive and contructive criticisms of methods are offered then critically evaluated, using theoretical economic and econometric analyses, empirical applications and Monte Carlo simulations. Empirical studies are used as the vehicle for the exposition and analysis of practical  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: David F Hendry
ISBN: 1557862648 9781557862648
OCLC Number: 24142734
Description: xiv, 518 pages : illustrations ; 26 cm
Contents: Introduction ----
PART I. Roots and Route Maps. 1. Econometrics --
Alchemy or Science? ---
2. Stochastic Specification in an Aggregate Demand Model of the United Kingdom ---
3. Testing Dynamic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom ---
4. Dynamic Specification ----
PART II. The Development of Empirical Modelling Strategies. 5. On the Time-Series Approach to Econometric Model Building ---
6. Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England ---
7. An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification ---
8. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom ---
9. Liquidity and Inflation Effects on Consumers' Expenditure ---
10. Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom ---
11. Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money ---
12. Monetary Economic Myth and Econometric Reality ----
PART III. Formalization. 13. The Structure of Simultaneous Equations Estimators ---
14. AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors ---
15. Exogeneity ---
16. On the Formulation of Empirical Models in Dynamic Econometrics ---
17. The Econometric Analysis of Economic Time Series ----
PART IV. Retrospect and Prospect. 18. Econometric Modelling: the 'Consumption Function' in Retrospect ---
19. Postscript: the Econometrics of PC-GIVE.
Other Titles: Essays in econometric methodology
Responsibility: David F. Hendry.

Abstract:

Destructive and contructive criticisms of methods are presented, then critically evaluated, using theoretical economic and econometric analyses, empirical applications and Monte Carlo simulations.  Read more...

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