Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Paperback | October 15, 2000

byDavid F. Hendry

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"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selectionbid fair to resolve many of the contentious issues. The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded incareful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties. The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence ofdetailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish theoperational success of the modelling strategy.

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"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selectionbid fair to resolve many of the contentious...

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.

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Format:PaperbackDimensions:560 pages, 9.21 × 6.14 × 1.18 inPublished:October 15, 2000Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198293542

ISBN - 13:9780198293545

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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 Dynamic 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 Consumers' 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