Econometrics: Alchemy or Science?
Essays in Econometric Methodology
2nd Edition
Published on 26. October 2000
Book
Paperback/Softback
560 pages
978-0-19-829354-5 (ISBN)
Description
"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 selection bid 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 in careful 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 of detailed 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 the operational success of the modelling strategy.
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 in careful 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 of detailed 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 the operational success of the modelling strategy.
Reviews / Votes
Eighteen previously published papers of methodology, from the period 1974 to 1985, provide an overview of the development of the field and are integrated by commentary on the motivations, personalities, and ideas central to this development. * Journal of Economic Literature, September 2001 *More details
Edition
2. Auflage
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
numerous figures and tables
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 30 mm
Weight
846 gr
ISBN-13
978-0-19-829354-5 (9780198293545)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Previous edition
Book
12/1992
Blackwell Publishers
€100.47
Article exhausted; check for reprint
Person
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.
Content
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 ; II. THE DEVELOPMENT OF EMPIRICAL MODELLING STRATEGIES ; 5. On the Time-Series Approach ; 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 the Tests of Dynamic Specification ; 8. Econometric Modelling of the Aggregate Tme-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 ; III. FORMALIZATION ; 13. The Structure of Simultaneous Equations Estimators ; 14. AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors ; 15. Exogenity ; 16. On the Formulation of Empirical Models in Dynamic Econometrics ; 17. The Econometric Analysis of Economic Time Series ; IV. RETROSPECT AND PROSPECT ; 18. Econometric Modelling: the 'Consumption Function' in Retrospect ; 19. Postscript: the Econometrics of PC-GIVE ; 20. Epilogue: the Success of General-to-Specific Model Selection