Econometrics: Alchemy or Science? Essays in Econometric Methodology - Softcover

Hendry, David F.

Softcover

ISBN 10: 0198293542 ISBN 13: 9780198293545

Publisher: Oxford University Press, U.S.A., 2007

Synopsis

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.

About this title

Review:

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)

Synopsis:

"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.

About this edition

• Publisher: Oxford University Press, U.S.A.
• Publication date: 2007
• ISBN 10: 0198293542
• ISBN 13: 9780198293545
• Binding: Paperback
• Edition number: 2
• Number of pages: 564