Econometrics: Alchemy or Science?
Essays in Econometric Methodology
By (author) David F. Hendry
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Econometrics: Alchemy or Science? by David F. Hendry
Book 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.
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Book DetailsISBN: 9780198293545
(235mm x 156mm x 30mm)
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 26-Oct-2000
Country of Publication: United Kingdom
Books By Author David F. Hendry
[Oxford] Handbook of Economic Forecasting, Hardback (July 2011)
This Handbook provides up-to-date coverage of both new developments and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and are authoritative yet accessible.
Econometric Modeling, Paperback (March 2007)
The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. Focusing on modeling, this book aims to give students the statistical foundations of estimation and inference, and also presents a thorough understanding of econometric techniques.
Nonlinear Econometric Modeling in Time Series, Paperback (November 2006)» View all books by David F. Hendry
This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.
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Author Biography - David F. Hendry
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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