Econometrics: Alchemy or Science?: Essays in Econometric Methodology

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9780198293545: Econometrics: Alchemy or Science?: Essays in Econometric Methodology

"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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

L'autore:

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.

Contenuti:

  • 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

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Leverhulme Personal Research Professor of Economics and Fellow David F Hendry
Editore: Oxford University Press, United Kingdom (2001)
ISBN 10: 0198293542 ISBN 13: 9780198293545
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Descrizione libro Oxford University Press, United Kingdom, 2001. Paperback. Condizione libro: New. 2nd ed.. 229 x 155 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. Codice libro della libreria AAV9780198293545

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Descrizione libro OUP Oxford, 2000. PAP. Condizione libro: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria LQ-9780198293545

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Descrizione libro Oxford University Press, United Kingdom, 2001. Paperback. Condizione libro: New. 2nd ed.. 229 x 155 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. Codice libro della libreria AAV9780198293545

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Descrizione libro Oxford University Press, 2017. Paperback. Condizione libro: New. This item is printed on demand. Codice libro della libreria 0198293542

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Descrizione libro Oxford University Press, USA, 2001. Paperback. Condizione libro: New. 2nd. Codice libro della libreria DADAX0198293542

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Descrizione libro Oxford University Press, 2001. Paperback. Condizione libro: New. book. Codice libro della libreria 0198293542

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Descrizione libro Oxford University Press. Paperback. Condizione libro: New. Paperback. 560 pages. Dimensions: 9.0in. x 6.1in. x 1.2in.Since the first edition of this book was published in 1993, David Hendrys 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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Codice libro della libreria 9780198293545

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David F. Hendry
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Descrizione libro Oxford Univ Pr, 2001. Paperback. Condizione libro: Brand New. 2nd edition. 560 pages. 9.25x6.25x1.25 inches. In Stock. Codice libro della libreria __0198293542

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