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Dynamic Econometrics$
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David F. Hendry

Print publication date: 1995

Print ISBN-13: 9780198283164

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198283164.001.0001

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Encompassing

Encompassing

Chapter:
(p.501) 14 Encompassing
Source:
Dynamic Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198283164.003.0014

Encompassing seeks to resolve the proliferation of rival models for the same data set by requiring any given model to account for the results obtained by other models, whether nested or non‐nested. Encompassing is reflexive and anti‐symmetric, but not transitive, whereas parsimonious encompassing (a small model explaining a larger model within which it is embedded) is transitive and invariant under isomorphic re‐specification. The Lucas critique for feedback against expectational models is analysed in terms of encompassing and super exogeneity, making such claims refutable as well as confirmable.

Keywords:   encompassing, expectational models, feedback, Lucas critique, non‐nested hypotheses, parsimonious encompassing, rival models

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