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

David F. Hendry

Abstract

This collection of published papers records the development of an approach to econometric modelling that has reached a highly successful stage. The methodology of modelling ‘observational data’, as opposed to experimental data, which can be replicated, is analysed to highlight the fundamental flaws in various approaches, and the possibilities of others. Criteria for model adequacy are formulated (congruence and encompassing), and alternative approaches to building empirical models are compared on their ability to deliver such models. A typology of models elucidates their properties, and a taxo ... More

Keywords: automatic model selection, congruence, econometric methodology, encompassing, estimator generating equation, exogeneity, general‐to‐specific modelling, Monte Carlo simulations, reduction, taxonomy of information

Bibliographic Information

Print publication date: 2000 Print ISBN-13: 9780198293545
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198293542.001.0001

Authors

Affiliations are at time of print publication.

David F. Hendry, author
Nuffield College, Oxford
Author Webpage

Contents

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Part I Roots and Route Maps

4 Dynamic Specification

with Adrian R. Pagan and J. Denis Sargan

15 Exogeneity

with Robert F. Engle and Jean‐François Richard