Jump to ContentJump to Main Navigation
Econometrics: Alchemy or Science?Essays in Econometric Methodology$
Users without a subscription are not able to see the full content.

David F. Hendry

Print publication date: 2000

Print ISBN-13: 9780198293545

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198293542.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 15 October 2019

On the Formulation of Empirical Models in Dynamic Econometrics

On the Formulation of Empirical Models in Dynamic Econometrics

Chapter:
(p.358) 16 On the Formulation of Empirical Models in Dynamic Econometrics
Source:
Econometrics: Alchemy or Science?
Author(s):

David F. Hendry (Contributor Webpage)

Jean‐François Richard

Publisher:
Oxford University Press
DOI:10.1093/0198293542.003.0017

Investigates the constructs of innovation errors, invariance, encompassing, and data admissibility, relates these to exogeneity and progressive research strategies, and introduces the notion of designing models to satisfy certain criteria to extend the manual of ‘good empirical practice’ through delineating more rigorous quality‐control procedures. Empirical models derive from the data generation process by reduction operations (such as marginalizing and conditioning), which induce transformed parameters and corresponding disturbance terms, which together determine the quality of an empirical model. A taxonomy of information sets exhaustively partitions available data into the six disjoint sets of the (relative) past, present, and future of the investigators own data, theory and measurement information, and evidence from rival models. Specific concepts correspond to each of the six elements in that partition, namely, innovation processes, exogeneity, invariance, theory consistency, data admissibility, and encompassing, These characterize the primary null hypotheses against which tests of different alternatives are conducted. Dynamic simulation is shown to be an inadequate model evaluation criterion.

Keywords:   data admissibility, dynamic simulation, encompassing, innovation errors, invariance, model design, progressive research strategy, taxonomy of information, theory consistency, weak exogeneity

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .