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Econometrics: Alchemy or Science?Essays in Econometric Methodology$
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David F. Hendry

Print publication date: 2000

Print ISBN-13: 9780198293545

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198293542.001.0001

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Postscript: The Econometrics of PC‐GIVE

Postscript: The Econometrics of PC‐GIVE

Chapter:
(p.444) 19 Postscript: The Econometrics of PC‐GIVE
Source:
Econometrics: Alchemy or Science?
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198293542.003.0020

The model class is summarized in terms of the properties of specific linear models, including cointegration and equilibrium (error) correction. Model evaluation is based on the associated information taxonomy, for sequential conditioning, exogeneity, invariance, constancy and recursivity, and encompassing. The theory of reduction provides a basis for general‐to‐specific modelling. Test types, modelling strategies, and system estimation are also briefly discussed.

Keywords:   cointegration, encompassing, equilibrium correction, exogeneity, general‐to‐specific modelling, invariance, linear models, model evaluation, sequential conditioning, system estimation

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