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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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Dynamic Specification

Dynamic Specification

Chapter:
(p.72) 4 Dynamic Specification
Source:
Econometrics: Alchemy or Science?
Author(s):

David F. Hendry (Contributor Webpage)

Adrian R. Pagan

J. Denis Sargan

Publisher:
Oxford University Press
DOI:10.1093/0198293542.003.0005

This survey provides a route map, sketching the major issues, models, concepts, and techniques. A taxonomy of model types is presented, each being examined for advantages and drawbacks as a generic form. Exogeneity and the overall model reduction framework are described. Systems are considered, and the problem of testing autoregressive errors against mis‐specification of the lag structure is resolved using the notion of common factors in lag polynomials.

Keywords:   common factors, dynamic mis‐specification, dynamic systems, exogeneity, model reduction, model types

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