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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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On the Time‐Series Approach to Econometric Model Building

On the Time‐Series Approach to Econometric Model Building

Chapter:
(p.119) 5 On the Time‐Series Approach to Econometric Model Building
Source:
Econometrics: Alchemy or Science?
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198293542.003.0006

The ‘time‐series’ approach to econometrics is critically evaluated, and analytical test power response surfaces presented. Non‐stationarity, differencing and ‘error‐correction’ models (though not yet named) are discussed. Residual autocorrelation is reinterpreted using Sargan's common factor approach, and embryonic ideas presented on how to explain competing models’ findings to reduce the proliferation of conflicting results. Finally, the respective roles of criticism and construction are considered.

Keywords:   common factor, conflicting results, construction, criticism, differencing, non‐stationarity, residual autocorrelation, test power response surfacestime series

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