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Econometrics: Alchemy or Science? Essays in Econometric Methodology

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This book is available in Oxford Scholarship Online - view abstracts and keywords at book and chapter level.

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Econometrics & Mathematical Economics

Finance

Business & Management

Econometrics: Alchemy or Science?

Essays in Econometric Methodology

New Edition

David F. Hendry

560 pages | numerous figures and tables | 234x156mm

978-0-19-829354-5 | Paperback | 26 October 2000

Price: £43.00

This item is printed to order. Items which are printed to order are normally despatched and charged within 5-10 days.

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Explains the evolution of an effective econometric methodology for analysing economic time series
Describes major advances in computer-automated model selection, which establish the success of the modelling strategy
Includes detailed empirical studies of consumers' expenditure and money demands

"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues.

The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties.

The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.

Readership: Academics and graduate students in the fields of theoretical and applied econometrics, statistics, economics and business studies/management, economics and finance.

The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.

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Econometrics: Alchemy or Science?

Essays in Econometric Methodology

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