Econometrics Alchemy or Science Essays in Econometric Methodology [Paperback]

Since the first edition of this book was published in 1993, David Hendry's work on econometric methodology has become increasingly influential. In this edition he presents a brand new paper which compellingly explains the logic of his general approach to econometric modeling and describes recent major advances in computer-automated modeling, which establish the success of the proposed strategy. Empirical studies of consumers' expenditure and money demands illustrate the methods in action. The breakthrough presented here will make econometric testing much easier.

I. Roots and Route Maps
1. Econometrics -- Alchemy or Science?
2. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
3. Testing Dynmaic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom
4. Dynamic Specification
II. The Development of Empirical Modelling Strategies
5. On the Time-Series Approach
6. Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England
7. An Empirical Application and Monte Carlo Analysis of the Tests of Dynamic Specification
8. Econometric Modelling of the Aggregate Tme-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
9. Liquidity and Inflation Effects on Consumers' Expenditure
10. Interpreting Econometric Evidence: The Behaviour of Consumres' Expenditure in the United Kingdom
11. Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money
12. Monetary Economic Myth and Econometric Reality
III. Formalization
13. The Structure of Simultaneous Equations Estimators
14. AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors
15. Exogenity
16. On the Formulation of Empirical Models in Dynamic Econometricl3U