Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Eighteen previously published papers discuss econometric methodology. Essays focus on econometrics--alchemy or science; stochastic specification in an aggregate demand model of the United Kingdom; dynamic specification; testing dynamic specification in small simultaneous systems; the times-series approach to econometric model building; serial correlation as a convenient simplification; an empirical application and Monte Carlo analysis of tests of dynamic specification; econometric modeling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom; liquidity and inflation effects on consumers' expenditure; interpreting econometric evidence and the behavior of consumers' expenditure in the United Kingdom; predictive failure and econometric modeling in macroeconomics--the transactions demand for money; monetary economic myth and econometric reality; the structure of simultaneous equations estimators; AUTOREG--a computer program library for dynamic econometric models with autoregressive errors; exogeneity; the formulation of empirical models in dynamic econometrics; the econometric analysis of economic time series; and econometric modeling and the consumption function in retrospect. Also includes a postscript on the econometrics of PC-GIVE. Preambles to each essay sketch the key points; the lessons learned by the author and the developments triggered; and the crucial issues missed at the time. Hendry is Professor of Economics at the University of Oxford and Fellow of Nuffield College. Bibliography; index.