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The first stage in HendryÕs reduction theory revisited

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Author Info
SUCARRAT, Genaro
Abstract

The reduction theory of David F. Hendry provides a comprehensive probabilistic framework for the analysis and classification of the reductions associated with empirical econometric models. However, it is unable to provide an analysis on the sameunderlying probability space of the first reduction - and hence the subsequent reductions - given a commonplace theory of social reality, namely the joint hypotheses that the course of history is indeterministic, that history does not repeat itself, and that the future depends on the past. As a solution this essay proposes that the elements of the underlying outcome space in Hendry's theory are interpreted as indeterministic worlds made up of historically inherited particulars.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2006082.

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Date of creation: 01 Sep 2006
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Handle: RePEc:cor:louvco:2006082

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Related research
Keywords: theory of reduction; DGP; possible worlds; measurement error; probabilistic causality;

Find related papers by JEL classification:
B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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  1. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
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  2. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier. [Downloadable!] (restricted)
  3. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department. [Downloadable!]
  4. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  5. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  6. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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