Conditional econometric modelling : an application to new house prices in the United Kingdom
AbstractThe statistical formulation of the econometric model is viewed as a sequence of marginalizing and conditioning operations which reduce the parameterization to manageable dimensions. Such operations entail that the "error" is a derived rather than an autonomous process, suggesting designing the model to satisfy data-based and theory criteria. The relevant concepts are explained and applied to data modelling of UK new house prices in the framework of an economic theory-model of house builders. The econometric model is compared with univariate time-series models and tested against a range of alternatives.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 254.
Date of creation: 1985
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