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PC-give and David Hendry's econometric methodology Author info | Abstract | Publisher info | Download info | Related research | Statistics Neil R. Ericsson
Julia Campos
Hong-Anh Tran
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This paper summarizes David Hendry's empirical econometric methodology, unifying discussions in many of his and his co-authors' papers. Then, we describe how Hendry's suite of computer programs PC-GIVE helps users implement that methodology. Finally, we illustrate that methodology and the programs with three empirical examples: postwar narrow money demand in the United Kingdom, nominal income determination in the United Kingdom from Friedman and Schwartz (1982), and consumers' expenditure in Venezuela. These examples help clarify the methodology's central concepts, which include cointegration, error-correction, general-to-simple modeling, dynamic specification, model evaluation and testing, parameter constancy, and exogeneity.
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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number
406.
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Date of creation: 1991Date of revision:
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Keywords: Econometric models ; Hendry ; David F. ; Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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Henrekson, Magnus & Persson, Mats, 2001.
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Jeroen J.M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992.
"The power of cointegration tests ,"
International Finance Discussion Papers
431, Board of Governors of the Federal Reserve System (U.S.).
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Other versions:
Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992.
"The Power of Cointegration Tests ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
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"Dollarization in Argentina ,"
International Finance Discussion Papers
460, Board of Governors of the Federal Reserve System (U.S.).
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Working Papers on International Economics and Finance
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"The Demand for Money in Australia: New Tests on an Old Topic ,"
RBA Research Discussion Papers
rdp9314, Reserve Bank of Australia.
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Baffes, John & Elbadawi, Ibrahim A. & O'Connell, Stephen A., 1997.
"Single-equation estimation of the equilibrium real exchange rate ,"
Policy Research Working Paper Series
1800, The World Bank.
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Neil R. Ericsson, 1991.
"Cointegration, exogeneity, and policy analysis: an overview ,"
International Finance Discussion Papers
415, Board of Governors of the Federal Reserve System (U.S.).
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Other versions: Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993.
"Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom ,"
International Finance Discussion Papers
457, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Julia Campos & Neil R. Ericsson, 2000.
"Constructive data mining: modeling consumers' expenditure in Venezuela ,"
International Finance Discussion Papers
663, Board of Governors of the Federal Reserve System (U.S.).
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Other versions: Kevin D. Hoover & Stephen J. Perez, .
"Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search ,"
Department of Economics
97-27, California Davis - Department of Economics.
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Other versions: Gordon de Brouwer & Neil R Ericsson, 1995.
"Modelling Inflation in Australia ,"
RBA Research Discussion Papers
rdp9510, Reserve Bank of Australia.
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Gordon de Brouwer & Neil R. Ericsson, 1995.
"Modelling inflation in Australia ,"
International Finance Discussion Papers
530, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] de Brouwer, Gordon & Ericsson, Neil R, 1998.
"Modeling Inflation in Australia ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 16(4), pages 433-49, October.
Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998.
"Exogeneity, cointegration, and economic policy analysis ,"
International Finance Discussion Papers
616, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998.
"Exogeneity, Cointegration, and Economic Policy Analysis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 16(4), pages 370-87, October.
Neil R. Ericsson & Sunil Sharma, 1996.
"Broad money demand and financial liberalization in Greece ,"
International Finance Discussion Papers
559, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Neil R. Ericsson, 1991.
"Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration ,"
International Finance Discussion Papers
412, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Ericsson, Neil R., 1992.
"Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration ,"
Journal of Policy Modeling ,
Elsevier, vol. 14(4), pages 465-495, August.
[Downloadable!] (restricted) Julia Campos & Neil R. Ericsson & David F. Hendry, 2005.
"General-to-specific modeling: an overview and selected bibliography ,"
International Finance Discussion Papers
838, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
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