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Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom

In: A Celebration of Statistics

Author

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  • Neil R. Ericsson
  • D. F. Hendry

Abstract

The statistical formulation of the econometric model is viewed as a sequence of marginalizing and conditioning operations which reduce the parametrization to managable 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 modeling 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.

Suggested Citation

  • Neil R. Ericsson & D. F. Hendry, 1985. "Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom," Springer Books, in: Anthony C. Atkinson & Stephen E. Fienberg (ed.), A Celebration of Statistics, chapter 0, pages 251-285, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-8560-8_11
    DOI: 10.1007/978-1-4613-8560-8_11
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