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

In: A Celebration of Statistics

Author

Listed:
  • 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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    2. Bar-Nathan, Moshe & Beenstock, Michael & Haitovsky, Yoel, 1998. "The market for housing in Israel," Regional Science and Urban Economics, Elsevier, vol. 28(1), pages 21-49, January.
    3. Ericsson, Neil R., 1995. "Conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 159-171, September.
    4. 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.
    5. Espasa, Antoni, 1994. "Aproximaciones a la Econometría," DES - Documentos de Trabajo. Estadística y Econometría. DS 2943, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Olympia Bover, 1993. "Un modelo empírico de la evolución de los precios de la vivienda en España," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 65-86, January.
    7. Moshe Bar ­Nathan & Michael Beenstock & Yoel Haitovsky, 1995. "An Econometric Model Of The Israeli Housing Market," Bank of Israel Working Papers 1995.02, Bank of Israel.
    8. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

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