Pc-Give and David Hendry'S Econometric Methodology

Authors

  • Neil R. Ericsson International Finance Division, Federal Reserve Board, Washington, D.C. 20551 U.S.A.
  • Julia Campos Banco Central de Venezuela, Carmelitas, Caracas 10l0, Venezuela
  • Hong-Anh Tran International Finance Division, Federal Reserve Board, Washington, D.C. 20551 U.S.A.

DOI:

https://doi.org/10.12660/bre.v10n11990.3021

Keywords:

cointegration, conditional models, dynamic specification, encompassing, error-correction models, exogeneity, general-to-simple modeling, Hendry, model evaluation, parameter constancy, sequential reduction, testing.

Abstract

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: post-war 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 modelling, dynamic specification, model evaluation and testing, parameter constancy, and exogeneity.

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Published

1990-04-01

Issue

Vol. 10 No. 1 (1990)

Section

Articles