Información General

• Autores: Julia Campos Fernández (ed. lit.), Neil R. Ericsson (ed. lit.), David F. Hendry (ed. lit.)
• Editores: Edward Elgar
• Año de publicación: 2005
• País: Reino Unido
• Idioma: inglés
• ISBN: 1-85278-669-8
• Texto completo no disponible (Saber más ...)

Resumen

• This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling.

Otros catálogos

• Red de Bibliotecas Universitarias (REBIUN)

Esta obra consta de los siguientes volúmenes

• Vol. 1
• Vol. 2

Listado de artículos

• Vol. 1. 2005

  • Part I. Introduction to the methodology

    • Practitioners'corner: professor Hendry's econometric methodology

      Christopher L. Gilbert

      págs. 3-27

      

    • Econometric modelling: the "consumption function" in retrospect

      David F. Hendry

      págs. 28-55

      

    • LSE and the British approach to time series econometrics

      Christopher L. Gilbert

      págs. 56-76

      

    • On rereading Haavelmo: a retrospective view of econometric modeling

      Aris Spanos

      págs. 77-101

      

    • Three econometric methodologies: a critical appraisal

      Adrian Pagan

      págs. 102-123

      

    • Reflections on econometric methodology

      Peter C. B. Phillips

      págs. 124-139

      

    • PC-GIVE and David Hendry's econometric methodology

      Neil R. Ericsson, Julia Campos Fernández, Hong-Anh Tran

      págs. 140-250

      

  • Part II. Theory of reduction

    • Econometric methodology: a personal perspective

      David F. Hendry

      págs. 253-272

      

    • On the formulation of empirical models in dynamic econometrics

      David F. Hendry, Jean-François Richard

      págs. 273-303

      

    • When is an equation system complete for statistical purposes?

      Tjalling Charles Koopmans

      págs. 304-320

      

    • Some notes on the estimation of time-forms of reactions in interdependent dynamic systems

      William Phillips

      págs. 321-335

      

    • Models with several regimes and changes in exogeneity

      Jean-François Richard

      págs. 336-355

      

    • Exogeneity

      Robert F. Engle, David F. Hendry, Jean-François Richard

      págs. 356-383

      

  • Part III. Dynamic specification

    • Dynamic specification

      David F. Hendry, Adrian Pagan, Denis Sargan

      págs. 387-464

      

    • Serial correlation as a convenient simplification, not a nuisance: a comment on a study of the demand for money by the Bank of England

      David F. Hendry, Grayham E. Mizon

      págs. 465-479

      

    • Some tests of dynamic specification for a single equation

      Denis Sargan

      págs. 480-498

      

    • The maximun likelihood estimation of economic relationships with autoregressive residuals

      Denis Sargan

      págs. 499-511

      

    • Maximun likelihood estimation and inference on cointegration - With applications to the demand for money

      Søren Johansen, Katarina Juselius

      págs. 512-553

      

  • Part IV. Model selection procedures

    • The choice of the degree of a polynomial regression as a multiple decision problem

      T. W. Anderson

      págs. 557-567

      

    • A Monte Carlo comparison of traditional and Stein-Rule estimators under squared error loss

      Thomas A. Yancey, George G. Judge

      págs. 568-577

      

    • Model selection procedures

      Grayham E. Mizon

      págs. 578-601

      

    • The Bonferroni and the Scheffé multiple comparison procedures

      N.E. Savin

      págs. 602-620

      

    • A consistent model selection procedure based on m-testing

      Halbert White

      págs. 621-635

      

    • Optimal inference in cointegrated systems

      Peter C. B. Phillips

      págs. 636-659

      

• Vol. 2. 2005

  • Part I. Model selection criteria

    • Likelihood of a model and information criteria

      Hirotugu Akaike

      págs. 3-14

      

    • Estimating the dimension of a model

      Gideon Schwarz

      págs. 15-18

      

    • The determination of the order of an autoregression

      Edward J. Hannan, B.G. Quinn

      págs. 19-24

      

    • Likelihood ratios, posterior odds and information criteria

      A. C. Atkinson

      págs. 25-30

      

    • Testing separate families of hypotheses: an information criterion

      K.R. Sawyer

      págs. 31-41

      

    • Econometric model determination

      Peter C. B. Phillips

      págs. 42-91

      

  • Part II. Model comparison

    • Test of separate families of hypotheses

      D. R. Cox

      págs. 95-113

      

    • Further results on tests of separate families of hypotheses

      D. R. Cox

      págs. 114-132

      

    • Criteria for evaluation of econometric models

      Phoebus J. Dhrymes, E. Philip Howrey, Saul H. Hymans, Jan Kmenta, Edward, E. Leamer, Richard E. Quandt, James B. Ramsey, Harold T. Shapiro, Victor Zarnowitz

      págs. 133-166

      

    • On the general problem of model selection

      M. Hashem Pesaran

      págs. 167-185

      

  • Part III. Encompassing

    • The encompassing principle and its application to testing non-nested hypotheses

      Grayham E. Mizon, Jean-François Richard

      págs. 189-210

      

    • Recent developments in the theory of encompassing

      David F. Hendry, Jean-François Richard

      págs. 211-258

      

    • An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses

      Jeffrey M. Wooldridge

      págs. 259-278

      

    • The encompassing principle and hypothesis testing

      Maozu Lu, Grayham E. Mizon

      págs. 279-292

      

    • The encompassing implications of feedback versus feedforward mechanisms in econometrics

      David F. Hendry

      págs. 293-310

      

    • Econometric evaluation of linear macro-economic models

      Yock Y. Chong, David F. Hendry

      págs. 311-330

      

    • Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration

      Neil R. Ericsson

      págs. 331-361

      

    • Encompassing the forecasts of U.S. trade balance models

      Neil R. Ericsson, Jaime Marquez

      págs. 362-374

      

    • Evaluating dynamic econometric models by encompassing the VAR

      David F. Hendry, Grayham E. Mizon

      págs. 375-403

      

  • Part IV. Computer automation

    • Data mining

      Michael C. Lovell

      págs. 407-418

      

    • Data mining as a industry

      Frank T. Denton

      págs. 419-422

      

    • Data mining reconsidered: encompassing and the general-to-specific approach to specification search

      Kevin D. Hoover, Stephen J. Perez

      págs. 423-447

      

    • Improving on "Data mining reconsidered" by K.D. Hoover and S.J. Perez

      David F. Hendry, Hans-Martin Krolzig

      págs. 448-465

      

    • Reply to our discussants

      Kevin D. Hoover, Stephen J. Perez

      págs. 466-469

      

  • Part V. Empirical applications

    • The relation between the order-delivery lag and the rate of capacity utilization in the engineering industry in the United Kingdom, 1958-1967

      Pravin K. Trivedi

      págs. 473-486

      

    • Econometric modelling of the aggregate time-series relationship between consumer's expenditure and income in the United Kingdom

      págs. 487-518

      

    • Interpreting econometric evidence: the behaviour of consumer's expenditure in the UK

      James E.H. Davidson, David F. Hendry

      págs. 519-534

      

    • Predictive failure and econometric modelling in macroeconomics: the transactions demand for money

      David F. Hendry

      págs. 535-560

      

    • An encompassing test of two models of the balance of trade for Argentina

      Hildegart Ahumada

      págs. 561-580

      

    • A stable US money demand function, 1874-1975

      Ronald MacDonald, Mark P. Taylor

      págs. 581-588

      

    • Testing weak exogeneity and the order of cointegration in UK money demand data

      Søren Johansen

      págs. 589-610

      

    • The relationship between inflation and the budget deficit in Turkey

      Kivilcim Metin

      págs. 611-621

      

    • Constructive data mining: modeling consumer's expenditure in Venezuela

      Julia Campos Fernández, Neil R. Ericsson

      págs. 622-636