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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page PC-GIVE and David Hendry's Econometric Methodology
Neil R. Ericsson, Julia Campos, and Hong-Anh Tran
1991-406  (August 1991)

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: 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.

Full paper(1165 KB PDF)

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

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