International Finance Discussion Papers (IFDP)
August 1991
PC-GIVE and David Hendry's Econometric Methodology
Neil R. Ericsson, Julia Campos, and Hong-Anh Tran
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.
Keywords: Cointegration, conditional models, dynamic specification, encompassing, error-correction models, exogeneity, general-to-simple modeling, Hendry, model evaluation, parameter constancy, sequential reduction, testing
PDF: Full Paper
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