Econometrics, alchemy or science? : essays in econometric methodology
著者
書誌事項
Econometrics, alchemy or science? : essays in econometric methodology
Oxford University Press, 2000
New ed
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Econometrics : alchemy or science?
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注記
First ed. published: Blackwell, 1993
Includes bibliographical references (p. [491]-524) and index
内容説明・目次
内容説明
"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues.
The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and
simulation studies, it demonstrates that general-to-specific procedures have excellent properties.
The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated
model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.
目次
- I. ROOTS AND ROUTE MAPS
- 1. Econometrics - Alchemy or Science?
- 2. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
- 3. Testing Dynamic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom
- 4. Dynamic Specification
- II. THE DEVELOPMENT OF EMPIRICAL MODELLING STRATEGIES
- 5. On the Time-Series Approach
- 6. Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England
- 7. An Empirical Application and Monte Carlo Analysis of the Tests of Dynamic Specification
- 8. Econometric Modelling of the Aggregate Tme-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
- 9. Liquidity and Inflation Effects on Consumers' Expenditure
- 10. Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom
- 11. Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money
- 12. Monetary Economic Myth and Econometric Reality
- III. FORMALIZATION
- 13. The Structure of Simultaneous Equations Estimators
- 14. AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors
- 15. Exogenity
- 16. On the Formulation of Empirical Models in Dynamic Econometrics
- 17. The Econometric Analysis of Economic Time Series
- IV. RETROSPECT AND PROSPECT
- 18. Econometric Modelling: the 'Consumption Function' in Retrospect
- 19. Postscript: the Econometrics of PC-GIVE
- 20. Epilogue: the Success of General-to-Specific Model Selection
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