Pc-Give and David Hendry'S Econometric Methodology

Neil R. Ericsson · Julia Campos · Hong-Anh Tran

98 citations0/0 files storedBrazilian Review of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 98 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence 1987Time Series Regression with a Unit Root 1981Some properties of time series data and their use in econometric model specification

Cited by

2004Truth and Robustness in Cross‐country Growth Regressions*1996HAZARDS IN IMPLEMENTING A MONETARY CONDITIONS INDEX 1998A Structured VAR for Denmark Under Changing Monetary Regimes 1993VAR modelling and Haavelmo's probability approach to macroeconomic modelling 1999A Dynamic Model of Inflation for Kenya, 1974–1996

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.