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David F. Hendry - One of the best experts on this subject based on the ideXlab platform.
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Econometric Methodology a personal perspective
General-to-specific modelling Vol. 1 2005 ISBN 1-85278-669-8 págs. 253-272, 2005Co-Authors: David F. HendryAbstract:Four methodological prescriptions for empirical research I do not wish to address “Methodology” with a capital M in the sense of the meaning of life, of probability, and the definitions of truth, understanding, and progress. If we do not share roughly common notions and concepts from the outset, nothing I can write in the space of this essay will help resolve that state. Instead, given that the primary objective of Econometric modelling is to provide an “explanation” for actual economic behaviour (which can include descriptive and predictive aims as well), I seek to communicate the broad framework of my approach and some of the principles and practical procedures it entails. Over a period of about 20 years of analysing empirical phenomena, I have noted down four golden prescriptions for those who seek to study data: I. THINK BRILLIANTLY. This helps greatly, especially if you can think of the right answer at the start of a study! Then Econometrics is only needed to confirm your brilliance, calibrate the model, and demonstrate that it indeed passes all the tests. II. BE INFINITELY CREATIVE . Be assured that this is an almost perfect substitute for brilliant thinking, enabling one to invent truly excellent models en route and so achieve essentially the same end state.
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general to specific modeling an overview and selected bibliography
2005Co-Authors: Julia Campos, Neil R Ericsson, David F. HendryAbstract: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.
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j denis sargan and the origins of lse Econometric Methodology
Econometric Theory, 2003Co-Authors: David F. HendryAbstract:I review the part played by John Denis Sargan in the formation of the "LSE approach" to dynamic Econometric modeling. Despite his unassuming demeanor and his location at LSE-which had earlier dismissed a substantive role for Econometric evidence-Sargan nevertheless radically altered the Econometric approach of a generation, establishing a powerful approach to empirical modeling of economic time series. His main contributions to Econometric Methodology, and the subsequent research, are discussed as a complement to the other papers in this memorial volume.
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achievements and challenges in Econometric Methodology
Journal of Econometrics, 2001Co-Authors: David F. HendryAbstract:Abstract Disputes about Econometric Methodology have abounded in Econometrics, yet their attempted resolution has attracted only a small proportion of research effort. Recently, computer-automated general-to-specific reductions have been shown to perform well in Monte Carlo experiments, recovering the DGP specification from a much larger general model with size and power close to commencing from the DGP itself. Thus, future developments appear promising, with many ideas awaiting implementation and both theoretical and simulation evaluation.
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Econometrics alchemy or science essays in Econometric Methodology
2000Co-Authors: David F. HendryAbstract: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
Cabello Puelles, Kimberly Milagros - One of the best experts on this subject based on the ideXlab platform.
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Exportaciones y crecimiento económico en Perú: un análisis de cointegración ,1980 – 2016
Universidad Privada del Norte, 2020Co-Authors: Angulo Delgado, Diana Katherine, Cabello Puelles, Kimberly MilagrosAbstract:RESUMEN Bajo la hipótesis Export-Led Growth; es decir, que las exportaciones y el crecimiento económico tienen una relación positiva, es que da inicio a esta labor de investigación. Para analizar dichas variables hemos considerado el intervalo de tiempo que comprende desde el año 1980 al 2016. Durante este periodo de tiempo se ha suscitado una serie de acontecimientos que abarcan desde los ámbitos políticos, económicos e históricos del Perú, con lo cual evidenciaremos el tipo de relación que tienen dichas variables; para así aceptar o rechazar la hipótesis planteada en nuestra investigación a través de la metodología econométrica de cointegración. Para dicha metodología emplearemos el test de cointegración de Johansen, el test de causalidad de Engels- Granger, el test de raíces unitarias y debido a que coyuntura de la economía peruana pasó por diferentes crisis económicas se procedió a la corrección de quiebres estructurales; utilizando para ello datos trimestrales de nuestras variables de estudio.ABSTRACT Under the Export-Led Growth hypothesis; wich means, that exports and economic growth have a positive relationship, it's that this research work begins. In order to analyze these variables, we have considered the time interval between 1980 and 2016. During this period, a series of events have arisen from the political, economic and historical spheres of Peru, which will show the type of relationship that these variables have in order to accept or reject the hypothesis raised in our research through the Econometric Methodology of cointegration. For this Methodology we will use the Johansen cointegration test, the Engels-Granger causality test, the unit root test and due to the situation of the Peruvian economy in that time interval the correction of breakpoints will be performed; using quarterly data of our variables to study. Finally, the hypothesis will be demonstrated through the Econometric model with real figures and subsequent pertinent recommendations
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Exportaciones y crecimiento económico en Perú: un análisis de cointegración,1980 – 2016
Universidad Privada del Norte, 2020Co-Authors: Angulo Delgado, Diana Katherine, Cabello Puelles, Kimberly MilagrosAbstract:RESUMEN Bajo la hipótesis Export-Led Growth; es decir, que las exportaciones y el crecimiento económico tienen una relación positiva, es que da inicio a esta labor de investigación. Para analizar dichas variables hemos considerado el intervalo de tiempo que comprende desde el año 1980 al 2016. Durante este periodo de tiempo se ha suscitado una serie de acontecimientos que abarcan desde los ámbitos políticos, económicos e históricos del Perú, con lo cual evidenciaremos el tipo de relación que tienen dichas variables; para así aceptar o rechazar la hipótesis planteada en nuestra investigación a través de la metodología econométrica de cointegración. Para dicha metodología emplearemos el test de cointegración de Johansen, el test de causalidad de Engels- Granger, el test de raíces unitarias y debido a que coyuntura de la economía peruana pasó por diferentes crisis económicas se procedió a la corrección de quiebres estructurales; utilizando para ello datos trimestrales de nuestras variables de estudio. Finalmente, se demostrará la hipótesis a través del modelo econométrico con cifras reales y posteriores a ello las recomendaciones pertinentes. PALABRAS CLAVE: exportaciones, exportaciones tradicionales, exportaciones no tradicionales, crecimiento económico, modelo de cointegración, test de cointegración de Johansen y causalidad de Granger.ABSTRACT Under the Export-Led Growth hypothesis; wich means, that exports and economic growth have a positive relationship, it's that this research work begins. In order to analyze these variables, we have considered the time interval between 1980 and 2016. During this period, a series of events have arisen from the political, economic and historical spheres of Peru, which will show the type of relationship that these variables have in order to accept or reject the hypothesis raised in our research through the Econometric Methodology of cointegration. For this Methodology we will use the Johansen cointegration test, the Engels-Granger causality test, the unit root test and due to the situation of the Peruvian economy in that time interval the correction of breakpoints will be performed; using quarterly data of our variables to study. Finally, the hypothesis will be demonstrated through the Econometric model with real figures and subsequent pertinent recommendations. KEYWORDS: exports, traditional exports, non-traditional exports, economic growth; cointegration model, johansen cointegration test and granger causality
Alastair Gray - One of the best experts on this subject based on the ideXlab platform.
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ageing and health care expenditure the red herring argument revisited
Health Economics, 2004Co-Authors: Meena Seshamani, Alastair GrayAbstract:Zweifel and colleagues have previously proposed that proximity to death is a more important influence on health-care costs than age, suggesting that demographic change per se will not have a large impact on future aggregate health expenditure. However, issues of Econometric Methodology have led to challenges of the robustness of these findings. This paper revisits the analysis. Using a longitudinal hospital data set from Oxfordshire, England, the two-step Heckman model from the Zweifel study is first replicated, to find that neither age nor proximity to death have a significant effect on hospital costs. Econometric problems with the model are demonstrated, and instead a two-part model shows both age and proximity to death to have significant effects on quarterly hospital costs. Cost predictions, calculated with bootstrapped 95% confidence intervals, further demonstrate that while age may significantly affect quarterly costs, these cost changes are small compared to the tripling of quarterly costs that occurs with approaching death in the last year of life. The analyses show the importance of model selection to properly assess the determinants of health-care expenditures.
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ageing and health care expenditure the red herring argument revisited
Health Economics, 2004Co-Authors: Meena Seshamani, Alastair GrayAbstract:Zweifel and colleagues have previously proposed that proximity to death is a more important influence on health-care costs than age, suggesting that demographic change per se will not have a large impact on future aggregate health expenditure. However, issues of Econometric Methodology have led to challenges of the robustness of these findings. This paper revisits the analysis. Using a longitudinal hospital data set from Oxfordshire, England, the two-step Heckman model from the Zweifel study is first replicated, to find that neither age nor proximity to death have a significant effect on hospital costs. Econometric problems with the model are demonstrated, and instead a two-part model shows both age and proximity to death to have significant effects on quarterly hospital costs. Cost predictions, calculated with bootstrapped 95% confidence intervals, further demonstrate that while age may significantly affect quarterly costs, these cost changes are small compared to the tripling of quarterly costs that occurs with approaching death in the last year of life. The analyses show the importance of model selection to properly assess the determinants of health-care expenditures. Copyright © 2003 John Wiley & Sons, Ltd.
Angulo Delgado, Diana Katherine - One of the best experts on this subject based on the ideXlab platform.
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Exportaciones y crecimiento económico en Perú: un análisis de cointegración ,1980 – 2016
Universidad Privada del Norte, 2020Co-Authors: Angulo Delgado, Diana Katherine, Cabello Puelles, Kimberly MilagrosAbstract:RESUMEN Bajo la hipótesis Export-Led Growth; es decir, que las exportaciones y el crecimiento económico tienen una relación positiva, es que da inicio a esta labor de investigación. Para analizar dichas variables hemos considerado el intervalo de tiempo que comprende desde el año 1980 al 2016. Durante este periodo de tiempo se ha suscitado una serie de acontecimientos que abarcan desde los ámbitos políticos, económicos e históricos del Perú, con lo cual evidenciaremos el tipo de relación que tienen dichas variables; para así aceptar o rechazar la hipótesis planteada en nuestra investigación a través de la metodología econométrica de cointegración. Para dicha metodología emplearemos el test de cointegración de Johansen, el test de causalidad de Engels- Granger, el test de raíces unitarias y debido a que coyuntura de la economía peruana pasó por diferentes crisis económicas se procedió a la corrección de quiebres estructurales; utilizando para ello datos trimestrales de nuestras variables de estudio.ABSTRACT Under the Export-Led Growth hypothesis; wich means, that exports and economic growth have a positive relationship, it's that this research work begins. In order to analyze these variables, we have considered the time interval between 1980 and 2016. During this period, a series of events have arisen from the political, economic and historical spheres of Peru, which will show the type of relationship that these variables have in order to accept or reject the hypothesis raised in our research through the Econometric Methodology of cointegration. For this Methodology we will use the Johansen cointegration test, the Engels-Granger causality test, the unit root test and due to the situation of the Peruvian economy in that time interval the correction of breakpoints will be performed; using quarterly data of our variables to study. Finally, the hypothesis will be demonstrated through the Econometric model with real figures and subsequent pertinent recommendations
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Exportaciones y crecimiento económico en Perú: un análisis de cointegración,1980 – 2016
Universidad Privada del Norte, 2020Co-Authors: Angulo Delgado, Diana Katherine, Cabello Puelles, Kimberly MilagrosAbstract:RESUMEN Bajo la hipótesis Export-Led Growth; es decir, que las exportaciones y el crecimiento económico tienen una relación positiva, es que da inicio a esta labor de investigación. Para analizar dichas variables hemos considerado el intervalo de tiempo que comprende desde el año 1980 al 2016. Durante este periodo de tiempo se ha suscitado una serie de acontecimientos que abarcan desde los ámbitos políticos, económicos e históricos del Perú, con lo cual evidenciaremos el tipo de relación que tienen dichas variables; para así aceptar o rechazar la hipótesis planteada en nuestra investigación a través de la metodología econométrica de cointegración. Para dicha metodología emplearemos el test de cointegración de Johansen, el test de causalidad de Engels- Granger, el test de raíces unitarias y debido a que coyuntura de la economía peruana pasó por diferentes crisis económicas se procedió a la corrección de quiebres estructurales; utilizando para ello datos trimestrales de nuestras variables de estudio. Finalmente, se demostrará la hipótesis a través del modelo econométrico con cifras reales y posteriores a ello las recomendaciones pertinentes. PALABRAS CLAVE: exportaciones, exportaciones tradicionales, exportaciones no tradicionales, crecimiento económico, modelo de cointegración, test de cointegración de Johansen y causalidad de Granger.ABSTRACT Under the Export-Led Growth hypothesis; wich means, that exports and economic growth have a positive relationship, it's that this research work begins. In order to analyze these variables, we have considered the time interval between 1980 and 2016. During this period, a series of events have arisen from the political, economic and historical spheres of Peru, which will show the type of relationship that these variables have in order to accept or reject the hypothesis raised in our research through the Econometric Methodology of cointegration. For this Methodology we will use the Johansen cointegration test, the Engels-Granger causality test, the unit root test and due to the situation of the Peruvian economy in that time interval the correction of breakpoints will be performed; using quarterly data of our variables to study. Finally, the hypothesis will be demonstrated through the Econometric model with real figures and subsequent pertinent recommendations. KEYWORDS: exports, traditional exports, non-traditional exports, economic growth; cointegration model, johansen cointegration test and granger causality
Michael R Wickens - One of the best experts on this subject based on the ideXlab platform.
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real business cycle analysis a needed revolution in macroEconometrics
The Economic Journal, 1995Co-Authors: Michael R WickensAbstract:The contention of this paper is that real business cycle (RBC) analysis has highlighted fundamental flaws in the underlying macroeconomic theory and Econometric Methodology of traditional macroEconometric model building, but by stating its message crudely and proposing an inferior statistical procedure has failed to receive the recognition it deserves. Properly understood, the lessons to be learned from RBC analysis, combined with the new approach of bringing evidence to bear proposed here, would amount to a revolution in macroEconometric Methodology. The outcome of this revolution would be a macroEconometrics better based on macroeconomic theory, and a macroeconomics more consistent with the evidence. The main failing of most macroEconometric models is in not taking macroeconomic theory seriously enough with the result that little or nothing is learned about key parameter values, a fault no amount of Econometric sophistication will compensate for. Consequently, macroEconometrics has had surprisingly little influence on macroeconomic theory (or macroeconomics teaching), and even the main users of macroEconometric models business, government, the monetary authorities and other national and international bodies are reluctant to employ them for anything other than short-term forecasting. The popular view of RBC analysis is that it is about whether technology shocks are the predominant cause of aggregate output fluctuations, and whether calibration rather than standard Econometric methods should be used to analyse this question. Although this may be a reasonable description of the initial work of Kydland and Prescott (I982) and Prescott (i 986), subsequent developments make it outdated and obscure its fundamental insights. In fact RBC theory is part of a research programme which can be traced back to Ramsey and is associated in modern times with Lucas, in which the aim is to bring out the general equilibrium, inter-temporal, characteristics of macroeconomics before turning to (the more difficult) issues of disequilibrium. In large part the stimuli for adopting the Ramsey approach were the now well known criticisms of macroEconometric models made by Lucas (I976) who argued that macroeconomics should be built on the same theoretical foundations as microeconomics. In addition to the weak theoretical foundations of these models, Lucas objected to the way in which the Econometric methods used lent themselves to ambiguous interpretations. A good example of this is the difficulty of deciding what meaning to give to observed dynamics. The new
