PC-give and David Hendry's econometric methodology
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.
File(s): File format is text/html http://www.federalreserve.gov/pubs/ifdp/1991/406/default.htm
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/1991/406/ifdp406.pdf
Part of Series: International Finance Discussion Papers
Publication Date: 1991