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Working Paper
PC-give and David Hendry's econometric methodology
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 ...
Working Paper
Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom
Virtually all previous narrow money demand studies for the United Kingdom have used seasonally adjusted data for money, prices, and expenditure. This paper develops a constant, data-coherent M1 demand equation for the United Kingdom with seasonally unadjusted data. For that model, we address issues of cointegration, error correction, generalto-specific modeling, dynamic specification, model evaluation and testing, parameter constancy, and exogeneity. We also establish theoretical and empirical relationships between seasonally adjusted and unadjusted data, and so between models using those ...