PC-give and David Hendry's econometric methodology

Neil R. Ericsson (), Julia Campos and Hong-Anh Tran

No 406, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

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.

Keywords: Econometric models; Hendry, David F. (search for similar items in EconPapers)
Date: 1991
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