Procrustean Econometrics: Stretching and Squeezing Data

David Hendry and Grayham Mizon

No 68, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: Recent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric models. We comment on a number of the constructive modelling strategies that have been proposed, and emphasise the importance of evaluating models, especially by checking whether they are congruent with the available information. This process of model evaluation is destructive rather than constructive, and the criteria it employs form a set of necessary, not sufficient, conditions for model adequacy.

Keywords: Econometric Models; Model Evaluation (search for similar items in EconPapers)
Date: 1985-10
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Citations: View citations in EconPapers (6)

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