Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom

Neil R. Ericsson and David Hendry

Chapter Chapter 11 in A Celebration of Statistics, 1985, pp 251-285 from Springer

Abstract: Abstract The statistical formulation of the econometric model is viewed as a sequence of marginalizing and conditioning operations which reduce the parametrization to managable dimensions. Such operations entail that the “error” is a derived rather than an autonomous process, suggesting designing the model to satisfy data-based and theory criteria. The relevant concepts are explained and applied to data modeling of UK new house prices in the framework of an economic theory-model of house builders. The econometric model is compared with univariate time-series models and tested against a range of alternatives.

Keywords: conditional models; diagnostic testing; dynamics; evaluation criteria; exogeneity; expectations; house prices; information sets; marginalizing; time series (search for similar items in EconPapers)
Date: 1985
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Working Paper: Conditional econometric modelling: an application to new house prices in the United Kingdom (1985)
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DOI: 10.1007/978-1-4613-8560-8_11

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