Reflections on Econometric Methodology

Peter Phillips

No 893, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: General issues about the methodology of empirical econometric research are discussed. It is argued that the most successful paradigms for applied work are the ones that have a capacity to survive and to evolve into more useful forms as these are needed. Paradigms that embrace progressive modeling principles, such as those espoused by David Hendry, seem most amenable to this criterion. It is also argued that econometric theory has a large role to play in helping us to understand the strengths and the weaknesses of a methodology and to codify what its prescriptions entail. The time series methodology of David Hendry is considered in some detail. It is shown that the Hendry methodology comes remarkable close to achieving an optimal inference procedure for long run structural relationships even though it is conducted on a single equation basis. The findings indicate that the methodology may be improved further to achieve results that are equivalent to optimal estimation.

Keywords: Methodology; econometrics; empirical research; structural relationships (search for similar items in EconPapers)
Pages: 42 pages
Date: 1988-12
Note: CFP 727.
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Citations: View citations in EconPapers (39)

Published in The Economic Record (December 1988), 344-359

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