Conditional econometric modelling: an application to new house prices in the United Kingdom

Neil Ericsson and David Hendry

No 254, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The statistical formulation of the econometric model is viewed as a sequence of marginalizing and conditioning operations which reduce the parameterization to manageable 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 modelling 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.

Date: 1985
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