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Econometrics: Alchemy or Science?Essays in Econometric Methodology$
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David F. Hendry

Print publication date: 2000

Print ISBN-13: 9780198293545

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198293542.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 12 June 2021

On the Time‐Series Approach to Econometric Model Building

On the Time‐Series Approach to Econometric Model Building

(p.119) 5 On the Time‐Series Approach to Econometric Model Building
Econometrics: Alchemy or Science?

David F. Hendry (Contributor Webpage)

Oxford University Press

The ‘time‐series’ approach to econometrics is critically evaluated, and analytical test power response surfaces presented. Non‐stationarity, differencing and ‘error‐correction’ models (though not yet named) are discussed. Residual autocorrelation is reinterpreted using Sargan's common factor approach, and embryonic ideas presented on how to explain competing models’ findings to reduce the proliferation of conflicting results. Finally, the respective roles of criticism and construction are considered.

Keywords:   common factor, conflicting results, construction, criticism, differencing, non‐stationarity, residual autocorrelation, test power response surfacestime series

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