Chapter

Introduction

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0001

Series: Advanced Texts in Econometrics

 Introduction

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Econometric modelling of economic time series requires discovering sustainable and interpretable relationships between observed economic variables. Critical and constructive aspects are distinguished, and the roles of theories, instruments, and evidence discussed. A simple statistical mechanism, which could generate data with many of the salient features of observed time series, is analysed. An inconsistency between that and models fitted to the observed data, highlights the ease of critical evaluation, as against the difficulty of constructive progress. The concept of an empirical model is introduced.

Keywords: critical evaluation; econometric modelling; economic time series; empirical model; statistical mechanism

Chapter.  13885 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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