Postscript: The Econometrics of PC‐GIVE

David F. Hendry

in Econometrics: Alchemy or Science?

Published in print October 2000 | ISBN: 9780198293545
Published online November 2003 | e-ISBN: 9780191596391 | DOI:
 Postscript: The Econometrics of PC‐GIVE

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The model class is summarized in terms of the properties of specific linear models, including cointegration and equilibrium (error) correction. Model evaluation is based on the associated information taxonomy, for sequential conditioning, exogeneity, invariance, constancy and recursivity, and encompassing. The theory of reduction provides a basis for general‐to‐specific modelling. Test types, modelling strategies, and system estimation are also briefly discussed.

Keywords: cointegration; encompassing; equilibrium correction; exogeneity; general‐to‐specific modelling; invariance; linear models; model evaluation; sequential conditioning; system estimation

Chapter.  12570 words. 

Subjects: Econometrics and Mathematical Economics

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