Palgrave Handbook of Econometrics: Applied Econometrics

32 Methodology of Empirical Econometric Modeling 1.4.5.1 Weak exogeneity The notion of exogeneity, or synonyms thereof, in relat ...

David F. Hendry 33 then it is easy to construct scenarios whereβis much more efficient than̂β. Consequently, even in simple regr ...

34 Methodology of Empirical Econometric Modeling For some parameter values in the DGP, the conditional expectation will coincide ...

David F. Hendry 35 occurs to changes across different “regimes” (see, e.g., Heckman, 2000; Hendry, 2004; and the references ther ...

36 Methodology of Empirical Econometric Modeling so given (1.25): E [ yt|zt ] =μy−γ′μz+γ′zt=(β−γ)′μz+γ′zt, (1.32) which coincide ...

David F. Hendry 37 and sufficient in simultaneous systems when the restrictions are given by subject- matter theory: we could ca ...

38 Methodology of Empirical Econometric Modeling 1993). The main problem for economic forecasting using econometric models is th ...

David F. Hendry 39 that assumption corresponds to agents knowing precisely what the conditioning operator is. In a stationary wo ...

40 Methodology of Empirical Econometric Modeling The New Keynesian Phillips curve is perhaps the best-known model which includes ...

David F. Hendry 41 shall end in doubts; but if he will be content to begin with doubts he shall end in certainties.” Conversely, ...

42 Methodology of Empirical Econometric Modeling Here we consider Autometrics, an Ox package (see Doornik, 2006, 2007a) imple- m ...

David F. Hendry 43 However, it does matter that selection occurs: the selected model’s estimates do not have the same properties ...

44 Methodology of Empirical Econometric Modeling (in seconds) models at least as good as those developed over several years by t ...

David F. Hendry 45 apparent criticisms of selection have failed to note that key limitation. In the sim- ulations described abov ...

46 Methodology of Empirical Econometric Modeling economics and its applications in particular cases. Finally, some courses requi ...

David F. Hendry 47 transformations were entailed by the pre-analysis, the efficiency gains over my pre- vious “handcrafted” stud ...

48 Methodology of Empirical Econometric Modeling 1920 1940 1960 1980 –12.5 –12.0 a ef^ e 1920 1940 1960 1980 –0.25 0.00 b pf−p 1 ...

David F. Hendry 49 In (1.40), ( R∗ ) 2 is the squared multiple correlation when a constant is added, FM(13, 45)is the associated ...

50 Methodology of Empirical Econometric Modeling + 0.06 (0.02) I 35 + 0.07 (0.02) I 36 − 0.08 (0.02) I 38 + 0.07 (0.02) I 41 + 0 ...

David F. Hendry 51 1940 1960 1980 –0.10 –0.05 0.00 0.05 0.10 a Δ~ef Δef 1940 1960 1980 0.0 2.5 5.0 b ût ~ut 1940 1960 1980 –0.10 ...