CONTENTS
Preface to the New Edition = xiii
Preface = xv
Acknowledgements = xvii
Introduction = 1
Part Ⅰ Roots and Route Maps = 9
1 Economentrics - Alchemy or Science? = 11
1) Alchemy and Science = 11
2) Econometrics = 12
3) Econometrics as Alchemy = 14
4) Econometrics' Problems = 20
5) A Structure for Econometrics = 23
6) Is Econometrics Alchemy or Science? = 27
2 Stochastic Specification in an Aggregate Demand Model of the United Kingdom = 29
Preamble = 29
1) Introduction = 32
2) Methodology : Autocorrelation and Simultaneity = 33
3) Methodology : Autocorrelation and Dynamics = 34
4) An Aggregate Demand Model for the United Kingdom, 1957-1967 = 36
5) Methods which Neglect Autocorrelation = 38
6) Methods Which Treat Autocorrelation but Neglect Simultaneity = 39
7) A 'Limited Information' Treatment of Autocorrelation and Simultaneity = 44
8) Full Information Estimation of Vector Autocorrelation = 44
9) Conclusion = 48
3 Testing Dynamic Specification in Small Simultaneous Systems : an Application to a Model of Building Society Behaviour in the United Kingdom = 52
Preamble = 52
1) Introduction = 54
2) Building Societies = 55
3) The Model of O'Herlihy and Spencer = 65
4) Statistical Testing of Dynamic Specification in Small Simultaneous Systems = 66
5) Conclusion = 71
4 Dynamic Specification = 72
Preamble = 72
1) Introduction = 74
2) Data Generation Processes = 77
3) Finite Distributed Lags = 95
4) Infinite Distributed Lags = 96
5) Dynamic Specification in Multi-equation Models = 102
Part Ⅱ The Development of Empirical Modelling Strategies = 113
5 On the Time-Series Approach to Econometric Model Building = 119
Preamble = 119
1) Introduction = 121
2) Autocorrelation Transforms Applied to Non-stationary Data Series = 121
3) Differencing Economic Time Series = 123
4) Simultaneous Equations Systems = 125
5) Conclusion on Granger and Newbold = 126
6) On Business Cycle Modelling without Pretending to Have Too Much a priori Economic Theory = 126
6 Serial Correlation as a Convenient Simplification, not a Nuisance : a Comment on a Study of the Demand for Money by the Bank of England = 129
Preamble = 129
1) Introduction = 132
2) COMFAC Analysis = 133
3) Demand for Money Study of Hacche(1974) = 138
4) Conclusion and Summary = 144
7 An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification = 146
Preamble = 146
1) Introduction = 147
2) Testing Procedures = 148
3) Empirical Application = 154
4) Monte Carlo Methods = 159
5) The Finite Sample Properties of the Tests = 165
6) Summary and Conclusions = 172
8 Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom = 175
Preamble = 175
1) Introduction = 179
2) The Data = 182
3) Three Econometric Studies and their Research Methods = 186
4) A Standardized Framework = 190
5) On Multicollinearity = 194
6) Selection of the 'Best' Equation = 195
7) Measurement Errors = 196
8) A Simple Dynamic Model = 197
9) Inflation Effects = 204
10) Summary and Conclusions = 208
9 Liquidity and Inflation Effects on Consumers' Expenditure = 210
Preamble = 210
1) Introduction = 211
2) Integral Correction Mechanisms = 213
3) Real Income and Inflation = 218
4) Empirical Evidence for the United Kingdom = 221
5) Summary and Conclusions = 229
10 Interpreting Econometric Evidence : The Behaviour of Consumers' Expenditure in the United Kingdom = 231
Preamble = 231
1) Introduction = 232
2) A Reappraisal of DHSY and HUS = 235
3) The Hall Model = 239
4) Analysis of Results = 242
5) 'Forward-looking' versus 'Backward-looking' Behaviour = 244
11 Predictive Failure and Econometric Modelling in Macroeconomics : the Transactions Demand for Money = 246
Preamble = 246
1) Introduction = 248
2) Predictive Failure and Model Mis-specification = 249
3) 'Simple-to-general' Modelling Methods = 252
4) From the General to the Specific = 256
5) Feedback Mechanisms in Differenced Models = 260
6) Summary and Conclusions = 265
7) An Empirical Illustration = 266
12 Monetary Economic Myth and Econometric Reality = 270
Preamble = 270
1) Present Controversy : a Funeral Pyre or the White Heat of Technical Advance? = 272
2) Construction and Destruction : Pious Hope versus Hard Reality = 274
3) Evaluation Criteria : or More Than You Ever Wanted to Know about Testing Models = 276
4) Empirical Illustration A : or Assertion versus Empirical Evidence = 278
5) Regime Shifts : or Why Econometrics Textbooks Need to be Rewritten = 279
6) Empirical Illustration B : UK Money Demand Re-revisited = 280
7) Empirical Illustration C : US Money Demand Explained = 285
Part Ⅲ Formalization = 287
13 The Structure of Simultaneous Equations Estimators = 291
Preamble = 291
1) Introduction = 293
2) Simultaneous Equations Estimators = 293
3) Systems Methods = 296
4) Individual Equation Methods = 301
5) Single-equation Methods for Autoregressive Errors = 306
6) Conclusion = 312
14 AUTOREG : a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors = 314
Preamble = 314
1) Econometric Background = 316
2) Estimator Generation = 320
3) Numerical Optimization = 321
4) Method Evaluation = 322
5) Structure of the Library = 324
6) The Monte Carlo Programs = 326
7) Program Validation and Development Stage = 327
8) Computing Costs = 328
9) Future Developments = 328
15 Exogeneity = 330
Preamble = 330
1) Introduction = 332
2) Definitions = 334
3) Examples = 341
4) Application to Dynamic Simultaneous Equations Models = 347
5) Summary and Conclusions = 353
16 On the Formulation of Empirical Models in Dynamic Econometrics = 358
Preamble = 358
1) Introduction = 362
2) Theory Models and Empirical Models = 363
3) An Illustration : the Repayment of Mortgage Principal = 365
4) An Analysis of Empirical-model Concepts = 368
5) The Empirical Illustration Reconsidered = 379
6) Dynamic Simulation = 382
7) Conclusion = 385
17 The Econometric Analysis of Economic Time Series = 387
Preamble = 387
1) Introduction = 388
2) An Econometric Framework = 392
3) Estimation = 407
4) Testing = 411
5) Model Selection = 412
6) Conclusion = 414
Part Ⅳ Retrospect and Prospect = 417
18 Econometric Modelling : the 'Consumption Function' in Retrospect = 419
Preamble = 419
1) Introduction = 421
2) Design Criteria = 424
3) Data Coherency = 426
4) Valid Conditioning = 429
5) Parameter Constancy = 431
6) Data Admissibility = 434
7) Theory Consistency = 436
8) Encompassing = 439
9) Summary and Conclusion = 441
19 Postscript : the Econometrics of PC-GIVE = 444
Preamble = 444
1) An Overview = 445
2) The Model Class = 446
3) Model Evaluation = 455
4) An Information Taxonomy = 456
5) Test Types = 463
6) Modelling Strategies = 464
7) Model Estimation = 464
8) Conclusion = 465
20 Epilogue : the Success of General-to-Specific Model Selection = 467
1) Introduction = 467
2) Potential Criticisms = 468
3) Methodological Innovations = 476
4) Improving the Algorithm = 479
5) Selection Probabilities = 483
6) Deletion Probabilities = 484
7) Improved Inference Procedures = 486
8) Applying PcGets = 487
9) Conclusion = 489
References = 491
Bibliography = 518
Index = 525
