Pc-Give and David Hendry'S Econometric Methodology

Abstract

Este artigo resume a metodologia econometrica. empirica de David Hendry, unificando e discutindo as diversos artigos, escritos por elc e seus colaboradores. A seguir, descreve-se como esta metodologia pade ser imple mentada. utilizando.se as programas de computador incluidos no pacote PC GIVE. Por Ultimo, esta. metodologia. e as programas, sao ilustrados atraves de tres exemplos empi'ricos: Demanda por Ml nn. Inglatcrra para 0 perfodo pas-guerra, determimu .. iio cla renda nominal para Inglaterra de Friedman e Schwartz (1982) e gastos de consumo na. Venezuela. Estes exemplos, ajudam a clarificar as conccitos centrais desta metodologia, que incluem: co�integragio, mecanismo de corre�ao dos erros, modelagem do geral�para�particular, especi fica<;<ao dimi.rnica, avalia�a.o e testes de modelos, constanda de parametros e exogeneidade.

Empirical modeling of money demand

“…The order of integration of money and prices also may be at issue; see Johansen (1992). For the data analyzed above, the Johansen procedure provides clear evidence of one cointegrating vector involving m -p, i, Ap, and Rnet; see Ericsson, Campos, and Tran (1990), Hendry and Mizon (1993), Ericsson, Hendry, and Tran (1994), and Hendry and Doornik (1994). That cointegrating vector is interpretable as a money demand function with coefficients similar to those in (4), which were solved from the conditional EqCM (1).…”

A dynamic model of inflation of Kenya, 1974-96

“…The F-statistics generated in every step of the reduction process and the Schwartz criteria are reported in Table 6. None of the F-statistics, comparing the initial, intermediate and 12 Ericsson, Campos and Tran (1990) give a comprehensive description of the general-to-specific methodology. 13 The three impulse dummies are motivated as follows: D2 (1990:4), the effects of the Gulf crisis resulted in increases in several government-controlled prices during last quarter of 1990 (Economic Survey pp.…”

An evaluation of forecasting using leading indicators

“…To illustrate the role of a leading indicator in a linear dynamic system, we now consider the four-equation monetary model analysed by Hendry and Mizon (1 993) and Hendry and Doornik (1994), and also investigated by Boswijk (1992), Ericsson, Campos and Tran (1990) and Johansen (1992), inter alia. The data set comprises M, Y, P, and R, which are respectively nominal M , , real total final expenditure (TFE) at 1985 prices, the TFE deflator, and the (learning-adjusted) differential between the three-month local authority interest rate (R,) and the MI retail sight-deposit interest rate (R,,,, the rate on interest-bearing checking accounts at commercial banks, introduced in 1984(3)).…”