Hendry D.F. Econometrics: Alchemy or Science?

2nd edition. — Oxford University Press, 2001. — 560 p. — ISBN: 0198293542, 9780198293545The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties.
The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.Roots and Route Maps
Econometrics - Alchemy or Science?
Stochastic Specification in an Aggregate Demand Model of the United Kingdom
Testing Dynamic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom
Dynamic Specification
The Development of Empirical Modelling Strategies
On the Time-Series Approach
Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England
An Empirical Application and Monte Carlo Analysis of the Tests of Dynamic Specification
Econometric Modelling of the Aggregate Tme-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
Liquidity and Inflation Effects on Consumers' Expenditure
Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom
Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money
Monetary Economic Myth and Econometric Reality
Formalization
The Structure of Simultaneous Equations Estimators
AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors
Exogenity
On the Formulation of Empirical Models in Dynamic Econometrics
The Econometric Analysis of Economic Time Series
Retrospect and Prospect
Econometric Modelling: the 'Consumption Function' in Retrospect
Postscript: the Econometrics of PC-GIVE
Epilogue: the Success of General-to-Specific Model Selection