Richard M. Goodwin
- Published in print:
- 1990
- Published Online:
- November 2003
- ISBN:
- 9780198283355
- eISBN:
- 9780191596315
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283350.001.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics
This collection of short essays provides an application of chaotic dynamics to economic systems. Each chapter presents several economic models incorporating differential (or difference) equations ...
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This collection of short essays provides an application of chaotic dynamics to economic systems. Each chapter presents several economic models incorporating differential (or difference) equations such as the Rössler equations, which exhibit a chaotic attractor. Combining the insights of Schumpeter, Marx, and Keynes, the models endogenously generate irregular, wavelike growth. Goodwin therefore argues that the apparent unpredictability of economic systems is due to deterministic chaos as much as to exogeneous shocks. The book is aimed primarily at economists interested in theories of economic growth. However, readers with a general interest in the application of chaos theory to social sciences will also find it useful. Some mathematical knowledge of systems of differential equations is assumed.Less
This collection of short essays provides an application of chaotic dynamics to economic systems. Each chapter presents several economic models incorporating differential (or difference) equations such as the Rössler equations, which exhibit a chaotic attractor. Combining the insights of Schumpeter, Marx, and Keynes, the models endogenously generate irregular, wavelike growth. Goodwin therefore argues that the apparent unpredictability of economic systems is due to deterministic chaos as much as to exogeneous shocks. The book is aimed primarily at economists interested in theories of economic growth. However, readers with a general interest in the application of chaos theory to social sciences will also find it useful. Some mathematical knowledge of systems of differential equations is assumed.
Richard M. Goodwin
- Published in print:
- 1990
- Published Online:
- November 2003
- ISBN:
- 9780198283355
- eISBN:
- 9780191596315
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283350.003.0002
- Subject:
- Economics and Finance, Macro- and Monetary Economics
Deals with the classical dynamical problem of technological advances in an agricultural (corn) economy. Goodwin asserts that two mis‐specifications—concerning labour supply and technical ...
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Deals with the classical dynamical problem of technological advances in an agricultural (corn) economy. Goodwin asserts that two mis‐specifications—concerning labour supply and technical progress—hampered classical models. A discrete time model is proposed with corn production embedded in a wider economy. The model has a chaotic attractor, and highly erratic market dynamics follow even in the absence of exogenous shocks.Less
Deals with the classical dynamical problem of technological advances in an agricultural (corn) economy. Goodwin asserts that two mis‐specifications—concerning labour supply and technical progress—hampered classical models. A discrete time model is proposed with corn production embedded in a wider economy. The model has a chaotic attractor, and highly erratic market dynamics follow even in the absence of exogenous shocks.
A. B. Atkinson
- Published in print:
- 1998
- Published Online:
- November 2003
- ISBN:
- 9780198294719
- eISBN:
- 9780191599361
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198294719.003.0031
- Subject:
- Political Science, Reference
Considers what was old about political economy and questions the new. The transition from old to new represents a move from economics to political economy, in which the latter includes the approach ...
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Considers what was old about political economy and questions the new. The transition from old to new represents a move from economics to political economy, in which the latter includes the approach of public choice, a new interaction between economists and political scientists, and a rapid growth of interest in the political economy approach. Three areas of contribution in new political economy: the role of institutions, rational choice analysis, and the deployment of empirical evidence are questioned, respectively, for their exogeneity, application, and demonstrability.Less
Considers what was old about political economy and questions the new. The transition from old to new represents a move from economics to political economy, in which the latter includes the approach of public choice, a new interaction between economists and political scientists, and a rapid growth of interest in the political economy approach. Three areas of contribution in new political economy: the role of institutions, rational choice analysis, and the deployment of empirical evidence are questioned, respectively, for their exogeneity, application, and demonstrability.
Steffen Kühnel
- Published in print:
- 1998
- Published Online:
- November 2003
- ISBN:
- 9780198292371
- eISBN:
- 9780191600159
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198292376.003.0004
- Subject:
- Political Science, Reference
Extending the regression model to path analysis, in which all the variables are randomly distributed and treating the variances and co‐variances as exogenous variables. The worked example ...
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Extending the regression model to path analysis, in which all the variables are randomly distributed and treating the variances and co‐variances as exogenous variables. The worked example demonstrates the use of PRELIS, LISREL 8, and GLIM software, and how to interpret the resulting statistics.Less
Extending the regression model to path analysis, in which all the variables are randomly distributed and treating the variances and co‐variances as exogenous variables. The worked example demonstrates the use of PRELIS, LISREL 8, and GLIM software, and how to interpret the resulting statistics.
Harold D. Clarke, David Sanders, Marianne C. Stewart, and Paul Whiteley
- Published in print:
- 2004
- Published Online:
- November 2004
- ISBN:
- 9780199244881
- eISBN:
- 9780191601521
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/019924488X.003.0004
- Subject:
- Political Science, UK Politics
Investigates the sources of party support in 2001. The analyses specify a series of multivariate models that capture the effects of the key variables from each of the sociological and individual ...
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Investigates the sources of party support in 2001. The analyses specify a series of multivariate models that capture the effects of the key variables from each of the sociological and individual rationality frameworks. Party identification, leader images, issue proximities, and party performance evaluations on the economy and other important policy areas combine to exercise sizeable effects on vote choice. Tactical voting is also evident, benefiting the Liberal Democrats at the expense of Labour and the Conservatives. In contrast to many earlier studies of British electoral politics, we make strong claims about the effects of evaluations of party leader images on electoral choice. Exogeneity tests buttress these claims.Less
Investigates the sources of party support in 2001. The analyses specify a series of multivariate models that capture the effects of the key variables from each of the sociological and individual rationality frameworks. Party identification, leader images, issue proximities, and party performance evaluations on the economy and other important policy areas combine to exercise sizeable effects on vote choice. Tactical voting is also evident, benefiting the Liberal Democrats at the expense of Labour and the Conservatives. In contrast to many earlier studies of British electoral politics, we make strong claims about the effects of evaluations of party leader images on electoral choice. Exogeneity tests buttress these claims.
David F. Hendry, Robert F. Engle, and Jean‐François Richard
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0016
- Subject:
- Economics and Finance, Econometrics
Exogenous variables play a crucial role in econometrics, yet ‘exogeneity’ is often imprecise. Exogenous connotes ‘being determined outside of (the model under analysis)’, so it cannot be a property ...
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Exogenous variables play a crucial role in econometrics, yet ‘exogeneity’ is often imprecise. Exogenous connotes ‘being determined outside of (the model under analysis)’, so it cannot be a property of variables per se. Rather, exogeneity is a step in model reduction, concerning when inferences about parameters of interest based on a complete analysis of the joint density function of all the observable variables coincide with inferences based on only the conditional density of one sub‐set of variables given another sub‐set. If there is no loss of information from only analysing the conditional sub‐model, then the conditioning variables are weakly exogenous for its parameters of interest, and the marginal process is irrelevant. To forecast conditionally more than one period ahead also requires Granger non‐causality, leading to the concept of strong exogeneity. To justify conditional policy analyses, which change the marginal model, parameter invariance is required in the conditional model, leading to super exogeneity.Less
Exogenous variables play a crucial role in econometrics, yet ‘exogeneity’ is often imprecise. Exogenous connotes ‘being determined outside of (the model under analysis)’, so it cannot be a property of variables per se. Rather, exogeneity is a step in model reduction, concerning when inferences about parameters of interest based on a complete analysis of the joint density function of all the observable variables coincide with inferences based on only the conditional density of one sub‐set of variables given another sub‐set. If there is no loss of information from only analysing the conditional sub‐model, then the conditioning variables are weakly exogenous for its parameters of interest, and the marginal process is irrelevant. To forecast conditionally more than one period ahead also requires Granger non‐causality, leading to the concept of strong exogeneity. To justify conditional policy analyses, which change the marginal model, parameter invariance is required in the conditional model, leading to super exogeneity.
Colin Crouch
- Published in print:
- 2005
- Published Online:
- September 2007
- ISBN:
- 9780199286652
- eISBN:
- 9780191713354
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199286652.003.0003
- Subject:
- Business and Management, Political Economy
This chapter asserts the importance of establishing the micro foundations of institutions so as to treat actors as potentially creative and innovative. Weber's concept of ideal types as one-sided ...
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This chapter asserts the importance of establishing the micro foundations of institutions so as to treat actors as potentially creative and innovative. Weber's concept of ideal types as one-sided accentuations of idealized forms of reality, possibly operating alongside Wahlverwandschaft, needs to be rediscovered and its implications for theory building recognized. This chapter discusses the often unrecognized functionalism of much neo-institutionalism, which is checked by giving an adequate role in the theory to power relations, social compromises, and other contingent results of social interaction. These considerations lead to an important hypothesis: that institutional heterogeneity will facilitate innovation, both by presenting actors with alternative strategies when existing paths seem blocked and by making it possible for them to make new combinations among elements of various paths. Finally, the problematic nature of taking for granted that the boundaries of nation states are the boundaries of institutions and systems of action is considered, and the importance of regarding endogeneity and exogeneity as a continuum is addressed.Less
This chapter asserts the importance of establishing the micro foundations of institutions so as to treat actors as potentially creative and innovative. Weber's concept of ideal types as one-sided accentuations of idealized forms of reality, possibly operating alongside Wahlverwandschaft, needs to be rediscovered and its implications for theory building recognized. This chapter discusses the often unrecognized functionalism of much neo-institutionalism, which is checked by giving an adequate role in the theory to power relations, social compromises, and other contingent results of social interaction. These considerations lead to an important hypothesis: that institutional heterogeneity will facilitate innovation, both by presenting actors with alternative strategies when existing paths seem blocked and by making it possible for them to make new combinations among elements of various paths. Finally, the problematic nature of taking for granted that the boundaries of nation states are the boundaries of institutions and systems of action is considered, and the importance of regarding endogeneity and exogeneity as a continuum is addressed.
David F. Hendry
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198283164
- eISBN:
- 9780191596384
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283164.003.0005
- Subject:
- Economics and Finance, Econometrics
Weak exogeneity sustains conditional inference about parameters of interest without loss of information. Strong exogeneity, weak exogeneity with Granger non‐causality, sustains conditional ...
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Weak exogeneity sustains conditional inference about parameters of interest without loss of information. Strong exogeneity, weak exogeneity with Granger non‐causality, sustains conditional forecasting. Super exogeneity, weak exogeneity with invariance of parameters to interventions, sustains conditional policy analyses. Concepts of causality, and estimation and inference in conditional models of unit‐root processes are considered.Less
Weak exogeneity sustains conditional inference about parameters of interest without loss of information. Strong exogeneity, weak exogeneity with Granger non‐causality, sustains conditional forecasting. Super exogeneity, weak exogeneity with invariance of parameters to interventions, sustains conditional policy analyses. Concepts of causality, and estimation and inference in conditional models of unit‐root processes are considered.
David F. Hendry
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198283164
- eISBN:
- 9780191596384
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283164.001.0001
- Subject:
- Economics and Finance, Econometrics
This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics ...
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This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics (including exogeneity and encompassing), models, processes, estimators, and inference procedures (centred on maximum likelihood) are discussed with solved examples and exercises. Practical problems in empirical modelling, such as model discovery, evaluation, and data mining are addressed, and illustrated using the software system PcGive. Background analyses cover matrix algebra, probability theory, multiple regression, stationary and non‐stationary stochastic processes, asymptotic distribution theory, Monte Carlo methods, numerical optimization, and macro‐econometric models. The reader will master the theory and practice of modelling non‐stationary (cointegrated) economic time series, based on a rigorous theory of reduction.Less
This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics (including exogeneity and encompassing), models, processes, estimators, and inference procedures (centred on maximum likelihood) are discussed with solved examples and exercises. Practical problems in empirical modelling, such as model discovery, evaluation, and data mining are addressed, and illustrated using the software system PcGive. Background analyses cover matrix algebra, probability theory, multiple regression, stationary and non‐stationary stochastic processes, asymptotic distribution theory, Monte Carlo methods, numerical optimization, and macro‐econometric models. The reader will master the theory and practice of modelling non‐stationary (cointegrated) economic time series, based on a rigorous theory of reduction.
David F. Hendry
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.001.0001
- Subject:
- Economics and Finance, Econometrics
This collection of published papers records the development of an approach to econometric modelling that has reached a highly successful stage. The methodology of modelling ‘observational data’, as ...
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This collection of published papers records the development of an approach to econometric modelling that has reached a highly successful stage. The methodology of modelling ‘observational data’, as opposed to experimental data, which can be replicated, is analysed to highlight the fundamental flaws in various approaches, and the possibilities of others. Criteria for model adequacy are formulated (congruence and encompassing), and alternative approaches to building empirical models are compared on their ability to deliver such models. A typology of models elucidates their properties, and a taxonomy of information sources clarifies testing. Estimation is summarized by an estimator generating equation. The value of exploring the development path is to reveal by attempted applications why many widely used approaches are inadequate. The outcome is to demonstrate the viability of a general‐to‐specific approach that commences from a specification deemed more than adequate to characterize the evidence, and simplifies to a parsimonious representation that captures the main factors. By artificial Monte Carlo simulations on experiments designed by others, the success of that approach is established, leading to automatic model selection by software that can outperform practitioners.Less
This collection of published papers records the development of an approach to econometric modelling that has reached a highly successful stage. The methodology of modelling ‘observational data’, as opposed to experimental data, which can be replicated, is analysed to highlight the fundamental flaws in various approaches, and the possibilities of others. Criteria for model adequacy are formulated (congruence and encompassing), and alternative approaches to building empirical models are compared on their ability to deliver such models. A typology of models elucidates their properties, and a taxonomy of information sources clarifies testing. Estimation is summarized by an estimator generating equation. The value of exploring the development path is to reveal by attempted applications why many widely used approaches are inadequate. The outcome is to demonstrate the viability of a general‐to‐specific approach that commences from a specification deemed more than adequate to characterize the evidence, and simplifies to a parsimonious representation that captures the main factors. By artificial Monte Carlo simulations on experiments designed by others, the success of that approach is established, leading to automatic model selection by software that can outperform practitioners.
K. Pushpangadan
- Published in print:
- 2012
- Published Online:
- September 2012
- ISBN:
- 9780198077992
- eISBN:
- 9780199081608
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198077992.003.0001
- Subject:
- Economics and Finance, Development, Growth, and Environmental
The chapter provides analytical reasons for the service-led growth of the regional economy of Kerala emanating from migration and demographic transition. In an economy facing a labour shortage for ...
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The chapter provides analytical reasons for the service-led growth of the regional economy of Kerala emanating from migration and demographic transition. In an economy facing a labour shortage for household activities, the households would demand more ‘goods-intensive’ commodities than ‘time-intensive’ commodities. The increased demand for such goods and services is provided usually by trade and/or by local production, depending on the profitability of the activity and the availability of entrepreneurial skills in the region. Historically, entrepreneurial skills in the region have been low, resulting in more trading activity whenever there is an increase in demand. This is the source of service-led growth in the region. The tertiary sector growth is then subjected to econometric analysis, block exogeneity test, for determining whether the source is from within (endogenous) or outside (exogenous) the economy. The results confirm that the major share of national income originates from services that are determined exogenously and attributable to remittances by international migration.Less
The chapter provides analytical reasons for the service-led growth of the regional economy of Kerala emanating from migration and demographic transition. In an economy facing a labour shortage for household activities, the households would demand more ‘goods-intensive’ commodities than ‘time-intensive’ commodities. The increased demand for such goods and services is provided usually by trade and/or by local production, depending on the profitability of the activity and the availability of entrepreneurial skills in the region. Historically, entrepreneurial skills in the region have been low, resulting in more trading activity whenever there is an increase in demand. This is the source of service-led growth in the region. The tertiary sector growth is then subjected to econometric analysis, block exogeneity test, for determining whether the source is from within (endogenous) or outside (exogenous) the economy. The results confirm that the major share of national income originates from services that are determined exogenously and attributable to remittances by international migration.
R. C. O. Matthews, C. H. Feinstein, and J. C. Odling‐Smee
- Published in print:
- 1982
- Published Online:
- November 2003
- ISBN:
- 9780198284536
- eISBN:
- 9780191596629
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198284535.003.0017
- Subject:
- Economics and Finance, Economic History
Growth was the result of forces on both the supply and the demand side, interacting with each other. While labour input growth was partly supply‐driven, the main reductions in hours of work partly ...
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Growth was the result of forces on both the supply and the demand side, interacting with each other. While labour input growth was partly supply‐driven, the main reductions in hours of work partly reflected labour's strong bargaining power in periods of high demand for labour, and the high unemployment in the interwar period was a demand‐side phenomenon. The growth of capital was largely endogenous, in line with the acceleration principle. Exogenous factors included reduced competition from capital exports after 1914, improvements over time in the efficiency of capital markets and, in the post‐war period, labour shortages and a higher savings ratio. TFP growth was positively affected by capital growth through the embodiment of new technology. There were also major exogenous, supply‐side factors operating on TFP growth, especially the process of catching up on technologically more advanced economies – which were themselves innovating faster in the post‐war period—and changes in labour attitudes and managerial and entrepreneurial quality. The U‐shaped pattern of output and TFP growth over the whole period is partly attributable to these factors: the scope for catching up increased over time, and industrial relations and managerial and entrepreneurial quality worsened in the latter part of the nineteenth century and improved in the twentieth century, partly because of the jolt to institutions administered by the World Wars. The decline in growth in the first half of the period also owed something to the strength of foreign competition, especially in agricultural products, and to the exhaustion of TFP possibilities in textiles and coal mining. Foreign competition continued to have a negative impact on growth in the post‐war period, but this was offset by the high level of world demand, which contributed to high demand and hence growth in the UK. Throughout, capital accumulation played a reinforcing role, being influenced by, and in turn contributing to, output and TFP growth through both supply and demand side channels.Less
Growth was the result of forces on both the supply and the demand side, interacting with each other. While labour input growth was partly supply‐driven, the main reductions in hours of work partly reflected labour's strong bargaining power in periods of high demand for labour, and the high unemployment in the interwar period was a demand‐side phenomenon. The growth of capital was largely endogenous, in line with the acceleration principle. Exogenous factors included reduced competition from capital exports after 1914, improvements over time in the efficiency of capital markets and, in the post‐war period, labour shortages and a higher savings ratio. TFP growth was positively affected by capital growth through the embodiment of new technology. There were also major exogenous, supply‐side factors operating on TFP growth, especially the process of catching up on technologically more advanced economies – which were themselves innovating faster in the post‐war period—and changes in labour attitudes and managerial and entrepreneurial quality. The U‐shaped pattern of output and TFP growth over the whole period is partly attributable to these factors: the scope for catching up increased over time, and industrial relations and managerial and entrepreneurial quality worsened in the latter part of the nineteenth century and improved in the twentieth century, partly because of the jolt to institutions administered by the World Wars. The decline in growth in the first half of the period also owed something to the strength of foreign competition, especially in agricultural products, and to the exhaustion of TFP possibilities in textiles and coal mining. Foreign competition continued to have a negative impact on growth in the post‐war period, but this was offset by the high level of world demand, which contributed to high demand and hence growth in the UK. Throughout, capital accumulation played a reinforcing role, being influenced by, and in turn contributing to, output and TFP growth through both supply and demand side channels.
Søren Johansen
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0008
- Subject:
- Economics and Finance, Econometrics
We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework ...
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We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework of the autoregressive model with focus on the notion of weak exogeneity. Hypotheses on the adjustment coefficients are discussed.Less
We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework of the autoregressive model with focus on the notion of weak exogeneity. Hypotheses on the adjustment coefficients are discussed.
David F. Hendry
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198283164
- eISBN:
- 9780191596384
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198283164.003.0016
- Subject:
- Economics and Finance, Econometrics
The methods, approaches, and principles are applied to modelling the transactions demand for money in the UK over 1963–89. Financial innovations affect the opportunity cost of holding money, captured ...
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The methods, approaches, and principles are applied to modelling the transactions demand for money in the UK over 1963–89. Financial innovations affect the opportunity cost of holding money, captured in a learning‐adjusted interest‐rate differential. The data are described by graphs to highlight the main features requiring modelling. A system is examined for cointegration, and potential long‐run weak exogeneity. A small monetary model is formulated, which sustains a single‐equation analysis of transactions demand. Recommencing from a general linear autoregressive‐distributed lag representation, a simplified congruent equation is developed.Less
The methods, approaches, and principles are applied to modelling the transactions demand for money in the UK over 1963–89. Financial innovations affect the opportunity cost of holding money, captured in a learning‐adjusted interest‐rate differential. The data are described by graphs to highlight the main features requiring modelling. A system is examined for cointegration, and potential long‐run weak exogeneity. A small monetary model is formulated, which sustains a single‐equation analysis of transactions demand. Recommencing from a general linear autoregressive‐distributed lag representation, a simplified congruent equation is developed.
R. C. O. Matthews, C. H. Feinstein, and J. C. Odling‐Smee
- Published in print:
- 1982
- Published Online:
- November 2003
- ISBN:
- 9780198284536
- eISBN:
- 9780191596629
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198284535.003.0001
- Subject:
- Economics and Finance, Economic History
The approach to British economic growth is historical in that it compares growth in different periods rather than comparing growth in the UK with that in other countries. The key question of interest ...
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The approach to British economic growth is historical in that it compares growth in different periods rather than comparing growth in the UK with that in other countries. The key question of interest is why was growth in the period since World War II better than in other periods since the 1850s. The approach is quantitative in that it is heavily statistical while being well grounded in economic theory. Most of the basic data are presented in a growth accounting framework. This does not imply that the underlying exogenous causes of growth are entirely on the supply side: demand side factors such as those emanating from abroad or from government policy can also be causes of growth.Less
The approach to British economic growth is historical in that it compares growth in different periods rather than comparing growth in the UK with that in other countries. The key question of interest is why was growth in the period since World War II better than in other periods since the 1850s. The approach is quantitative in that it is heavily statistical while being well grounded in economic theory. Most of the basic data are presented in a growth accounting framework. This does not imply that the underlying exogenous causes of growth are entirely on the supply side: demand side factors such as those emanating from abroad or from government policy can also be causes of growth.
David F. Hendry and James E. H. Davidson
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0011
- Subject:
- Economics and Finance, Econometrics
Updates and tests whether DHSY and HUS specifications encompass the rational‐expectations, permanent‐income model by eliminating contemporaneous income terms. Both reject that model and lead to an ...
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Updates and tests whether DHSY and HUS specifications encompass the rational‐expectations, permanent‐income model by eliminating contemporaneous income terms. Both reject that model and lead to an improved specification using only lagged information. The ‘feedback versus feedforward’ debate is confronted as an issue of interpretation of the implications of economic analysis, rather than its use or absence, especially for intertemporal optimization by economic agents.Less
Updates and tests whether DHSY and HUS specifications encompass the rational‐expectations, permanent‐income model by eliminating contemporaneous income terms. Both reject that model and lead to an improved specification using only lagged information. The ‘feedback versus feedforward’ debate is confronted as an issue of interpretation of the implications of economic analysis, rather than its use or absence, especially for intertemporal optimization by economic agents.
David F. Hendry
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0012
- Subject:
- Economics and Finance, Econometrics
This tests the DHSY approach in another subject‐matter area (money demand) to investigate its ability to produce improved models and to encompass previous findings. ‘Simple‐to‐general’ modelling ...
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This tests the DHSY approach in another subject‐matter area (money demand) to investigate its ability to produce improved models and to encompass previous findings. ‘Simple‐to‐general’ modelling methods are criticized and contrasted with the outcome achieved by general‐to‐simple, sequentially reducing to parsimonious, constant, and encompassing equations. Contemporaneous conditioning is based on weak exogeneity and constancy is stressed as a model‐selection criterion. A successful test of the selected error‐correction transactions’ demand for money model on new data is reproduced from The Econometric Analysis of Economic Time Series.Less
This tests the DHSY approach in another subject‐matter area (money demand) to investigate its ability to produce improved models and to encompass previous findings. ‘Simple‐to‐general’ modelling methods are criticized and contrasted with the outcome achieved by general‐to‐simple, sequentially reducing to parsimonious, constant, and encompassing equations. Contemporaneous conditioning is based on weak exogeneity and constancy is stressed as a model‐selection criterion. A successful test of the selected error‐correction transactions’ demand for money model on new data is reproduced from The Econometric Analysis of Economic Time Series.
David F. Hendry and Jean‐François Richard
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0017
- Subject:
- Economics and Finance, Econometrics
Investigates the constructs of innovation errors, invariance, encompassing, and data admissibility, relates these to exogeneity and progressive research strategies, and introduces the notion of ...
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Investigates the constructs of innovation errors, invariance, encompassing, and data admissibility, relates these to exogeneity and progressive research strategies, and introduces the notion of designing models to satisfy certain criteria to extend the manual of ‘good empirical practice’ through delineating more rigorous quality‐control procedures. Empirical models derive from the data generation process by reduction operations (such as marginalizing and conditioning), which induce transformed parameters and corresponding disturbance terms, which together determine the quality of an empirical model. A taxonomy of information sets exhaustively partitions available data into the six disjoint sets of the (relative) past, present, and future of the investigators own data, theory and measurement information, and evidence from rival models. Specific concepts correspond to each of the six elements in that partition, namely, innovation processes, exogeneity, invariance, theory consistency, data admissibility, and encompassing, These characterize the primary null hypotheses against which tests of different alternatives are conducted. Dynamic simulation is shown to be an inadequate model evaluation criterion.Less
Investigates the constructs of innovation errors, invariance, encompassing, and data admissibility, relates these to exogeneity and progressive research strategies, and introduces the notion of designing models to satisfy certain criteria to extend the manual of ‘good empirical practice’ through delineating more rigorous quality‐control procedures. Empirical models derive from the data generation process by reduction operations (such as marginalizing and conditioning), which induce transformed parameters and corresponding disturbance terms, which together determine the quality of an empirical model. A taxonomy of information sets exhaustively partitions available data into the six disjoint sets of the (relative) past, present, and future of the investigators own data, theory and measurement information, and evidence from rival models. Specific concepts correspond to each of the six elements in that partition, namely, innovation processes, exogeneity, invariance, theory consistency, data admissibility, and encompassing, These characterize the primary null hypotheses against which tests of different alternatives are conducted. Dynamic simulation is shown to be an inadequate model evaluation criterion.
David F. Hendry and Jean‐François Richard
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0018
- Subject:
- Economics and Finance, Econometrics
This overview proposes a general framework linking economic analysis to a reduction‐based statistical methodology based on parameter change, expectations and contingent plans, conditioning and weak ...
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This overview proposes a general framework linking economic analysis to a reduction‐based statistical methodology based on parameter change, expectations and contingent plans, conditioning and weak exogeneity. Both long‐run economic theory and dynamic adjustment are discussed and general‐to‐specific modelling is linked to the theory of reduction to clarify modelling and model‐related concepts. The statistical analysis extends the estimator generating formula to `incomplete’ linear models. A sequence of six expository themes interprets time‐series econometrics: models are derived as reductions from the process which actually generated the data, inducing parameter transformations which affect their constancy, invariance and interpretation; conditioning and weak exogeneity are linked to contingent plans of economic agents; an EGE covers estimation theory for linear sub‐systems; a typology of linear dynamic equations elucidates their relative properties; the efficient score describes diagnostic testing; and encompassing inter‐related empirical models.Less
This overview proposes a general framework linking economic analysis to a reduction‐based statistical methodology based on parameter change, expectations and contingent plans, conditioning and weak exogeneity. Both long‐run economic theory and dynamic adjustment are discussed and general‐to‐specific modelling is linked to the theory of reduction to clarify modelling and model‐related concepts. The statistical analysis extends the estimator generating formula to `incomplete’ linear models. A sequence of six expository themes interprets time‐series econometrics: models are derived as reductions from the process which actually generated the data, inducing parameter transformations which affect their constancy, invariance and interpretation; conditioning and weak exogeneity are linked to contingent plans of economic agents; an EGE covers estimation theory for linear sub‐systems; a typology of linear dynamic equations elucidates their relative properties; the efficient score describes diagnostic testing; and encompassing inter‐related empirical models.
David F. Hendry
- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0020
- Subject:
- Economics and Finance, Econometrics
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 ...
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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.Less
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.