Procrustean Econometrics: Stretching and Squeezing Data.
Recent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric models. W...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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CEPR
1985
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| _version_ | 1797103336359460864 |
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| author | Hendry, D Mizon, G |
| author_facet | Hendry, D Mizon, G |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | Recent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric models. We comment on a number of the constructive modelling strategies that have been proposed, and emphasise the importance of evaluating models, especially by checking whether they are congruent with the available information. This process of model evaluation is destructive rather than constructive, and the criteria it employs form a set of necessary, not sufficient, conditions for model adequacy. |
| first_indexed | 2024-03-07T06:18:41Z |
| format | Working paper |
| id | oxford-uuid:f1f635e2-79e9-46a4-9be0-dc8fdce4660c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T06:18:41Z |
| publishDate | 1985 |
| publisher | CEPR |
| record_format | dspace |
| spelling | oxford-uuid:f1f635e2-79e9-46a4-9be0-dc8fdce4660c2022-03-27T12:00:00ZProcrustean Econometrics: Stretching and Squeezing Data.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:f1f635e2-79e9-46a4-9be0-dc8fdce4660cEnglishDepartment of Economics - ePrintsCEPR1985Hendry, DMizon, GRecent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric models. We comment on a number of the constructive modelling strategies that have been proposed, and emphasise the importance of evaluating models, especially by checking whether they are congruent with the available information. This process of model evaluation is destructive rather than constructive, and the criteria it employs form a set of necessary, not sufficient, conditions for model adequacy. |
| spellingShingle | Hendry, D Mizon, G Procrustean Econometrics: Stretching and Squeezing Data. |
| title | Procrustean Econometrics: Stretching and Squeezing Data. |
| title_full | Procrustean Econometrics: Stretching and Squeezing Data. |
| title_fullStr | Procrustean Econometrics: Stretching and Squeezing Data. |
| title_full_unstemmed | Procrustean Econometrics: Stretching and Squeezing Data. |
| title_short | Procrustean Econometrics: Stretching and Squeezing Data. |
| title_sort | procrustean econometrics stretching and squeezing data |
| work_keys_str_mv | AT hendryd procrusteaneconometricsstretchingandsqueezingdata AT mizong procrusteaneconometricsstretchingandsqueezingdata |