Hendry's Methodology: Estimating UK Consumption Function in DHSY article
The DHSY article (originals attached below) is extremely important -- it created the basis for a new methodology in econometrics, which is now widely used in Europe but less so in the USA. The article itself is a very important illustration of good econometric methodology and worth reading in detail. The 12th lecture provides an introduction to the first part of the DHSY article, which compares and evaluates three models H B W and finds W to be best on statistical grounds, but worst on theoretical grounds. This part is covered by video lecture below.
The second part of DHSY constructs an alternative, an Error Correction Model which has a good theoretical basis and also encompasses previous models. This model displays the seven properties that Hendry methodology asks of models. This lecture L13 on Error Correction models was not recorded, although the powerpoint slides are available below.
Lecture 12: DHSY Article - Intro to Hendry Methodology - Video Lecture on reading the Davidson Hendry Srba Yeo article on the Hendry Methodology -- part 1
Hendry Methodology (home page) - Links to many lectures and articles on DHSY and Hendry Methodology