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David F. Hendry and Jurgen A. Doornik* I INTRODUCTION This paper is a follow up to Hendry, Neale and Srba (1988) and Hendry and Mizon (1993), extending dynamic system modelling in a number of directions. First, we formulate a linear dynamic system, noting closed, open, complete and incomplete systems for both stationary and integrated l(1) data. Next, we consider a number of new reasons for adopting general to simple modelling of the joint data density function even when the objective of the analysis is perhaps a single equation of interest. That implication is discussed in relation to the possibility of discovering economic structure using a progressive research strategy. However, enforcing a system approach necessitates a larger modelling burden than hitherto. To help offset that burden, primarily determined by the âinfoglutâ of handling large numbers of variables, equations and parameters, we discuss PcFiml7 (see Doornik and Hendry, 1993) as a modelling tool which implements a methodical approach and focuses on graphical representations, allowing large amounts of information to be appraised in a glance. In the final section, we apply the approach to model the demand for M1 in the UK, based on Hendry and Ericsson (1991), Hendry and Mizon
Scottish Journal of Political Economy – Wiley
Published: Feb 1, 1994
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