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- LSE_approach_to_econometrics abstract "The LSE approach to econometrics, named for the London School of Economics, involves viewing econometric models as reductions from some unknown data generation process (DGP). A complex DGP is typically modelled as the starting point and this complexity allows information in the data from the real world but absent in the theory to be drawn upon. The complexity is then reduced by the econometrician by a series of restrictions which are tested.One particular functional form, the error-correction model, is often arrived at when modelling time series. Denis Sargan and David Forbes Hendry (with his general-to-specific modeling) were key figures in the development of the approach and the one way the approach has been extended is through the work on integrated and cointegrated systems by Robert F. Engle, Clive Granger, and Søren Johansen. Another commonly used functional form is distributed lag or autoregressive distributed lag.David F. Hendry is considered to be the principal architect of the LSE approach. The methodology is often referred to as general-to-specific modelling, \"Gets modeling\" or \"Hendry's method\".The software package OxMetrics implements this process via the PcGive module AutometricsIn the 1970s, when the LSE approach was in its infancy, Edward E. Leamer was an early critic of model discovery methodologies.The approach evolved to include: multiple reduction path searches, indicator saturation, COMFAC testing, and cointegrated vector autoregressive structures.Economists often associated with \"Hendry's methodology\" include Clive Granger, Robert F. Engle, Søren Johansen, Grayham Mizon, Jennifer Castle, Hans M. Krolzig, Neil Ericsson, and Jurgen Doornik.".
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- LSE_approach_to_econometrics wikiPageRevisionID "650328380".
- LSE_approach_to_econometrics wikiPageWikiLink Autoregressive_model.
- LSE_approach_to_econometrics wikiPageWikiLink Category:Econometrics.
- LSE_approach_to_econometrics wikiPageWikiLink Clive_Granger.
- LSE_approach_to_econometrics wikiPageWikiLink David_Forbes_Hendry.
- LSE_approach_to_econometrics wikiPageWikiLink Denis_Sargan.
- LSE_approach_to_econometrics wikiPageWikiLink Distributed_lag.
- LSE_approach_to_econometrics wikiPageWikiLink Edward_E._Leamer.
- LSE_approach_to_econometrics wikiPageWikiLink Error_correction_model.
- LSE_approach_to_econometrics wikiPageWikiLink Grayham_Mizon.
- LSE_approach_to_econometrics wikiPageWikiLink Hans_M._Krolzig.
- LSE_approach_to_econometrics wikiPageWikiLink Jennifer_Castle_(economist).
- LSE_approach_to_econometrics wikiPageWikiLink Journal_of_Economic_Methodology.
- LSE_approach_to_econometrics wikiPageWikiLink Jurgen_Doornik.
- LSE_approach_to_econometrics wikiPageWikiLink London_School_of_Economics.
- LSE_approach_to_econometrics wikiPageWikiLink Neil_Ericsson.
- LSE_approach_to_econometrics wikiPageWikiLink OxMetrics.
- LSE_approach_to_econometrics wikiPageWikiLink Robert_F._Engle.
- LSE_approach_to_econometrics wikiPageWikiLink Søren_Johansen.
- LSE_approach_to_econometrics wikiPageWikiLinkText "LSE approach to econometrics".
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Cite_book.
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Cite_journal.
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Cn.
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Econometrics-stub.
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Google_books.
- LSE_approach_to_econometrics wikiPageUsesTemplate Template:Weasel-inline.
- LSE_approach_to_econometrics subject Category:Econometrics.
- LSE_approach_to_econometrics comment "The LSE approach to econometrics, named for the London School of Economics, involves viewing econometric models as reductions from some unknown data generation process (DGP). A complex DGP is typically modelled as the starting point and this complexity allows information in the data from the real world but absent in the theory to be drawn upon.".
- LSE_approach_to_econometrics label "LSE approach to econometrics".
- LSE_approach_to_econometrics sameAs Q17135422.
- LSE_approach_to_econometrics sameAs m.0vpqdrb.
- LSE_approach_to_econometrics sameAs Q17135422.
- LSE_approach_to_econometrics wasDerivedFrom LSE_approach_to_econometrics?oldid=650328380.
- LSE_approach_to_econometrics isPrimaryTopicOf LSE_approach_to_econometrics.