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Discussion Paper Details

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Title: Procrustean Econometrics: Stretching and Squeezing Data

Author(s): David F Hendry and Grayham Ernest Mizon

Publication Date: October 1985

Keyword(s): Econometric Models and Model Evaluation

Programme Area(s): Applied Macroeconomics

Abstract: 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.

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Bibliographic Reference

Hendry, D and Mizon, G. 1985. 'Procrustean Econometrics: Stretching and Squeezing Data'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=68