Neil Ericsson, David Hendry, Stedman Hood, 04 May 2017

When empirically modelling the US demand for money, Milton Friedman more than doubled the observed initial stock of money to account for a “changing degree of financial sophistication” in the US relative to the UK. This column discusses effects of this adjustment on Friedman’s empirical models. His data adjustment dramatically reduced apparent movements in the velocity of circulation of money, and it adversely affected the constancy and fit of his estimated money demand models. 

Jennifer Castle, David Hendry, 13 August 2014

A typical Oxford University econometrics exam question might take the form: “Data mining is bad, so mining with more candidate variables than observations must be pernicious. Discuss.” Similar questions may well be asked at other academic institutions, but there may be few outside Oxford University where the candidates are expected to refute both myths. This column explains why that is the right answer.

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