We reconsider the model of Hendry and von Ungern-Sternberg (1981) on a recent data vintage. The data have been extensively revised since their study, such that their model no longer holds over the sample period they used, so the effects of data revisions are studied. Issues of functional form, seasonality, liquidity, uncertainty, dynamics, cointegration, structural change, financial deregulation, inflation and relative prices are considered. A revised specification is proposed which seems congruent with the data evidence and is constant over the sample, and its interpretation is discussed.
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David F. Hendry (1994) studied this question.
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