New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression
This volume is an extremely welcome addition to the plethora of theory and applied econometrics texts now on the market. . . . I expect the content and the method of presentation of New Directions in Econometric Practice will lead to it being widely adopted for undergraduate courses in applied econometrics. J.R. Malley, The Scottish Journal of Political Economy It is safe to predict that teachers and students alike will relish the clarity, as well as the concrete orientation of this excellent volume. From the foreword by Richard E. Quandt I am very sympathetic to the approach that they have adopted and I am delighted to see a book which implements recent modelling methodology and PC-GIVE. Their exposition is clear and the book will be welcomed by both teachers and practitioners. David Hendry, Nuffield College, Oxford, UK This volume is intended to explain the basic concepts of contemporary econometrics at a level accessible to non-specialists and to provide some practical guidelines for empirical researchers who use time-series data. The authors have accomplished both tasks exceptionally well. . . . this book provides an original text for intermediate-level courses in econometrics, and there is no doubt that both teachers and students would benefit from it. Moreover, the book will be very welcome to applied researchers as providing an excellent reference source for their empirical work. Gianna Boero, The Economic Journal In my view, this book is one of the most useful and important contributions to the understanding of modern econometrics. It is certainly very accessible. J.C.B. Cooper, Glasgow Caledonian University . . . the authors are to be congratulated on producing a highly readable guide to econometric modelling. . . . Many novices and practitioners will find this book a useful introduction to the area of econometric modelling. Michael Clements, Journal of Applied Econometrics This unique book successfully presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students. New Directions in Econometric Practice reflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the general-to-specific approach associated with Hendry and cointegration analysis introduced by Engle and Granger. It presents a framework for the building of empirical models using one of the new approaches which is not limited to any specific area. The principal method of estimation used throughout the book is ordinary least squares. The book will be supplementary reading for traditional courses in econometric theory and essential reading for the increasingly popular courses in applied econometrics.
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Traditional Methodology in Retrospect
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ADL model aggregate consumption autocorrelation autoregressive causality Chapter Charemza COEF STD ERR coefficient of determination cointegrating vector computer output conditional process cons consumption and income consumption function Cowles Commission critical values d4inf d4lil data mining denoted dependent variable DHSY model differencing Durbin—Watson statistic econometric model economic theory endogenous error correction mechanism error term example exogenous variables explanatory variables Forecasts VARI COEF Granger Granger causality Hence Hendry INCPT inflation intercept Lagrange Multiplier less 0 Forecasts logarithm long run relationship lowupr Lucas critique marginal process matrix nonstationary notation null hypothesis Observations OLS The Sample order of integration ordinary least squares Parameter CONSTANCY parameters of interest PC-GIVE Permanent Income problem random variables recursive regression rejected residuals Sample is 1958 sample period Section specific modelling stationary stochastic process structural invariance superexogeneity t—VALUE unrestricted upupr VARI COEF STD Wald test weakly exogenous