New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression
This work on econometrics offers an analysis of econometric practice, encompassing recent modelling methodology and PC-GIVE. It is intended for advanced undergraduates and graduate students.
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Traditional Methodology in Retrospect
the DHSY Consumption
10 other sections not shown
A4cons Augmented Dickey-Fuller cointegration autocorrelation autoregressive causality Chapter Charemza cntd coefficient of determination Coefficient Std.Error t-value cointegrating vector cons constant consumption function Cowles Commission critical values minus d4li data mining denoted DHSY model Dickey-Fuller and Augmented Dickey-Fuller cointegration tests Dickey-Fuller test differences differencing distribution Durbin-Watson statistic econometric models error term estimated example exogenous variables explanatory variables forecast period Granger Granger causality Hendry inflation integration test intercept Lagrange Multiplier level of significance linear long run relationship lower upper 25 lower upper lower marginal process matrix minus sign omitted nonstationary null hypothesis number of replications observations Tests order of integration ordinary least squares parameter constancy PC-GIVE present sample random recursive regression rejected residuals sample period Section specific modelling stationary stochastic process Table test equation test statistics total number unit root unrestricted upper 15 upper lower upper values minus sign Variable Coefficient Std.Error Wald test weakly exogenous