The Practice of Econometric Theory: An Examination of the Characteristics of Econometric Computation

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Springer Science & Business Media, Jun 29, 2009 - Business & Economics - 311 pages

Econometric theory, as presented in textbooks and the econometric literature generally, is a somewhat disparate collection of findings. Its essential nature is to be a set of demonstrated results that increase over time, each logically based on a specific set of axioms or assumptions, yet at every moment, rather than a finished work, these inevitably form an incomplete body of knowledge. The practice of econometric theory consists of selecting from, applying, and evaluating this literature, so as to test its applicability and range. The creation, development, and use of computer software has led applied economic research into a new age. This book describes the history of econometric computation from 1950 to the present day, based upon an interactive survey involving the collaboration of the many econometricians who have designed and developed this software. It identifies each of the econometric software packages that are made available to and used by economists and econometricians worldwide.

 

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Contents

Introduction
1
Econometric Computation
19
Characteristics Users and Developers 55
54
Econometric Diagnostic Tests
97
The Basic Statistics 123
122
The Failure of Assumptions
151
Cointegration and Alternative Specifications
177
Several Historical Considerations
231
The Implications of the Findings 265
264
Time Series
271
References
283
Index
305
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