Dynamic Econometrics

Front Cover
Oxford University Press, 1995 - Econometric models - 869 pages
Dynamic Econometrics presents a systematic and operational approach to econometric modelling, based on the outcome of a twenty-year research programme. It addresses the practical difficulties of modelling data when the mechanism is unknown, with theory and evidence interlinked at every stage of the discussion. The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. This book develops an econometric approach which sustains constructive modelling, clarifies the status of empirical econometric models, and formulates structured tools for critically appraising evidence. Professor Hendry deals with methodological issues of model discovery, data mining, and progressive research strategies, and with major tools for modelling (including recursive methods, encompassing, super exogeneity, and invariance tests). In addition, he considers practical problems of collinearity, heteroscedacity, and measurement errors, and includes an extensive study of UK money demand. The book is self contained, with technical background covered in appendices of matrix algebra, probability theory, regression, asymptotic distribution theory, numerical optimization, and macro-econometrics. Mathematical results appear in solved examples and exercises, and live classroom teaching of econometrics via computer demonstrations is stressed. The structure of the book makes it of practical value to economists investigating empirical phenomena, to advanced undergraduate and graduate econometrics students, and to statisticians involved in the analysis of social science time series. -- Publisher description.
 

Contents

Introduction 335679
3
Econometric Concepts
31
Econometric Tools and Techniques
75
Dynamics and Interdependence
122
Exogeneity and Causality
156
Interpreting Linear Models
196
4
209
Dynamic Systems
212
Encompassing
501
Modelling Issues
544
Econometrics in Action
577
A1 Matrix Algebra
623
A2 Probability and Distributions
639
A3 Statistical Theory
677
A4 Asymptotic Distribution Theory
707
Laws of large numbers
714

6
217
8
227
Introduction
231
5
316
88
329
The Theory of Reduction
341
Likelihood
371
Simultaneous Equations Systems
405
Measurement Problems in Econometrics
442
Testing and Evaluation
468
Stationary dynamic processes
722
Instrumental variables
728
A5 Numerical Optimization Methods
751
A6 MacroEconometric Models
781
References
819
Common Acronyms
847
Author Index
853
Subject Index
859
Copyright

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About the author (1995)

David Hendry is at Nuffield College, Oxford.

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