Dynamic Econometrics

Paperback | February 1, 1995

byDavid F. Hendry

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This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals withmethodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includesan extensive study of US money demand.The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching.

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This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational...

David Hendry is at Nuffield College, Oxford.

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Format:PaperbackDimensions:904 pages, 9.21 × 6.14 × 2.05 inPublished:February 1, 1995Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:0198283164

ISBN - 13:9780198283164

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Table of Contents

Part I: Concepts, Models, and Processes in Econometrics1. Introduction2. Econometric Concepts3. Econometric Tools and Techniques4. Dynamics and Interdependence5. Exogeneity and Causality6. Interpreting Linear Models7. A Typology of Linear Dynamic Equations8. Dynamic Systems9. The Theory of ReductionPart II: Statistical Tools for Econometric Analysis10. Likelihood11. Simultaneous Equations Systems12. Measurement Problems in Econometrics13. Testing and EvaluationPart III: Empirical Modelling14. Encompassing15. Modelling Issues16. Econometrics in ActionPart IV: AppendicesA1. Matrix AlgebraA2. Probability and DistributionsA3. Statistical TheoryA4. Asymptotic Distribution TheoryA5. Numerical Optimization MethodsA6. Macro-Econometric Models

Editorial Reviews

`This is a truly fascinating book ... The unique feature and value of the present book is that it puts the reader into the position of an investigator who seeks for strategies and tools in the difficult task of analysing economic time series data and gets experienced advice at the currentstate of the art of econometric model building. The wealth of information and material provided is stupendous ... it is an inimitably splendid demonstration of modern econometrics at work and an overwhelmingly rich source of inspiration and guidance - a must for the macro-economist, the appliedeconometrician, the teacher of econometrics, and anybody interested in the methodology of the economic and social sciences when they are taken as what they should be: Realwissenschaften.'Journal of Economics