Dynamic EconometricsThe 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 with methodological 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 includes an 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. About the Series |
Contents
Introduction 335679 | 3 |
Dynamic Systems | 8 |
Econometric Concepts | 31 |
Econometric Tools and Techniques | 75 |
Dynamics and Interdependence | 122 |
Exogeneity and Causality | 156 |
Interpreting Linear Models | 195 |
4 | 209 |
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 |
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 |
819 | |
Common Acronyms | 847 |
853 | |
859 | |
Common terms and phrases
a₁ analysis assumptions asymptotic autocorrelation autoregressive B₁ behaviour cent Chapter coefficient cointegration conditional expectation conditional model consider constant convergence correlation correlogram denoted depends derived discussed dynamic econometric econometric model economic empirical model encompassing equation estimated example factorization forecast function given hence Hendry hypothesis independent inference inflation innovation invariant joint density likelihood function limiting distribution linear long-run M.Phil M₁ marginal matrix MCSD Monte Carlo normal distribution null obtained outcome Oxford M.Phil parameters of interest plim probability problem random variables recursive reduction regression rejection relevant residuals restrictions sample standard errors stationary stationary process statistics stochastic stochastic process strongly exogenous super exogeneity theorem theory tion unit root valid values variance vector weak exogeneity weakly white noise Wiener processes zero