Dynamic Econometrics

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Oxford University Press, 1995 - Business & Economics - 869 pages
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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 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
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
 

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Contents

Introduction
3
Econometric Concepts
31
Econometric Tools and Techniques
75
Dynamics and Interdependence
122
Exogeneity and Causality
156
Interpreting Linear Models
195
A Typology of Linear Dynamic Equations
231
Dynamic Systems
309
Modelling Issues
544
Econometrics in Action
577
Al Matrix Algebra
623
A2 Probability and Distributions
639
A3 Statistical theory
677
A4 Asymptotic Distribution Theory
707
A5 Numerical Optimization Methods
751
A6 MacroEconometric Models
781

The Theory of Reduction
344
Likelihood
371
Simultaneous Equations Systems
405
Testing and Evaluation
439
Measurement Problems in Econometrics
442
Encompassing
501
References
819
Common Acronyms
847
Author Index
853
Subject Index
859
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About the author (1995)

David Hendry is at Nuffield College, Oxford.

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