Dynamic Econometrics
Hendry, David
Dynamic Econometrics [electronic resource] - New York : Oxford University Press, Incorporated April 1995 - xxxiv,869p. 23cm - Advanced Texts in Econometrics Ser. .
License restrictions may limit access.
Annotation 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.
College Audience Oxford University Press, Incorporated
9780198283164 0198283164 (Trade Paper) USD 99.00 Retail Price (Publisher) = Dynamic Econometrics
9780198283164
00020142
econometrics
330.01 HEN
Dynamic Econometrics [electronic resource] - New York : Oxford University Press, Incorporated April 1995 - xxxiv,869p. 23cm - Advanced Texts in Econometrics Ser. .
License restrictions may limit access.
Annotation 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.
College Audience Oxford University Press, Incorporated
9780198283164 0198283164 (Trade Paper) USD 99.00 Retail Price (Publisher) = Dynamic Econometrics
9780198283164
00020142
econometrics
330.01 HEN