Dynamic Econometrics [electronic resource]
Material type:
TextSeries: Advanced Texts in Econometrics SerPublication details: New York : Oxford University Press, Incorporated April 1995Description: xxxiv,869p. 23cmISBN: 9780198283164; 0198283164 (Trade Paper)Subject(s): econometricsDDC classification: 330.01 HEN Online resources: Full text available from Oxford Scholarship Online Economics and Finance Oxford Scholarship Online Economics and FinanceSummary: 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.
| Item type | Current library | Collection | Call number | Status | Date due | Barcode |
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Reserved Books
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Main Library
Main Library |
NFIC | 330.01 HEN (Browse shelf (Opens below)) | Not for loan | 18614 |
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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
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