Dynamic Econometrics (Advanced Texts in Econometrics) - Hardcover

Hendry, David F.

Hardcover

ISBN 10: 0198283172 ISBN 13: 9780198283171

Publisher: Oxford University Press, 1995

Synopsis

Dynamic Econometrics presents a systematic and operational approach to econometric modelling, based on the outcome of a twenty-year research programme. It addresses the practical difficulties of modelling data when the mechanism is unknown, with theory and evidence interlinked at every stage of the discussion. The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. This book develops an econometric approach which sustains constructive modelling, clarifies the status of empirical econometric models, and formulates structured tools for critically appraising evidence. Professor Hendry deals with methodological issues of model discovery, data mining, and progressive research strategies, and with major tools for modelling (including recursive methods, encompassing, super exogeneity, and invariance tests). In addition, he considers practical problems of collinearity, heteroscedacity, and measurement errors, and includes an extensive study of UK money demand. The book is self contained, with technical background covered in appendices of matrix algebra, probability theory, regression, asymptotic distribution theory, numerical optimization, and macro-econometrics. Mathematical results appear in solved examples and exercises, and live classroom teaching of econometrics via computer demonstrations is stressed. The structure of the book makes it of practical value to economists investigating empirical phenomena, to advanced undergraduate and graduate econometrics students, and to statisticians involved in the analysis of social science time series.

About this title

About the Author

David Hendry is at Nuffield College, Oxford.

Review

"This is a book of really breathtaking scope and vision that argues with fervor (in econometrics!) for a methodological viewpoint that aims to tell us how to do econometrics." --Econometric Reviews

Edition details

• Publisher: Oxford University Press
• Publication date: 1995
• Language: English
• ISBN 10: 0198283172
• ISBN 13: 9780198283171
• Binding: Hardcover
• Number of pages: 904