General-to-Specific Modelling (International Library of Critical Writings in Econometrics)

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9781852786694: General-to-Specific Modelling (International Library of Critical Writings in Econometrics)
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In the field of econometrics, general-to-specific modeling is a method for selecting useful empirical models in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. In this two-volume set, Campos (econometrics, U. de Salamanca, Spain), Ericsson (Federal Reserve Board, US), and Hendry (economics, U. of Oxford, UK) present 54 previously published papers from scholarly journals that together provide an introduction to the methodology, a survey of important issues, and discussion of applications. The first volume contains papers that cover the history of the approach and explain its basic features; summarize the theory of reduction, concentrating on the issue of exogeneity and the reductions associated with that concept; look at how the theory of reduction aids in understanding the issue of dynamic specification; and introduce the model selection procedures of sequential simplification tests, progressive modeling strategies, and cointegrated systems. A section on model selection criteria begins the second volume, followed by papers dealing with model comparison, encompassing tests that evaluate a given model against the information content in an alternative specification, computer automation for data mining, and empirical applications for different countries and different sectors of the economy. Annotation 2006 Book News, Inc., Portland, OR (booknews.com)

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Edited by Julia Campos, Professor of Econometrics, Universidad de Salamanca, Spain, Neil R. Ericsson, Federal Reserve Board, US and David F. Hendry, Professor of Economics, Fellow, Nuffield College and Chairman, Economics Department, University of Oxford, UK

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`As data sets have become larger, computers greatly increased in capacity and speed, exploratory techniques have grown more sophisticated and models are now multivariate, dynamic, and possibly nonlinear. The number of models that could be considered, and thus compared, have become immense. Econometricians need to be helped through this tangled maze and this help can be found in these volumes. Here leading advocates of a variety of well-tried and appreciated approaches to modeling display their expert knowledge.' -- The late Sir Clive W.J. Granger, University of California, San Diego, US and 2003 Nobel Laureate in Economics

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