Econometric Modeling: A Likelihood Approach

Hendry, David F.

ISBN 10: 0691130892 ISBN 13: 9780691130897

Published by Princeton University Press, 2007

Language: English

Condition: New Soft cover

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Bibliographic Details

Title

Econometric Modeling: A Likelihood Approach

Publisher

Princeton University Press

Publication Date

2007

Language

English

ISBN 10

0691130892

ISBN 13

9780691130897

Binding

Soft cover

Condition

New

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About this title

Synopsis

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques.

David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied.

Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.

About the Author

David F. Hendry is Professor of Economics at the University of Oxford and a Fellow of Nuffield College. Bent Nielsen is Reader in Econometrics at the University of Oxford and a Fellow of Nuffield College

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