Dynamic econometrics

Book

Provides tools for the critical appraisal of empirical evidence in time-series econometrics as well as an organized approach to econometrics that will enable the reader to undertake applied econometrics research and establish a credible evidential basis for the results. Designed for economists investigating empirical phenomena, for advanced undergraduate and graduate econometrics students, and for statisticians involved in the analysis of social science time series. Part 1 addresses the situation where the complete structure of the process that generates economic data is known and the values of its parameters, discussing important econometric concepts, econometric tools and techniques, dynamics and interdependence, exogeneity and causality, interpretations of linear models, a typology of linear dynamic equations, dynamic systems, and the theory of reduction. Part 2 studies estimation and inference, assuming the form of the data-generation process is known but that its parameters are unknown, and covers likelihood, simultaneous equations systems, measurement problems in econometrics, and testing and evaluation. Part 3 addresses practical problems, modeling, and applications in the empirically relevant setting where even the form of the data-generation process is unknown to the investigator, including issues of model discovery, evaluation, data mining, model misspecification, and encompassing. Includes end-of-chapter exercises. Hendry is Professor of Economics at Oxford University and a fellow of Nuffield College. Author and subject indexes.

Authors: Hendry, D

• Publisher: Oxford University Press
• Host title: Advanced Texts in Econometrics
• Place of publication: New York and Oxford
• Publication date: 1995-01-01
• ISBN: 0-19-828317-2
• Language: English