Features
- Cover Type: Paperback with 904 pages
- Published by: Oxford University Press, USA April 13, 1995
- Written in: English
- ISBN 10 Number: 0198283164
- ISBN 13 Number: 978-0198283164
-
Book Dimensions:
9.1 x 6 x 1.9 inches
- Weighs: 2.9 pounds
Product 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
Product Description
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 with methodological 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 includes an 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.
Reader Reviews
This review is from: Dynamic Econometrics (Advanced Texts in Econometrics) (Hardcover)
Dynamic Econometrics is a excellent book of econometric modeling, this book is a mixture of econometrics and economic theory.The book covers time series (ARMA, VAR, Unit roots, cointegration) , econometric modelling of time series (encompasing, nested tests, DGP's theory) and Macroeconometrics (Macroeconomic Theory and Statistical methods) the book is an excellent bridge between Macroeconomic Theory and Econometrics. PcGive, PcNaive and PcGets are excellent software for solving problems,in dynamic econometrics all examples maybe can be solved with this programs.
Search for books at
