Dynamic Econometrics - Brossura

Hendry, David F.

Brossura

ISBN 10: 0198283164 ISBN 13: 9780198283164

Casa editrice: OUP Oxford, 1995

Riassunto

This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.

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.

Su questo libro

Recensione

This is a book of really breathtaking scope and vision ... It belongs on every econometrician's bookshelf, whether you buy hendry's vision in its entirety or not. (C. R Nelson, Econometric Reviews)

Dettagli dell'edizione

• Editore: OUP Oxford
• Data di pubblicazione: 1995
• Lingua: Inglese
• ISBN 10: 0198283164
• ISBN 13: 9780198283164
• Rilegatura: Copertina flessibile
• Numero di pagine: 904
• Contatto del produttore: non disponibile
• Persona responsabile: Penguin Random House Ireland Limited; productsafety@penguin.co.uk; ; Morrison Chambers, 32 Nassau Street; Dublin; Irlanda