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Dynamic Econometrics
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Dynamic Econometrics

David F. Hendry

Abstract

This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics (including exogeneity and encompassing), models, processes, estimators, and inference procedures (centred on maximum likelihood) are discussed with solved examples and exercises. Practical problems in empirical modelling, such as model discovery, evaluation, and data mining are addressed, and illustrated using the software system PcGive. Background analyses cover matrix algebra, probability theory, ... More

Keywords: cointegration, data mining, econometric modelling, encompassing, exogeneity, maximum likelihood, model discovery, model evaluation, non‐stationarity, reduction

Bibliographic Information

Print publication date: 1995 Print ISBN-13: 9780198283164
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198283164.001.0001

Authors

Affiliations are at time of print publication.

David F. Hendry, author
Research Professor of Economics and Fellow
Author Webpage