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Dynamic Econometrics$
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David F. Hendry

Print publication date: 1995

Print ISBN-13: 9780198283164

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198283164.001.0001

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Econometric Concepts

Econometric Concepts

Chapter:
(p.31) 2 Econometric Concepts
Source:
Dynamic Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198283164.003.0002

The main concepts for empirical modelling of economic time series are explained: parameter and parameter space; constancy; structure; distributional shape; identification and observational equivalence; interdependence; stochastic process; conditioning; white noise; autocorrelation; stationarity; integratedness; trend; heteroscedasticity; dimensionality; aggregation; sequential factorization; and marginalization. A formal data‐generation process (DGP) for economics is the joint data density with an innovation error. Empirical models derive from reduction operations applied to the DGP.

Keywords:   conditioning, data‐generation process, economic time series, empirical modelling, identification, marginalization, sequential factorization, stochastic process

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