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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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A Typology of Linear Dynamic Equations

A Typology of Linear Dynamic Equations

(p.231) 7 A Typology of Linear Dynamic Equations
Dynamic Econometrics

David F. Hendry (Contributor Webpage)

Oxford University Press

Nine special cases of the autoregressive‐distributed lag model are analysed focusing on important econometric problems, namely: simple‐to‐general modelling; the ‘time‐series vs. econometrics’ debate; potential theory inconsistency; non‐autonomy; the role of expectations; autocorrelation corrections; multicollinearity; and equilibrium correction and cointegration. Monte Carlo and empirical studies illustrate each case. The analysis reveals that empirical results depend on the choice of model type.

Keywords:   autocorrelation corrections, autoregressive‐distributed lag, equilibrium correction, general‐to‐simple modelling, multicollinearity

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