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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

Chapter:
(p.231) 7 A Typology of Linear Dynamic Equations
Source:
Dynamic Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198283164.003.0007

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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