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Economics Beyond the Millennium$
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Alan P. Kirman and Louis-André Gérard-Varet

Print publication date: 1999

Print ISBN-13: 9780198292111

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198292112.001.0001

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Econometric Modelling: Methodologies and Interpretations

Econometric Modelling: Methodologies and Interpretations

Chapter:
(p.222) 11 Econometric Modelling: Methodologies and Interpretations
Source:
Economics Beyond the Millennium
Author(s):

Christian Gourieroux

Publisher:
Oxford University Press
DOI:10.1093/0198292112.003.0014

Christian Gourieroux starts out with the observation that the maintained hypothesis in econometrics is that the data is generated by some unknown stochastic process and that the job of the econometrician is to try to identify that process. He deals first with the case of well specified models and the ‘general to specific’ approach. He then moves on to misspecified models and shows how by indirect inference these can help in analysing more fully specified models. He also discusses how such models may be useful in deriving useful practical strategies at both the micro and macro level. He concludes by discussing non‐stationarity and suggests how one can deal with models that only slowly become misspecified over time.

Keywords:   data‐generating process, indirect inference, misspecified models, time‐series

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