New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector AutoregressionE. Elgar, 1992 - 370 páginas This unique book successfully presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students. New Directions in Econometric Practicereflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the 'general-to-specific' approach associated with Hendry and cointegration analysis introduced by Engle and Granger. It presents a framework for the building of empirical models using one of the new approaches which is not limited to any specific area. The principal method of estimation used throughout the book is ordinary least squares. The book will be supplementary reading for traditional courses in econometric theory and essential reading for the increasingly popular courses in applied econometrics. |
Índice
Principles of traditional methodology | 4 |
The failure of traditional econometrics | 11 |
3 | 30 |
Página de créditos | |
Otras 21 secciones no se muestran.
Otras ediciones - Ver todo
New Directions in Econometric Practice: General to Specific Modelling ... Wojciech Charemza,Derek Deadman Vista de fragmentos - 1997 |
New Directions in Econometric Practice: General to Specific Modelling ... Wojciech Charemza,Derek Deadman Vista de fragmentos - 1997 |
New Directions in Econometric Practice: General to Specific Modelling ... Wojciech Charemza,Derek Deadman Vista de fragmentos - 1997 |
Términos y frases comunes
ADL model analysis Augmented Dickey-Fuller tests autocorrelation autoregressive B₁ B₂ causality Chapter Charemza COEF STD ERR coefficient of determination cointegrating vector conditional process cons consumption and income consumption function Cowles Commission critical values d4inf data mining denoted deterministic DHSY model differencing dinf Durbin-Watson statistic econometric models endogenous ERR H.C.S.E. t-VALUE error correction mechanism error term estimated example exogenous exogenous variables explanatory variables Forecasts VARI COEF Granger Hendry INCPT inflation intercept Lagrange Multiplier less 0 Forecasts level of significance long run relationship lower upper lower marginal process matrix methodology null hypothesis OLS The Sample ordinary least squares PC-GIVE problem recursive regression rejected residuals restrictions Sample is 1958 sample period Section specific modelling stationary STD ERR H.C.S.E. stochastic process structural invariance trend unrestricted upper lower upper VARI COEF STD Wald test weakly exogenous Y₁ zero