Author: David F. HendryPublisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 48
Book Description
On the Interactions of Unit Roots and Exogeneity
Author: David F. HendryPublisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 48
Book Description
Almost All About Unit Roots
Author: In ChoiPublisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301
Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Unit Roots, Exogeneity, and Persistence
Author: Guglielmo Maria CaporalePublisher:
ISBN:
Category : Economics
Languages : en
Pages : 33
Book Description
The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions
Author: H. Y. TodaPublisher:
ISBN:
Category : Random walks (Mathematics)
Languages : en
Pages : 30
Book Description
Macroeconometrics
Author: Kevin D. HooverPublisher: Springer Science & Business Media
ISBN: 940110669X
Category : Business & Economics
Languages : en
Pages : 575
Book Description
Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.
Cointegration, Causality, and Forecasting
Author: Halbert WhitePublisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Unit Roots, Cointegration, and Structural Change
Author: G. S. MaddalaPublisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Econometrics and the Philosophy of Economics
Author: Bernt P. StigumPublisher: Princeton University Press
ISBN: 1400873231
Category : Business & Economics
Languages : en
Pages : 795
Book Description
As most econometricians will readily agree, the data used in applied econometrics seldom provide accurate measurements for the pertinent theory's variables. Here, Bernt Stigum offers the first systematic and theoretically sound way of accounting for such inaccuracies. He and a distinguished group of contributors bridge econometrics and the philosophy of economics--two topics that seem worlds apart. They ask: How is a science of economics possible? The answer is elusive. Economic theory seems to be about abstract ideas or, it might be said, about toys in a toy community. How can a researcher with such tools learn anything about the social reality in which he or she lives? This book shows that an econometrician with the proper understanding of economic theory and the right kind of questions can gain knowledge about characteristic features of the social world. It addresses varied topics in both classical and Bayesian econometrics, offering ample evidence that its answer to the fundamental question is sound. The first book to comprehensively explore economic theory and econometrics simultaneously, Econometrics and the Philosophy of Economics represents an authoritative account of contemporary economic methodology. About a third of the chapters are authored or coauthored by Heather Anderson, Erik Biørn, Christophe Bontemps, Jeffrey A. Dubin, Harald E. Goldstein, Clive W.J. Granger, David F. Hendry, Herman Ruge-Jervell, Dale W. Jorgenson, Hans-Martin Krolzig, Nils Lid Hjort, Daniel L. McFadden, Grayham E. Mizon, Tore Schweder, Geir Storvik, and Herman K. van Dijk.
Testing Exogeneity
Author: Neil R. EricssonPublisher:
ISBN: 9780198774044
Category : Business & Economics
Languages : en
Pages : 436
Book Description
This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Econometric Modeling
Author: David F. HendryPublisher: Princeton University Press
ISBN: 1400845653
Category : Business & Economics
Languages : en
Pages : 378
Book Description
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.