This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.
The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand.
The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching.
- ISBN10 0198283164
- ISBN13 9780198283164
- Publish Date 23 February 1995 (first published 1 February 1995)
- Publish Status Active
- Publish Country GB
- Imprint Oxford University Press
- Format Paperback
- Pages 904
- Language English