Reviews
- 'This is a book of really breathtaking scope and vision ... It belongs on every
econometrician's bookshelf, whether you buy hendry's vision in its entirety or not.' -C. R
Nelson, Econometric Reviews
Description
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.
Readership: Graduate students; academic or practitioner econometricians or
statisticians.
Authors, editors, and contributors
David F. Hendry, Leverhulme Personal, Research Professor of Economics and Fellow
904 pages