DYNAMIC ECONOMETRICS HENDRY D. Księgarnia

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

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.