DYNAMIC ECONOMETRICS ADVANCED TEXTS IN ECONOMETRICS HENDRY D. Księgarnia

Dynamic Econometrics

David F. Hendry, Leverhulme Personal, Research Professor of Economics and Fellow

Description

'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

Dynamic Econometrics presents a systematic and operational approach to econo--metric modelling, based on the outcome of a twenty-year research programme. It addresses the practical difficulties of modelling data when the mechanism is unknown, with theory and evidence interlinked at every stage of the discussion.

The main problem in econometric modelling of time series is discovering sustain-able and interpretable relationships between observed economic variables. This book develops an econometric approach which sustains constructive modelling, clarifies the status of empirical econometric models, and formulates structured tools for critically appraising evidence. Professor Hendry deals with methodological issues of model discovery, data mining, and progressive research strategies, and with major tools for modelling (including recursive methods, encompassing, super exogeneity, and invariance tests). In addition, he considers practical problems of collinearity, heteroscedacity, and measurement errors, and includes an extensive study of UK money demand.

The book is self contained, with technical background covered in appendices of matrix algebra, probability theory, regression, asymptotic distribution theory, numerical optimization, and macro-econometrics. Mathematical results appear in solved examples and exercises, and live classroom teaching of econometrics via computer demonstrations is stressed. The structure of the book makes it of practical value to ecomomists investigating empirical phenomena, to advanced undergraduate and graduate econometrics students, and to statisticians involved in the analysis of social science time series.

David F. Hendry is Professor of Economics at Oxford University, and a Fellow of Nuffield College.

Professor Hendry has written a systematic and lucid style of econometric modelling of economic time series data. He presents and analyses methodological issues, theoretical developments such as cointegration, and important practical problems. This selfcontained and empirically-oriented work is highly suitable for both practising economists and students, and includes an extensive study of US money demand.
Readership: Graduate students; academic or practitioner econometricians or statisticians

890 pages.

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czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.