Econometric modeling : a likelihood approach / David F. Hendry, Bent Nielsen.

Format:

Book

Author/Creator:

Hendry, David F., author.

Nielsen, Bent, 1969- author.

Language:

English

Subjects (All):

Econometric models.

Econometrics.

Physical Description:

1 online resource (378 pages)

Place of Publication:

Princeton ; Oxford : Princeton University Press, [2007]

Summary:

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 cointe.

Contents:

The Bernoulli model

Inference in the Bernoulli model

A first regression model

The logit model

The two-variable regression model

The matrix algebra of two-variable regression

The multiple regression model

The matrix algebra of multiple regression

Mis-specification analysis in cross sections

Strong exogeneity

Empirical models and modeling

Autoregressions and stationarity

Mis-specification analysis in time series

The vector autoregressive model

Identification of structural models

Non-stationary time series

Cointegration

Monte Carlo simulation experiments

Automatic model selection

Structural breaks

Forecasting

The way ahead.

Notes:

Description based on print version record.

Includes bibliographical references (pages [345]-355) and indexes.

ISBN:

9781400845651

1400845653

OCLC:

958520929