This unique book successfully presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students.
New Directions in Econometric Practice reflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the ‘general-to-specific’ approach associated with Hendry and cointegration analysis introduced by Engle and Granger. It presents a framework for the building of empirical models using one of the new approaches which is not limited to any specific area. The principal method of estimation used throughout the book is ordinary least squares.
The book will be supplementary reading for traditional courses in econometric theory and essential reading for the increasingly popular courses in applied econometrics.
This unique book successfully presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students.
New Directions in Econometric Practice reflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the ‘general-to-specific’ approach associated with Hendry and cointegration analysis introduced by Engle and Granger. It presents a framework for the building of empirical models using one of the new approaches which is not limited to any specific area. The principal method of estimation used throughout the book is ordinary least squares.
The book will be supplementary reading for traditional courses in econometric theory and essential reading for the increasingly popular courses in applied econometrics.
Contents: 1. Traditional Methodology in Retrospect 2. Data Mining 3. Origins of a Modern Methodology: The DHSY Consumption Function 4. General to Specific Modelling 5. Cointegration Analysis 6. Vector Autoregression: Forecasting, Causality and Cointegration 7. Exogeneity and Structural Invariance 8. Non–Nested Models, Encompassing and Model Selection Exercises for Discussion Appendices References Author Index, Subject Index
Wojciech W. Charemza, Professor of Economics and Derek F. Deadman, former Senior Lecturer in Economics, University of Leicester, UK
’This volume is an extremely welcome addition to the plethora of theory and applied econometrics texts now on the market. . . . I expect the content and the method of presentation of New Directions in Econometric Practice will lead to it being widely adopted for undergraduate courses in applied econometrics.’
|
Ask a Question About this Product More... |
|
