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Dynamic Econometrics

1995 Business & Economics
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Release : 1995
Genre : Business & Economics
Kind : eBook
Book Rating : 164/5 ( reviews)

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Book Synopsis Dynamic Econometrics by : David F. Hendry

Download or read book Dynamic Econometrics written by David F. Hendry. This book was released on 1995. Available in PDF, EPUB and Kindle. Book excerpt: 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. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Dynamic Econometrics For Empirical Macroeconomic Modelling

2019-07-09 Business & Economics
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Release : 2019-07-09
Genre : Business & Economics
Kind : eBook
Book Rating : 534/5 ( reviews)

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Book Synopsis Dynamic Econometrics For Empirical Macroeconomic Modelling by : Ragnar Nymoen

Download or read book Dynamic Econometrics For Empirical Macroeconomic Modelling written by Ragnar Nymoen. This book was released on 2019-07-09. Available in PDF, EPUB and Kindle. Book excerpt: For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.

Nonlinearities in Economics

2021-08-31 Business & Economics
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Release : 2021-08-31
Genre : Business & Economics
Kind : eBook
Book Rating : 825/5 ( reviews)

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Book Synopsis Nonlinearities in Economics by : Giuseppe Orlando

Download or read book Nonlinearities in Economics written by Giuseppe Orlando. This book was released on 2021-08-31. Available in PDF, EPUB and Kindle. Book excerpt: This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.

Dynamic Econometric Modeling

1988-06-24 Business & Economics
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Release : 1988-06-24
Genre : Business & Economics
Kind : eBook
Book Rating : 954/5 ( reviews)

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Book Synopsis Dynamic Econometric Modeling by : William A. Barnett

Download or read book Dynamic Econometric Modeling written by William A. Barnett. This book was released on 1988-06-24. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together presentations of some of the fundamental new research in dynamic econometric modeling.

Dynamic Nonlinear Econometric Models

2013-03-09 Business & Economics
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Release : 2013-03-09
Genre : Business & Economics
Kind : eBook
Book Rating : 867/5 ( reviews)

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Book Synopsis Dynamic Nonlinear Econometric Models by : Benedikt M. Pötscher

Download or read book Dynamic Nonlinear Econometric Models written by Benedikt M. Pötscher. This book was released on 2013-03-09. Available in PDF, EPUB and Kindle. Book excerpt: Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.

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