Dynamic Econometrics
Bibliographic Data
| ID | 23397355 |
|---|---|
| Authors | David F Hendry (0000-0002-8013-576X, Research Professor of Economics and Fellow, corresponding author) |
| Year | 1995 |
| Pages | 904 |
| Publication date | 1995-02-23 |
| Open Access | No |
| Type | BOOK |
| Venue | Dynamic Econometrics (Advanced Texts in Econometrics) (SOURCE_BOOK) |
| Publisher | Oxford University PressOxford (PUBLISHER) |
| DOI | 10.1093/0198283164.001.0001 |
| OpenAlex | W4205423032 |
| Open Library | OL7398937M |
| ISBN | 9780198283164 |
| Language | EN |
| Citations received | 134 |
| References cited | 305 |
This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics (including exogeneity and encompassing), models, processes, estimators, and inference procedures (centred on maximum likelihood) are discussed with solved examples and exercises. Practical problems in empirical modelling, such as model discovery, evaluation, and data mining are addressed, and illustrated using the software system PcGive. Background analyses cover matrix algebra, probability theory, multiple regression, stationary and non‐stationary stochastic processes, asymptotic distribution theory, Monte Carlo methods, numerical optimization, and macro‐econometric models. The reader will master the theory and practice of modelling non‐stationary (cointegrated) economic time series, based on a rigorous theory of reduction.
Econometric model · Econometrics · Endogeneity · Estimator · Inference · Monte Carlo method · Statistics · Artificial Intelligence · Complex Systems and Time Series Analysis · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Econometric models · Modèles économétriques
The answer was there all along
The Production of Knowledge
Time Series Analysis of Political Change
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Political Choice in Britain
The Mystery of Regional Unemployment Differentials
Structural Equations, Treatment Effects, and Econometric Policy Evaluation1
Tourism Demand Modelling and Forecasting
Dynamic spatial panels
Exploratory Research
The Press and its Influence on British Political Attitudes under New Labour
Digital Retaliation? Denial-of-Service Attacks after Sanction Events
The Limits of Institutions and the Reliance on Heuristics during the Covid-19 Pandemic
The Financial Crisis and the Systemic Failure of Academic Economics
Weak Exogeneity, Driving Trends and Non‐Causality Is Dynamic Adjustment Informative About Causality?
Does Sports Industry Matter in Human Wellbeing
An assessment of the factors influencing loyalty among active sport event tourists
Bayesian bootstrap aggregation for tourism demand forecasting
Towards adopting inflation targeting
A Brief History of General‐to‐specific Modelling
The Mathematical History Behind the Granger–Johansen Representation Theorem
Revisiting the Phillips Curve
U.S. Wage‐Price Dynamics, Before, During and After Covid‐19, Through the Lens of an Empirical Econometric Model
What a Puzzle! Unravelling Why UK Phillips Curves were Unstable
Looking Back to 1991 Economic Forecasting
Foreign influence, control, and indirect ownership
Political Selection Institutions and Policy Performance
Reflections on the LSE Tradition in Econometrics
Inextricability of Autonomy and Confluence in Econometrics
Banking crises in the US
The impact of macroeconomic conditions on income inequality
EU housing markets before financial crisis of 2008
The Impacts of Temporary Labour Migration on Farming Systems of the Loess Plateau, Gansu Province, China
Unintended Consequences of Politically Popular Sentencing Policy
Right‐to‐carry Concealed Handguns and Violent Crime
Determinants of long-term growth in India
Questioning the economic conditions-imprisonment link
Home Ownership and Pensions
Political change and party choice
Public attitudes towards political protest in Britain, 2000–02
Effect of financial crisis on sustainable growth
On The Determinants Of Capital Flight
Transition Into Adulthood With Autism Spectrum Disorders
The evolution of regional capitals in Western Australia
A dynamic approach to the Environmental Kuznets Curve hypothesis
The psychological effects of state socialization
Disequilibrium institutional factors in aggregate money demand
Induced Wage Effects of Changes in Food Prices in Egypt
Educational human capital and levels of income
Global Financial/Economic Crisis and Tourist Arrival Forecasts for Hong Kong
Citizenship in Britain
The Dynamics of Chronic Inflation in Brazil, 1968–1985
Modeling Inflation in Australia
Likelihood-Based Estimation of Dynamic Panels With Predetermined Regressors
Exogeneity, Cointegration, and Economic Policy Analysis
The Effect of Fomc Votes on Financial Markets
Evaluating Contextual Models for Intensive Longitudinal Data in the Presence of Noise
Asymmetric output‐gap effects in Phillips Curve and mark‐up pricing models
Regional Interest Rate Pass-Through in Italy
Unemployment in Interwar Germany
Property Taxation and the Economy after the Barker Review
What Moves Macropartisanship? A Response to Green, Palmquist, and Schickler
Housing Assistance
Group Practice of the Transcendental Meditation® and TM-Sidhi® Program and Reductions in Infant Mortality and Drug-Related Death
Instituciones y políticas en el declive económico de Uruguay durante el siglo xx
Impacto de la tasa de referencia de política monetaria en las tasas de interés del sistema financiero
On the Use of the Hidden Economy Estimates
The ontological status of shocks and trends in macroeconomics
Probabilities Of Causation
Why Did UK Manufacturing Productivity Growth Slow Down in the 1970s and Speed Up in the 1980s
Microfoundations and the Demand for Money
The Properties of Automatic Gets Modelling
The Econometrics of Macroeconomic Forecasting
Cops Grants and Crime Revisited
Critical realism in economics and open-systems ontology
Gaps in Enrollment From a Medicaid Managed Care Program
Urbanisation and the Demand for Food
Nonstationary Time Series, Cointegration, and the Principle of the Common Cause
Income Growth and Employment in the Pilbara
Path Dependence and the Evolution of a Patchwork Economy
Conditional relationships in dynamic models
To Lag or Not to Lag
Dynamic Models for Dynamic Theories
Institutional Arrangements and the Dynamics of Agenda Formation in the U.S. Supreme Court and Courts of Appeals
Recovering from economic coercion
Better Know Your Dependent Variable
Responsiveness and Electoral Accountability in the U.S. Senate
Tourism Demand Forecasting in Normal and Crisis Times
Opportunity, Constraints, and the Development of the Institutional Presidency
Television News, Economic Perceptions and Political Preferences in Britain, 1997–2001
Was treibt die Stimmbürger an die Urne? Eine empirische Untersuchung der Abstimmungsbeteiligung in der Schweiz, 1981-1999
Citizenship and Civic Engagement
The Calculus of Ethnic Minority Voting in Britain
Detecting true relationships in time series data with different orders of integration
How Do Sanctions Affect Incumbent Electoral Performance
Refutations Affirmed
An Institutional View of Congressional Elections
Political Campaign Advertising Dynamics
Not so Harmless After All
A Lot More to Do
The general theory of employment, interest, and money
Against Method
The scope and method of political economy
Time series analysis
Science and hypothesis.
Mathematical methods of statistics
The identification problem in econometrics
Nonlinear methods in econometrics
Principles of econometrics.
How the Laws of Physics Lie
The History of Econometric Ideas
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Monetary Trends in the United States and the United Kingdom
Linear Statistical Inference and its Applications
Understanding Consumption
Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
The Probable Error of a Mean
The Transactions Demand for Cash
Developments in the Study of Cointegrated Economic Variables
A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
Econometric Issues in the Analysis of Regressions with Generated Regressors
Trends and random walks in macroeconmic time series
The Power of Cointegration Tests
Spurious regressions in econometrics
Errors in Variables
The Probability Approach in Econometrics
Efficient tests for normality, homoscedasticity and serial independence of regression residuals
A long memory property of stock market returns and a new model
Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series
Alternative Tests of Independence between Stochastic Regressors and Disturbances
Forecasting and testing in co-integrated systems
ARCH modeling in finance
Forecasting and conditional projection using realistic prior distributions
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics 1
Rational Expectations and the Theory of Price Movements
Three-Stage Least Squares
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
Time Series Regression with a Unit Root
The Summation of Random Causes as the Source of Cyclic Processes
Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
The Statistical Implications of a System of Simultaneous Equations
Exogeneity
Understanding spurious regressions in econometrics
Inference in Linear Time Series Models with some Unit Roots
Pseudo Maximum Likelihood Methods
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Several Tests for Model Specification in the Presence of Alternative Hypotheses
Liquidity Preference as Behavior Towards Risk
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
The Estimation of Economic Relationships using Instrumental Variables
Seasonal integration and cointegration
Tests of Equality Between Sets of Coefficients in Two Linear Regressions
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Macroeconomics and Reality
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Large Sample Properties of Generalized Method of Moments Estimators
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
Specification Tests in Econometrics
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Aspects of Scientific Explanation
Causal inferences in nonexperimental research
The Methodology of Economics
A preliminary discourse on the study of natural philosophy.
Theory of the Consumption Function
Handbook of econometrics
Beyond Positivism
A Life Cycle Model of Female Labour Supply
Tests for Parameter Instability in Regressions with I(1) Processes
Measurement Without Theory
Studies in Econometric Method
Koopmans on the Choice of Variables to be Studies and the Methods of Measurement
Efficient Estimation of Simultaneous Equations by Instrumental Variables
Stability of a U. K. Money Demand Equation
The Demand for M1 in the USA
Serial Correlation as a Convenient Simplification, Not a Nuisance
Criticism and the growth of knowledge
Logic, Methodology and Philosophy of Science
Modelling Linear Dynamic Econometric Systems
Econometric Modelling
The Brookings Quarterly Econometric Model of the United States
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis
Economically Rational Expectations
Econometrics-Alchemy or Science
The Econometrics of Disequilibrium
Lectures on Advanced Econometric Theory
Large-Scale Macro-Econometric Models
Wages, Prices and Incomes Policies
The Analysis of Multiple Time Series
The Ultimate Foundation of Economic Science
Serial Correlation and a Bank of England Study of the Demand for Money
The `Buffer Stock Notion in Monetary Economics
The Elasticity of Demand for Wheat
Economic Structure and Development. Essays in Honour of Jan Tinbergen
The Duhem-Quine Thesis, Lakatos and the Appraisal of Theories in Macroeconomics
Pc-Naive
Laboratory Experimentation in Economics
| Unique citing works | 134 |
|---|---|
| Citations per year | 4,32 |
| Citation span | 1995 - 2026 (32) |
| Citation velocity | current |
| Highly cited | Yes |
| Citation types | Neutral: 133 |