ECONOMETRIC MODELING by David F. Hendry, Bent Nielsen ( 9780691131283 )

Item Details

Title:

ECONOMETRIC MODELING
A LIKELIHOOD APPROACH

By:

Format:

Hardback

List price:	£62.00
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ISBN 10:

0691131287

ISBN 13:

9780691131283

Publisher:

PRINCETON UNIVERSITY PRESS

Pub. date:

1 February, 2007

Pages:

384

Description:

Gives an introduction to econometrics, focusing on modeling. This book introduces modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. It covers important empirical problems such as structural breaks, forecasting and model selection. It explains and applies Monte Carlo simulation.

Synopsis:

"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 cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. "Econometric Modeling" is a self-contained introduction for advanced undergraduate or graduate students.Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.

Illustrations:

50 line illus.

Publication:

Imprint:

Princeton University Press

Returns:

Non-returnable

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