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This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.
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.
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This is a book of really breathtaking scope and vision ... It belongs on every econometrician's bookshelf, whether you buy hendry's vision in its entirety or not. (C. R Nelson, Econometric Reviews)
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Book Description U.S.A.: Oxford University Press, 1995. Soft cover. Condition: New. 1st Edition. Seller Inventory # ABE-1487770387946
Book Description Condition: New. This is a brand new book! Fast Shipping - Safe and Secure Mailer - Our goal is to deliver a better item than what you are hoping for! If not we will make it right!. Seller Inventory # 1XGGTE0000GL_ns
Book Description Oxford University Press, USA, 1995. Paperback. Condition: New. Seller Inventory # DADAX0198283164
Book Description Oxford University Press, 1995. Paperback. Condition: New. Never used!. Seller Inventory # P110198283164
Book Description Oxford Univ Pr, 1995. Paperback. Condition: Brand New. 1st edition. 904 pages. 9.50x6.50x2.25 inches. In Stock. Seller Inventory # zk0198283164