The DOI matches its Crossref record; 8 of the 8 references it cites were found in a registry or an index.
Dynamic Econometrics
Abstract
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.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Powell, M. J. D. (1964) · The Computer Journal · doi:10.1093/comjnl/7.2.155 · Cited by 4,632
A Model of the Demand for Money by Firms
Miller, M. H., & Orr, D. (1966) · The Quarterly Journal of Economics · doi:10.2307/1880728 · Cited by 1,340
The Statistical Implications of a System of Simultaneous Equations
Haavelmo, T. (1943) · Econometrica · doi:10.2307/1905714 · Cited by 966
Cited by
Structural Equations, Treatment Effects, and Econometric Policy Evaluation1
Heckman, J. J., & Vytlacil, E. (2005) · Econometrica · doi:10.1111/j.1468-0262.2005.00594.x · Cited by 1,220
THE ESTIMATION OF CAUSAL EFFECTS FROM OBSERVATIONAL DATA
Winship, C., & Morgan, S. L. (1999) · Annual Review of Sociology · doi:10.1146/annurev.soc.25.1.659 · Cited by 890
Amplification of future energy demand growth due to climate change
van Ruijven, B. J., De Cian, E., & Sue Wing, I. (2019) · Nature Communications · doi:10.1038/s41467-019-10399-3 · Cited by 648
Griffin, J. M., Kelly, P. J., & Nardari, F. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhq044 · Cited by 556
Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr082 · Cited by 394
Metadata
- Authors
- Hendry, D. F.
- Publisher
- Oxford University PressOxford
- Published
- 1995-02-23
- OpenAlex
- W4205423032
- Cited by
- 1,148
- References
- 8
- FWCI
- 49.43
- Type
- book
- Language
- en
- Open access
- closed
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