Modelling Economic Series: Readings in Econometric Methodology

ISBN-13: 9780198287360 / Angielski / Miękka / 1991 / 424 str.

Granger, C. W. J.

Opis

This is a volume of readings for graduate students, especially those taking courses in applied econometrics, who need to learn how to evaluate the validity of present theories and techniques. The aim of the text is to aid readers in the difficult task of actually constructing models. The essays vary in the degree of technical sophistication used, but each paper intends to provide students with a sound knowledge of the practical difficulties of model specification, evaluation and interpretation, as well as advice on tackling these difficulties.

Recenzje

`very useful textbook' E. Tzaralis, University of Exeter

Spis treści

Part I: Introduction to Part I: Edward E. Leamer: Let's take con out of econometrics; Michael McAleer, Adrian R. Pagan & Paul A. Volker: What will take the con out of econometrics?; Trevor S. Breusch: Simplified extreme bounds; Adrian R. Pagan, Paul A. Volker, Thomas F. Cooley & Stephen F. LeRoy: What will take the con out of econometrics?: A reply to McAleer; Edward E. Leamer: Sensitivity analysis would help; Adrian Pagan: Three econometric methodologies: A critical appraisal; David F. Hendry & Grayham E. Mizon: Procrustean econometrics: or stretching and squeezing data; Christopher A. Sims: Macroeconomics and reality; Part II: Alternative Methodologies: Introduction to Part II: Ray Fair: Macroeconomic methodology; Richard M. Todd: Improving economic forecasting with Bayesian vector autoregression; Edward E. Leamer: A Bayesian analysis of the determinants of inflation; Arnold Zellner: Bayesian analysis in econometrics; Part III: LSE Methodology: Introduction to Part III: Christopher Gilbert: Professor Hendry's econometric methodology; David F. Hendry & Jean-Francois Richard: On the formulation for empirical models in dynamic econometrics; Aris Spanos: Towards a methodology of econometric modelling; Part IV: Model Evaluation and Selection: Introduction to Part IV: Halbert White: Model selection; Y. Chong & D. F. Hendry: Econometric evaluation of linear macro-economic models