Since the first edition of this book was published in 1993, David Hendry's work on econometric methodology has become increasingly influential. In this edition he presents a brand new paper which compellingly explains the logic of his general approach to econometric modeling and describes recent major advances in computer-automated modeling, which establish the success of the proposed strategy. Empirical studies of consumers' expenditure and money demands illustrate the methods in action. The breakthrough presented here will make econometric testing much easier.

Since the first edition of this book was published in 1993, David Hendry's work on econometric methodology has become increasingly influential. In thi...

William A. Barnett David F. Hendry Svend Hylleberg

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to fo...

William A. Barnett David F. Hendry Svend Hylleberg

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to fo...

David Hendry is one of the world's leading econometricians, and in this major new work he and Michael Clements provide an extended formal analysis of economic forecasting with econometric models: their analysis builds in many of the features of the real world that are often overlooked in traditional, textbook analyses of forecasting. Consequently, Clements and Hendry are able to suggest ways in which existing forecasting practices can be improved, as well as providing a rationale for some of the habitual practices of forecasters that have hitherto lacked a scientific foundation.

David Hendry is one of the world's leading econometricians, and in this major new work he and Michael Clements provide an extended formal analysis of ...

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...

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empir...

A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.

A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of th...

In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been published before. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric...

In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been ...

In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been published before. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric...

In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been ...

Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of available evidence, in a suitably parsimonious form. Another is to test a theory, or evaluate it against the evidence; still another is to forecast future outcomes. Building such models involves a multitude of decisions, and the large number of features that need to be taken into account can overwhelm the researcher. Automatic model selection, which draws on recent advances in computation and search algorithms, can create, and then empirically...

Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of avail...