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New directions in econometric practice : general to specific modelling, cointegration, and vector autoregression / Wojciech W. Charemza and Derek F. Deadman.

By: Contributor(s): Publication details: Lyme, N.H. : Edward Elgar Pub., 1997.Edition: 2nd edDescription: xiv, 344 p. ; 24 cmISBN:
  • 1858986036 (pbk.)
  • 9781858986036 (pbk.)
Subject(s): DDC classification:
  • 330.015195 CHA
Contents:
Foreword / Richard E. Quandt -- 1. Traditional Methodology in Retrospect -- 2. Data Mining -- 3. Origins of a Modern Methodology: the DHSY Consumption Function -- 4. General to Specific Modelling -- 5. Cointegration Analysis -- 6. Vector Autoregression: Forecasting, Causality and Cointegration -- 7. Exogeneity and Structural Invariance -- 8. Non-nested Models, Encompassing and Model Selection -- Data Appendix -- Exercises for Discussion.

Includes bibliographical references and indexes.

Foreword / Richard E. Quandt -- 1. Traditional Methodology in Retrospect -- 2. Data Mining -- 3. Origins of a Modern Methodology: the DHSY Consumption Function -- 4. General to Specific Modelling -- 5. Cointegration Analysis -- 6. Vector Autoregression: Forecasting, Causality and Cointegration -- 7. Exogeneity and Structural Invariance -- 8. Non-nested Models, Encompassing and Model Selection -- Data Appendix -- Exercises for Discussion.