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The Methodology and Practice of Econometrics
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This book collects a series of essays to celebrate the work of David Hendry: one of the most influential of all modern econometricians.
David’s writing has covered many areas of modern econometrics, which brings together insights from economic theory, past empirical evidence, the power of modern computing, and rigorous statistical theory to try to build useful empirically appealing models. His work led to the blossoming of the use of error correction models in applied and theoretical work. The questions he asked about multivariate nonstationary time-series were the basis of Clive Granger’s formalization of cointegration. His sustained research programme has led to a massive increase in the rigour with which many economists carry out applied work on economic time-series. He pioneered the development of strong econometric software (e.g. PcGive and PcGets) to allow applied researchers to use their time effectively and developed the general-to-specific approach to model selection. Throughout the period we have known him he has been the most intellectually generous colleague we have ever had. A brave searcher for truth and clarity, with broad and deep knowledge, he is, to us, what an academic should be.
The volume is a collection of original research in time-series econometrics, both theoretical and applied, and reflects David’s interests in econometric methodology. The volume is broadly divided into five sections, including model selection, correlations, forecasting, methodology, and empirical appli- cations, although the boundaries are certainly opaque. The first four chapters focus on issues of model selection, a topic that has received a revival of interest in the last decade, partly due to David’s own writings on the sub- ject.
Jennifer L. Castle and Neil Shephard - Personal Name
1st Edtion
978–0–19–923719–7
NONE
The Methodology and Practice of Econometrics
Economics
English
Oxford University Press Inc
2009
New York
4-464
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