A01=Bent Nielsen
A01=David F. Hendry
Accuracy and precision
Asymptotic distribution
Author_Bent Nielsen
Author_David F. Hendry
Autocorrelation
Autoregressive conditional heteroskedasticity
Autoregressive model
Bayesian
Bernoulli distribution
Bias of an estimator
Category=KCH
Central limit theorem
Chow test
Cointegration
Conditional expectation
Conditional probability distribution
Confidence interval
Correlation and dependence
Correlogram
Count data
Distribution function
Dummy variable (statistics)
Econometric model
Empirical distribution function
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equation
Error term
Estimation
Estimator
Fair coin
Forecast error
Forecasting
Granger causality
Heteroscedasticity
Inference
Instrumental variable
Joint probability distribution
Law of large numbers
Least squares
Likelihood function
Likelihood-ratio test
Logistic regression
Lucas critique
Marginal distribution
Maximum likelihood estimation
Model selection
Monte Carlo method
Multiple correlation
Nonparametric regression
Normal distribution
Normality test
One-Tailed Test
Parameter
Partial correlation
Probability
Probit model
Quantile
Quantity
Random variable
Regression analysis
Skewness
Standard error
Stationary process
Statistic
Student's t-test
T-statistic
Test statistic
Time series
Type I and type II errors
Unit root
Unit root test
Variable (mathematics)
Variance
White test
Product details
- ISBN 9780691130897
- Weight: 652g
- Dimensions: 178 x 254mm
- Publication Date: 25 Mar 2007
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Paperback
Secure
checkout
Fast Shipping
Easy returns
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 regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students.
Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
David F. Hendry is Professor of Economics at the University of Oxford and a Fellow of Nuffield College. Bent Nielsen is Reader in Econometrics at the University of Oxford and a Fellow of Nuffield College
