New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression

New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression

New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression

New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression

Synopsis

Contents: Preface to Second Edition Preface 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 References Index
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