Econometric Modeling : A Likelihood Approach

__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. 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. -- from back cover

Econometric Modeling provides a new and stimulatingintroduction to econometrics, focusing on modeling. The key issueconfronting empirical economics is to establish sustainablerelationships that are both supported by data and interpretablefrom economic theory. The unified likelihood-based approach of thisbook gives students the required statistical foundations ofestimation and inference, and leads to a thorough understanding ofeconometric techniques. David Hendry and Bent Nielsen introducemodeling for a range of situations, including binary data sets,multiple regression, and cointegrated systems. In each setting, astatistical model is constructed to explain the observed variationin the data, with estimation and inference based on the likelihoodfunction. Substantive issues are always addressed, showing how bothstatistical and economic assumptions can be tested and empiricalresults interpreted. Important empirical problems such asstructural breaks, forecasting, and model selection are covered,and Monte Carlo simulation is explained and applied.Econometric Modeling is a self-contained introduction foradvanced undergraduate or graduate students. Throughout, dataillustrate and motivate the approach, and are available forcomputer-based teaching. Technical issues from probability theoryand statistical theory are introduced only as needed. Nevertheless,the approach is rigorous, emphasizing the coherent formulation,estimation, and evaluation of econometric models relevant forempirical research.

Contents Preface Data and software Chapter One. The Bernoulli model Chapter Two. Inference in the Bernoulli model Chapter Three. A first regression model Chapter Four. The logit model Chapter Five. The two-variable regression model Chapter Six. The matrix algebra of two-variable regression Chapter Seven. The multiple regression model Chapter Eight. The matrix algebra of multiple regression Chapter Nine. Mis-specification analysis in cross sections Chapter Ten. Strong exogeneity Chapter Eleven. Empirical models and modeling Chapter Twelve. Autoregressions and stationarity Chapter Thirteen. Mis-specification analysis in time series Chapter Fourteen. The vector autoregressive model Chapter Fifteen. Identification of structural models Chapter Sixteen. Non-stationary time series Chapter Seventeen. Cointegration Chapter Eighteen. Monte Carlo simulation experiments Chapter Nineteen. Automatic model selection Chapter Twenty. Structural breaks Chapter Twenty One. Forecasting Chapter Twenty Two. The way ahead References Author index Subject index

hendry And Nielsen's econometric Modeling Is A Well-thought-out Alternative To Other Introductory Econometric Textbooks. I Especially Like The Decision To Treat Time-series And Cross-section Analysis Simultaneously, Since The Dichotomy Between Them, Which Arises In Most Other Texts, Is Artificial.--douglas Steigerwald, University Of California, Santa Barbara

this Textbook Is Concise, Up-to-date, And Largely Self-contained. The Models It Presents Are Just Complicated Enough To Set Out The Main Econometric Ideas.--marius Ooms, Free University, Amsterdam

john Hudson - Times Higher Education

hendry And Nielsen's Somewhat Unusual Data-driven Approach Works Well...providing Genuine Insights At A Reasonably Advanced Level.