03440pam a2200337 a 4500 1637525 OSt 20210414114457.0 961203s1997 nhu b 001 0 eng 96052264 1858986001 1858986036 (pbk.) DLC DLC DLC HB139.C435 330/.01/5195 21 Charemza, Wojciech W. New directions in econometric practice: General to specific modelling, cointegration, and vector autoregression. / Wojciech W. Charemza and Derek F. Deadman. 2nd ed. Massachusetts : Edward Elgar Pub., 1997. xiv, 344 p. : 24 cm. Includes bibliographical references and indexes. Contents: Traditional methodology in retrospect: Introduction -- Principles of traditional methodology -- The Failure of traditional econometrics -- Suggestions for further reading -- Data mining: Model selection and through 'data mining' -- The R*2 and student -t statistic criteria -- Pretesting and model selection -- Data mining and the failure of traditional econometrics -- Suggestions for further reading -- Origins of a modern methodology: The DHSY consumption function: Introduction -- Economic background -- Models of absolute and permanent income -- The DHSY model -- Methodological aspects of DHSY modelling -- Testing for parameter constancy -- Stylized computer output (PC-GIVE) -- Suggestions for further reading -- General to specific modelling: Autoregressive distributed lag modelling -- Testing restrictions -- Modelling the UK consumption function -- COMFAC analysis -- General to specific modelling and data mining -- Stylized computer output (PC-GIVE) -- Suggestions for further reading -- Cointegration analysis: Introductory concepts -- Nonstationary series and integrated processes -- Testing for the order of integration -- Further considerations in the testing for the order of integration -- The concept of cointegration -- Testing for cointegration -- Modelling cointegration series through error correction models -- An example of cointegration analysis -- Stylized computer output (PC-GIVE) -- Suggestions for further reading -- Vector autoregression: Forecasting, causality and cointegration: A reconsideration of structural modelling -- Principles of vector autoregressive modelling -- Impulse response analysis -- Casualty inference -- VAR and cointegration inference -- VAR alternatives to the DHSY model -- Stylized computer output (PC-GIVE) -- Suggestions for further reading -- Exogeneity and structural invariance: Data generating processes -- Weak and strong exogeneity -- Structural invariance, superexogeneity and the lucas critique -- Exogeneity in the DHSY model -- Stylized computer output (PC-GIVE) -- Suggestions for further reading -- Non-nested models, encompassing and model selection: Problems in choosing between models -- Model selection tests -- An empirical encompassing exercise -- Stylized computer output (PC-GIVE) -- Suggestions for further reading. Econometric models. Autoregression (Statistics) Vector analysis. Cointegration. Deadman, Derek F. 1948- 7 cbc orignew 1 ocip 19 y-gencatlg lcc BK 5672 13172 0 0 lcc 0 0 WIUC-1 WIUC-1 REF 2015-07-23 0 HB139.C435 7853/280/15 2015-07-23 00:00:00 1 2015-07-23 BK 0 0 lcc 0 0 WIUC-1 WIUC-1 REF 2015-07-23 0 HB139.C4351 7854/281/15 2015-07-23 00:00:00 2 2015-07-23 BK