000			03440pam a2200337 a 4500
001			1637525
003			OSt
005			20210414114457.0
008			961203s1997 nhu b 001 0 eng
010			_a 96052264
020			_a1858986001
020			_a1858986036 (pbk.)
040			_aDLC _cDLC _dDLC
050	0	0	_aHB139.C435
082	0	0	_a330/.01/5195 _221
100	1		_aCharemza, Wojciech W.
245	1	0	_aNew directions in econometric practice: General to specific modelling, cointegration, and vector autoregression. / _cWojciech W. Charemza and Derek F. Deadman.
250			_a2nd ed.
260			_aMassachusetts : _bEdward Elgar Pub., _c1997.
300			_axiv, 344 p. : _c24 cm.
500			_aIncludes bibliographical references and indexes.
505			_aContents: 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.
650		0	_aEconometric models.
650		0	_aAutoregression (Statistics)
650		0	_aVector analysis.
650		0	_aCointegration.
700	1		_aDeadman, Derek F. _d1948-
906			_a7 _bcbc _corignew _d1 _eocip _f19 _gy-gencatlg
942			_2lcc _cBK
999			_c5672 _d13172