Empirical modeling in dynamic econometrics

DOI10.1016/0096-3003(86)90006-8zbMath0603.90040MaRDI QIDQ1083014

David F. Hendry

Publication date: 1986

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(86)90006-8

zbMATH Keywords

evaluation; intertemporal optimization; discovery; dynamized static equilibria; modeling economic time series; taxonomy of information sets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B84: Economic time series analysis

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• On the formulation of empirical models in dynamic econometrics
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Exogeneity
• The Econometric Analysis of Economic Time Series
• Dynamic Adjustment when the Target is Nonstationary
• Selection of Subsets of Regression Variables
• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
• Some Tests of Dynamic Specification for a Single Equation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
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