This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. The volume contains seventeen papers by the leading authorities in the field, divided into four groups, to each of which the editor provides an introduction. The whole volume is prefaced with an editorial discussion of the controversies of the subject. The methods critically discussed include the traditional ones, such as vector auto-regressions; Bayesian techniques; and the comprehensive modelling strategy advocated by reseachers at the London School of Economics. The papers vary in the degree of sophistication used, but anyone reading the book should gain a sound knowledge of the practical difficulties involved in model specification, evaluation, and interpretation.
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Editorial Reviews
Review
`The appearance of this volume is singularly welcome and not a minute premature ... For anyone remotely interested in applied economic research, it is hard to recommend this volume strongly enough, and Professor Granger deserves our warmest thanks for putting it together ... Now that we have the implications of the biggest theoretical advance in several decades to unravel, it will be fascinating to watch how the methodology controversy develops. As the show begins, this volume will be an indispendable handbook for both interested spectators and participants in the arena.' Economica
'The book is a fascinating document which bears witness to the confusion, frustration and occasional anger of a scientific discipline which is beset by failure on every side.' D.S.G. Pollock, The Economic Journal, July 1991
`very useful textbook' E. Tzaralis, University of Exeter
'The book is a fascinating document which bears witness to the confusion, frustration and occasional anger of a scientific discipline which is beset by failure on every side.' D.S.G. Pollock, The Economic Journal, July 1991
`very useful textbook' E. Tzaralis, University of Exeter
About the Author
C. W. J. Granger is at University of California, San Diego.
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Inside This Book
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First Sentence:
Econometricians would like to project the image of agricultural experimenters who divide a farm into a set of smaller plots of land and who select randomly the level of fertilizer to be used on each plot. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
statistically adequate model, simulation tracking performance, structural modeller, doubtful variables, standard error scale factor, empirical econometric model, focus coefficient, extreme bounds analysis, congruent model, progressive research strategy, global sensitivity analysis, methodology formalized, unemployment equation, simplicity postulate, estimable model, forecast confidence intervals, encompassing tests, prior variances, parameter constancy, model selection procedure, structural econometric models, cross variable, inflation equation, lag distributions, strong exogeneity Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, American Economic Review, Journal of Econometrics, Cambridge University Press, United Kingdom, Basil Blackwell, Journal of Political Economy, Economic Journal, Monte Carlo, Quantitative Economics, Bank of England, David Hendry, Journal of the American Statistical Association, Review of Economic Studies, United States, University of Chicago, Econometric Reviews, Australian National University, Cowles Commission, Federal Reserve Bank of Minneapolis, University of California, West Germany, Handbook of Econometrics, Journal of the Royal Statistical Society, Brookings Papers New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Econometricians would like to project the image of agricultural experimenters who divide a farm into a set of smaller plots of land and who select randomly the level of fertilizer to be used on each plot. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
statistically adequate model, simulation tracking performance, structural modeller, doubtful variables, standard error scale factor, empirical econometric model, focus coefficient, extreme bounds analysis, congruent model, progressive research strategy, global sensitivity analysis, methodology formalized, unemployment equation, simplicity postulate, estimable model, forecast confidence intervals, encompassing tests, prior variances, parameter constancy, model selection procedure, structural econometric models, cross variable, inflation equation, lag distributions, strong exogeneity Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, American Economic Review, Journal of Econometrics, Cambridge University Press, United Kingdom, Basil Blackwell, Journal of Political Economy, Economic Journal, Monte Carlo, Quantitative Economics, Bank of England, David Hendry, Journal of the American Statistical Association, Review of Economic Studies, United States, University of Chicago, Econometric Reviews, Australian National University, Cowles Commission, Federal Reserve Bank of Minneapolis, University of California, West Germany, Handbook of Econometrics, Journal of the Royal Statistical Society, Brookings Papers New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
8
books
cite this book:
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- Idealization VI: Idealization in Economics (Poznan Studies, 38) by Bert Hamminga on page 98, and page 99
- A Guide to Modern Economics by Michael Bleaney on page 431, and page 449
- Beyond Rhetoric and Realism in Economics: Towards a Reformulation of Methodology (Economics as Social Theory) by Thomas Boylan in Back Matter
- Finite Sample Econometrics (Advanced Texts in Econometrics) by Aman Ullah in Front Matter
- Finite Sample Econometrics (Advanced Texts in Econometrics) by Aman Ullah in Front Matter
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