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.
