Econometric modeling : a likelihood approach
David F. Hendry, Bent Nielsen
- Princeton, N.J. : Princeton University Press, c2007.
- xii, 365 p. : ill ; 26 cm.
- Princeton paperbacks .
The Bernoulli model -- Inference in the Bernoulli model -- A first regression model -- The logit model -- The two-variable regression model -- The matrix algebra of two-variable regression -- The multiple regression model -- The matrix algebra of multiple regression -- Mis-specification analysis in cross sections -- Strong exogeneity -- Empirical models and modeling -- Autoregressions and stationarity -- Mis-specification analysis in time series -- The vector autoregressive model -- Identification of structural models -- Non-stationary time series -- Cointegration -- Monte Carlo simulation experiments -- Automatic model selection -- Structural breaks -- Forecasting -- The way ahead.