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Econometric Modeling: A Likelihood Approach download epub

by Bent Nielsen,David F. Hendry


Epub Book: 1684 kb. | Fb2 Book: 1606 kb.

providing genuine insights at a reasonably advanced level. -John Hudson, Times Higher Education.

providing genuine insights at a reasonably advanced level. Summing up: A remarkable achievement, a beautiful piece of work, engaging the reader quickly with the subject matter, Econometric Modeling provides a good introduction to the field for aspiring and advanced students and also contains valuable material and hints for experts already well versed in the subject.

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.

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Econometric Modeling: A Likelihood Approach. by David F. Hendry and Bent Nielsen. 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.

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David F. Hendry, Bent Nielsen. Download PDF book format. of structural models Non-stationary time series Cointegration Monte Carlo simulation experiments Automatic model selection Structural breaks Forecasting The way ahead. Personal Name: Nielsen, Bent, 1969-. Choose file format of this book to download: pdf chm txt rtf doc. Download this format book. Econometric modeling : a likelihood approach David F. Rubrics: Econometric models Econometrics. Download now Econometric modeling : a likelihood approach David F. Download DOC book format.

Econometric modeling Hendry, David F. Nielsen, Bent Wiley 9780691130897 : The key issue . Nielsen, Bent Wiley 9780691130897 : The key issue confronting empirical economics is to establish sustainable relationships that are both supported by da. Focusing on modeling, this book aims to give students the statistical foundations of estimation and inference, and also presents a thorough understanding of econometric techniques.

David Hendry and Bent Nielsen's book takes a likelihood approach, beginning with the Bernoulli model, followed by. .Econometric Modelling: A Likelihood Approach

David Hendry and Bent Nielsen's book takes a likelihood approach, beginning with the Bernoulli model, followed by the standard and logit models. This is odd, as it deals with extensions to the basic approach before it has been fully covered. But the basic material is subsequently explained well, and one third of the way through the matrix algebra of regression, analysis is introduced. Econometric Modelling: A Likelihood Approach. Hendry (Hendry, David . used books, rare books and new books. Econometric Modeling: A Likelihood Approach: ISBN 9780691130897 (978-0-691-13089-7) Softcover, Princeton University Press, 2007. Econometrics: Alchemy or Science?

David F. Find all books by 'David F. Hendry' and compare prices Find signed collectible books by 'David F. Hendry'. Co-integration, Error Correction and the Econometric Analysis of Non-stationary Data (Advanced Texts in Econometrics). by Anindya Banerjee, Juan Dolado, W. J. Galbraith, David F. Hendry. Econometrics: Alchemy or Science? Essays in Econometric Methodology.

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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.


Comments: (3)

Ventelone
As with any Hendry text, this is an extremely valuable and important approach to econometrics.

Should be on every econometricians' bookshelf.
Goll
Certainly, one of the best approaches to econometrics (if not the best). Minimum algebra and statistics required (surprisingly!). It guides you trough the econometrics of cross-sectional and time-series data in a easy to follow and practical way.
Watikalate
I happened upon this text while browsing in a discount bin of a bookstore in Kyushu, Japan for about 10USD (retailed for 9555JPY=120USD).

This text has become my favorite starting point for reviewing statistical modeling used in basic econometrics.

Chapters consist of concise 10-20 pages introducing concepts illustrated by a concrete example from real economic data. Topics are clearly discussed with just the right degree of mathematics: enough to illustrate practical applications, but not so much that the concepts are obfuscated. For example, in the first few chapters, practical (non-theoretical) proofs are made to show how formulae for maximum likelihood come about.

Look at the preview for a list of topics, starting from basic topics (The Bernoulli Model, Inference in the Bernoulli Model, A First Regression Model, The Logit Model, The Two-Variable Regression Model, etc...) to advanced topics (Non-Stationary Time Series, Cointegration, Monte Carlo Simulation Experiments, Automatic Model Selection, Structural Breaks, Forecasting). Nice problem sets are included at the end of each chapter.

The proofs definitely lack the rigor required by pure mathematicians, but for practitioners, this text is perfect for an advanced undergraduate course in Econometrics. Students who have had probability and calculus will find the perfect level of mathematics and pace of exposition to gain a solid introduction to the statistics required for modeling. If you combine this book with another text on statistical software packages like R, you will be ready to do some hands on Econometric Modeling.
Econometric Modeling: A Likelihood Approach download epub
Economics
Author: Bent Nielsen,David F. Hendry
ISBN: 0691131287
Category: Business & Money
Subcategory: Economics
Language: English
Publisher: Princeton University Press (April 1, 2007)
Pages: 384 pages