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Dynamic Econometrics. (English) Zbl 0897.62127
Oxford: Oxford Univ. Press. xxxiv, 869 p. (1995).
This is one of the best and most up to date textbooks on time series econometrics in which the author presents his view of econometric testing strategies in a very detailed way. As an advanced textbook in econometrics the classical and well-known topics such as autocorrelation and heteroscedasticity are only briefly discussed. Instead, the author spends much space to the dynamics and modelling in econometrics.
The book is divided into three major parts and extensive appendices for special issues. The first part deals with concepts, models, and processes in econometrics. Under this heading, the author subsumes econometric concepts, econometric tools and techniques, dynamics and interdependence, exogeneity and causality, dynamic systems as well as the theory of reduction. In the chapter on dynamic systems, open as well as closed linear systems are discussed, and a typology of open linear dynamic systems including vector autoregressions as well as error correction models is given.
The second part is concerned with statistical tools for econometric analysis and deals with the likelihood concept, simultaneous equations systems, measurement problems in econometrics and testing and evaluation of econometric models. Part three relates to empirical modelling. The author starts with a chapter in which in detail the concept of encompassing is introduced. Modelling issues such as data mining, theory dependence versus sample dependence, dummy variables and seasonal adjustment are presented. The final chapter gives some applications of the tools developed in the book.
The appendices contain the necessary information on linear algebra and probability and distributions, general statistical theory, asymptotics, and numerical optimization methods. The last appendix surveys macro-econometric models and some special features thereof.

MSC:
62P20 Applications of statistics to economics
62-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
62-02 Research exposition (monographs, survey articles) pertaining to statistics
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