New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression

This book presents intuitive accounts of conceptually difficult ideas making the most recent advances in econometrics accessible to advanced undergraduate and graduate students. It reflects the major changes in econometric methodology which have occurred in the 1980s, following the emergence of the "general-to-specific" approach associated with Hendry and cointegration analysis introduced by Engle and Granger. It presents a framework for the building of empirical models using one of the new approaches which is not limited to any specific area. The principle method of estimation used throughout the book is ordinary least squares. The book is intended as supplementary reading for traditional courses in econometric theory and essential reading for courses in applied econometrics.