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Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
TLDR
This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling, and the asymptotic theory of integrated processes is described. Expand
Econometric Evaluation of Linear Macro-Economic Models
Macro-economic models are generally designed to achieve a multiplicity of objectives and correspondingly, they have been evaluated using a vast range of statistical, econometric, economic, politicalExpand
Explaining Cointegration Analysis: Part II
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processesExpand
Econometrics-Alchemy or Science?
Modelling Dynamic Systems Using PcGive
Testing superexogeneity and invariance in regression models
Abstract This paper introduces tests of superexogeneity and invariance. Under the null hypothesis the conditional model exhibits parameter constancy, while under the alternative shifts in the processExpand
Forecasting Non-Stationary Economic Time Series
Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil. Macroeconometric models are a very imperfect tool forExpand
Forecasting Economic Time Series
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analysesExpand
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