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The Bernoulli model, from Econometric Modeling: A Likelihood Approach
[Econometric Modeling: A Likelihood Approach]

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Author Info

  • David F. Hendry

    (University of Oxford, Nuffield College.)

  • Bent Nielsen

    (University of Oxford, Nuffield College)

Abstract

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.

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Bibliographic Info

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This chapter was published in: David F. Hendry & Bent Nielsen , , pages , 2007.

This item is provided by Princeton University Press in its series Introductory Chapters with number 8352-1.

Handle: RePEc:pup:chapts:8352-1

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Web page: http://press.princeton.edu

Related research

Keywords: modeling; sustainable relationships; unified likelihood; estimation; inference; binary sets; multiple regression; cointegrated systems;

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Cited by:
  1. Andrew Swiston, 2011. "Official Dollarization As a Monetary Regime," IMF Working Papers 11/129, International Monetary Fund.
  2. Willem H. Boshoff, 2011. "Gasoline, diesel fuel and jet fuel demand in South Africa," Working Papers 226, Economic Research Southern Africa.

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