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The Bernoulli model, from Econometric Modeling: A Likelihood Approach

In: Econometric Modeling: A Likelihood Approach

Author

Listed:
  • 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.

Suggested Citation

  • David F. Hendry & Bent Nielsen, 2007. "The Bernoulli model, from Econometric Modeling: A Likelihood Approach," Introductory Chapters,in: Econometric Modeling: A Likelihood Approach Princeton University Press.
  • Handle: RePEc:pup:chapts:8352-1
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    Citations

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    Cited by:

    1. Steven Lehrer & Tian Xie, 2017. "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," The Review of Economics and Statistics, MIT Press, vol. 99(5), pages 749-755, December.
    2. Swarnali Ahmed, 2015. "If the Fed Acts, How Do You React? The Liftoff Effect on Capital Flows," IMF Working Papers 15/256, International Monetary Fund.
    3. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
    4. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    5. Monique Reid & Gideon Rand, 2015. "A Sticky Information Phillips Curve for South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 506-526, December.
    6. repec:sgh:annals:i:45:y:2017:p:259-272 is not listed on IDEAS
    7. Fullerton, Thomas M., Jr. & Ceballos, Alejandro & Walke, Adam G., 2015. "Short-Term Forecasting Analysis for Municipal Water Demand," MPRA Paper 78259, University Library of Munich, Germany, revised 04 Aug 2015.
    8. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
    9. Francesco Grigoli & José M. Mota, 2017. "Interest rate pass-through in the Dominican Republic," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-25, December.
    10. repec:gam:jecnmx:v:5:y:2017:i:3:p:38-:d:110889 is not listed on IDEAS
    11. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    12. Andrew J Swiston, 2011. "Official Dollarization As a Monetary Regime; Its Effectson El Salvador," IMF Working Papers 11/129, International Monetary Fund.
    13. repec:eee:energy:v:137:y:2017:i:c:p:1054-1065 is not listed on IDEAS
    14. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
    15. Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen, 2018. "Does institutional quality resolve the Lucas Paradox?," Applied Economics, Taylor & Francis Journals, vol. 50(5), pages 455-474, January.
    16. P. Dorian Owen, 2017. "Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development," Econometrics, MDPI, Open Access Journal, vol. 5(3), pages 1-33, September.
    17. Willem H. Boshoff, 2011. "Gasoline, diesel fuel and jet fuel demand in South Africa," Working Papers 226, Economic Research Southern Africa.
    18. Owen, Dorian, 2017. "Replication to assess statistical adequacy," Economics Discussion Papers 2017-73, Kiel Institute for the World Economy (IfW).

    More about this item

    Keywords

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

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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