Chapter

Econometric Concepts

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0002

Series: Advanced Texts in Econometrics

 Econometric Concepts

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The main concepts for empirical modelling of economic time series are explained: parameter and parameter space; constancy; structure; distributional shape; identification and observational equivalence; interdependence; stochastic process; conditioning; white noise; autocorrelation; stationarity; integratedness; trend; heteroscedasticity; dimensionality; aggregation; sequential factorization; and marginalization. A formal data‐generation process (DGP) for economics is the joint data density with an innovation error. Empirical models derive from reduction operations applied to the DGP.

Keywords: conditioning; data‐generation process; economic time series; empirical modelling; identification; marginalization; sequential factorization; stochastic process

Chapter.  24579 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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