Chapter

Econometric Tools and Techniques

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/10.1093/0198283164.003.0003

Series: Advanced Texts in Econometrics

 Econometric Tools and Techniques

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Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties of statistics in economics, namely, large‐sample distribution theory and Monte Carlo simulation techniques, are described. Ergodicity is explained, as are tools for investigating non‐stationarity due to unit roots.

Keywords: asymptotic distribution theory; ergodicity; least squares; Monte Carlo simulation; non‐stationarity; recursive estimation; unit roots

Chapter.  22106 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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