Chapter

A Typology of Linear Dynamic Equations

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/10.1093/0198283164.003.0007

Series: Advanced Texts in Econometrics

 A Typology of Linear Dynamic Equations

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Nine special cases of the autoregressive‐distributed lag model are analysed focusing on important econometric problems, namely: simple‐to‐general modelling; the ‘time‐series vs. econometrics’ debate; potential theory inconsistency; non‐autonomy; the role of expectations; autocorrelation corrections; multicollinearity; and equilibrium correction and cointegration. Monte Carlo and empirical studies illustrate each case. The analysis reveals that empirical results depend on the choice of model type.

Keywords: autocorrelation corrections; autoregressive‐distributed lag; equilibrium correction; general‐to‐simple modelling; multicollinearity

Chapter.  33814 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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