Dynamic Systems

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI:

Series: Advanced Texts in Econometrics

 Dynamic Systems

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Linear dynamic systems are formulated for stationary and integrated data processes. Both open and closed systems are noted. General‐to‐specific modelling of the joint data‐density function is reviewed. A typology of linear dynamic systems is developed, extending that for individual dynamic equations. Alternative models of systems are derived from three operations on systems, namely, contemporaneous and intertemporal transforms, and conditioning. Methods for analysing econometric systems are discussed.

Keywords: contemporaneous correlations; general‐to‐specific modelling of systems; intertemporal transforms; linear dynamic systems

Chapter.  17008 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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