Chapter

Econometric Modelling: Methodologies and Interpretations

Christian Gourieroux

in Economics Beyond the Millennium

Published in print September 1999 | ISBN: 9780198292111
Published online November 2003 | e-ISBN: 9780191596537 | DOI: http://dx.doi.org/10.1093/0198292112.003.0014

Series: The ASSET Series

 Econometric Modelling: Methodologies and Interpretations

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Christian Gourieroux starts out with the observation that the maintained hypothesis in econometrics is that the data is generated by some unknown stochastic process and that the job of the econometrician is to try to identify that process. He deals first with the case of well specified models and the ‘general to specific’ approach. He then moves on to misspecified models and shows how by indirect inference these can help in analysing more fully specified models. He also discusses how such models may be useful in deriving useful practical strategies at both the micro and macro level. He concludes by discussing non‐stationarity and suggests how one can deal with models that only slowly become misspecified over time.

Keywords: data‐generating process; indirect inference; misspecified models; time‐series

Chapter.  9493 words.  Illustrated.

Subjects: Macroeconomics and Monetary Economics

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