Dynamic Specification

David F. Hendry, Adrian R. Pagan and J. Denis Sargan

in Econometrics: Alchemy or Science?

Published in print October 2000 | ISBN: 9780198293545
Published online November 2003 | e-ISBN: 9780191596391 | DOI:
 Dynamic Specification

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This survey provides a route map, sketching the major issues, models, concepts, and techniques. A taxonomy of model types is presented, each being examined for advantages and drawbacks as a generic form. Exogeneity and the overall model reduction framework are described. Systems are considered, and the problem of testing autoregressive errors against mis‐specification of the lag structure is resolved using the notion of common factors in lag polynomials.

Keywords: common factors; dynamic mis‐specification; dynamic systems; exogeneity; model reduction; model types

Chapter.  23615 words. 

Subjects: Econometrics and Mathematical Economics

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