Advanced Texts in Econometrics Modelling Economic Series

This collection of essays on applied econometrics has been designed specifically for graduate students. It aims to demonstrate how to evaluate the validity of present theories and techniques, in order to construct actual economic models. This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. The volume contains seventeen papers by the leading authorities in the field, divided into four groups, to each of which the editor provides an introduction. The whole volume is prefaced with an editorial discussion of the controversies of the subject. The methods critically discussed include the traditional ones, such as vector auto-regressions; Bayesian techniques; and the comprehensive modelling strategy advocated by reseachers at the London School of Economics. The papers vary in the degree of sophistication used, but anyone reading the book should gain a sound knowledge of the practical difficulties involved in model specification, evaluation, and interpretation.