Econometric Modeling

A Likelihood Approach

by David F. Hendry, Bent Nielsen

Subject categories
ISBNs
  • 1400845653
  • 9780691130897
  • 9781400845651

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques.


David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied.



Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.

  • Princeton University Press; June 2012
  • ISBN: 9781400845651
  • Read online, or download in secure PDF format
  • Title: Econometric Modeling
  • Author: David F. Hendry; Bent Nielsen
  • Imprint: Princeton University Press
Subject categories
ISBNs
  • 1400845653
  • 9780691130897
  • 9781400845651

In The Press

"This textbook is concise, up-to-date, and largely self-contained. The models it presents are just complicated enough to set out the main econometric ideas."—Marius Ooms, Free University, Amsterdam

About The Author

David F. Hendry is Professor of Economics at the University of Oxford and a Fellow of Nuffield College. Bent Nielsen is Reader in Econometrics at the University of Oxford and a Fellow of Nuffield College