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Simultaneous Equations Systems

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0011
Subject:
Economics and Finance, Econometrics

Linear system modelling is structured in 10 stages from the general to the specific. The dynamic statistical system is the maintained model, defined by the variables of interest, their distributions, ... More


Estimation

Qin Duo

in The Formation of Econometrics: A Historical Perspective

Published in print:
1997
Published Online:
November 2003
ISBN:
9780198292876
eISBN:
9780191596803
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292872.003.0004
Subject:
Economics and Finance, History of Economic Thought, Econometrics

Narrates the process of how estimation was formalized. Estimation can be seen as the genesis of econometrics, since finding estimates for coefficients of economically meaningful relationships has ... More


Simultaneous Equations Model

Aman Ullah

in Finite Sample Econometrics

Published in print:
2004
Published Online:
August 2004
ISBN:
9780198774471
eISBN:
9780191601347
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774478.003.0007
Subject:
Economics and Finance, Econometrics

This chapter analyses the moments and distributions of the estimators in the simultaneous equations models using techniques derived in Chapters 2 and 3. It also discusses literature on finite sample ... More


Model Construction

Qin Duo

in The Formation of Econometrics: A Historical Perspective

Published in print:
1997
Published Online:
November 2003
ISBN:
9780198292876
eISBN:
9780191596803
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292872.003.0003
Subject:
Economics and Finance, History of Economic Thought, Econometrics

This chapter recounts the evolution of econometric models up to the 1940s, discussing the common criteria and principles used for model choice, and the generalization of model construction as ... More


Introduction

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0001
Subject:
Economics and Finance, Econometrics

This chapter introduces the long-run structural approach to modelling. It makes brief comparisons with the key alternative approaches, namely large-scale simultaneous equation models, unrestricted ... More


Empirical Relevance

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0003
Subject:
Economics and Finance, Econometrics

Chapter III explains and illustrates what it means for an economic theory to be empirically relevant. A theory’s empirical relevance depends on the empirical context in which it is tested and on the ... More


Consolidation of the Cowles Commission Programme

Qin Duo

in A History of Econometrics: The Reformation from the 1970s

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199679348
eISBN:
9780191758416
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679348.003.0002
Subject:
Economics and Finance, Econometrics, History of Economic Thought

Econometrics stems directly from the post-1940 works of Haavelmo and the Cowles Commission (CC) Monograph 10. This paper examines the consolidation process of the CC research programme mainly during ... More


Algebra

Adrian Rice

in The Mathematical World of Charles L. Dodgson (Lewis Carroll)

Published in print:
2019
Published Online:
April 2019
ISBN:
9780198817000
eISBN:
9780191858697
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198817000.003.0003
Subject:
Mathematics, History of Mathematics

This chapter is concerned with a single textbook written by Dodgson in 1867—An Elementary Treatise on Determinants. His book concerned the study of determinants, an algebraic construct that had come ... More


Empirical Modeling Illustrated

David F. Hendry

in Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

Published in print:
2014
Published Online:
January 2015
ISBN:
9780262028356
eISBN:
9780262324410
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028356.003.0004
Subject:
Economics and Finance, Econometrics

This chapter illustrates the discussion in Chapter 3 using Autometrics on an artificial data generation process first created almost 30 years ago for an early version of PcGive. In a setting where ... More


Multivariate Analysis

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0019
Subject:
Economics and Finance, Econometrics

This chapter reviews techniques for the analysis of multivariate systems. It begins by discussing the system of regression equations both when the regressors are strictly exogenous (the so called ... More


Friedman and the Cowles Commission

Marcel Boumans

in Milton Friedman: Contributions to Economics and Public Policy

Published in print:
2016
Published Online:
August 2016
ISBN:
9780198704324
eISBN:
9780191773761
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198704324.003.0032
Subject:
Economics and Finance, Economic History, Macro- and Monetary Economics

The interaction between the Cowles Commission and Milton Friedman was a confrontation between two research programs, a Walrasian versus a Marshallian, each claiming to offer the best scientific ... More


Rise of the VAR Approach

Qin Duo

in A History of Econometrics: The Reformation from the 1970s

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199679348
eISBN:
9780191758416
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679348.003.0004
Subject:
Economics and Finance, Econometrics, History of Economic Thought

This chapter examines the rise of the VAR (Vector AutoRegressive) approach. It shows that the VAR approach arises from a fusion of the CC tradition and time series statistical methods, catalysed by ... More


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