New directions in econometric practice : general to specific modelling, cointegration, and vector autoregression / Wojciech W. Charemza and Derek F. Deadman.

Includes bibliographical references and indexes.

Contents Foreword / Richard E. Quandt Preface to Second Edition Preface 1.Traditional Methodology in Retrospect 2.Data Mining 3.Origins of a Modern Methodology: the DHSY Consumption Function 4.General to Specific Modelling 5.Cointegration Analysis 6.Vector Autoregression: Forecasting, Causality and Cointegration 7.Exogeneity and Structural Invariance 8.Non-nested Models, Encompassing and Model Selection Data Appendix Exercises for Discussion References Author Index