A Modern Approach to Teaching Econometrics

Authors

  • David F. Hendry Oxford University
  • Bent Nielsen Oxford University

Keywords:

Clive Granger, Teaching Econometrics, Model evaluation, Likelihood, Structural breaks

Abstract

We explain the computer-based approach to the teaching of econometrics used in Oxford from the elementary to the advanced. The aims are to enable students to critically evaluate published applied studies and to undertake empirical research in economics. The unified theoretical framework is that of likelihood, using likelihood-ratio tests for inference and evaluation, and focusing on developing well-specified empirical models of interesting economic issues. A sequence of increasingly realistic models is developed from independent, identically distributed binary data through to selecting cointegrated equations in the face of structural breaks–in a one-year course.

Author Biographies

  • David F. Hendry, Oxford University
    Prof. Sir David F. Hendry
  • Bent Nielsen, Oxford University
    Prof. Bent Nielsen

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Published

2010-05-22

Issue

Vol. 3 No. 3 (2010): Special Issue on Granger Econometrics and Statistical Modeling

Section

Special Issue on Granger Econometrics and Statistical Modeling

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How to Cite

A Modern Approach to Teaching Econometrics. (2010). European Journal of Pure and Applied Mathematics, 3(3), 347-370. https://www.ejpam.com/index.php/ejpam/article/view/796