Empirical Modeling in Economics

Specification and Evaluation

Clive W. J. Granger

University of California, San Diego

Foreword by Geoff Harcourt

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Paperback

 (ISBN-13: 9780521778251 | ISBN-10: 0521778255)

• Also available in Hardback | eBook format
• Published November 1999

In stock

• Lecturers can request examination copies for course consideration.

In these three essays, Professor Granger explains the process of constructing and evaluating an empirical model. Drawing on a wide range of cases and vignettes from economics, finance, politics and environment economics, as well as from art, literature, and the entertainment industry, Professor Granger combines rigor with intuition to provide a unique and entertaining insight into one of the most important subjects in modern economics. Chapter 1 deals with Specification. Chapter 2 considers Evaluation, and argues that insufficent evaluation is undertaken by economists, and that models should be evaluated in terms of the quality of their output. In Chapter 3, the question of how to evaluate forecasts is considered at several levels of increasing depth.

Contents

Foreword G. Harcourt; 1. The specification of empirical models; 2. The evaluation of empirical models; 3. Comments on the evaluation of econometric models and of forecasts.

Reviews

"...explains how an empirical economist approaches the task of constructing a model and how economic models and forecasts can be evaluated." Journal of Economic Literature

"Granger wants to tell the world something about model assessment, a topic that he believes has not gotten the attention it deserves. In doing so, he gives us a short book that is easy to read and accessible to undergraduate students. Many graduate students whould also benefit from reading the book, especially the first two chapters which give a clear account of many problems associated with econometric modeling and testing. Although we all know the message, Granger has done econometrics teachers a service by writing this book." Eastern Economic Journal

"...contains a wealth of unconventional ideas." JASA

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