Dynamic Econometrics - Hendry, David F. (Leverhulme Personal, Leverhulme Personal, Research Professor of Economics and FellowNuffield College, Oxford)

In a systematic and lucid style of econometric modelling of economic time series data, this text presents and analyses methodological issues, theoretical developments such as cointegration, and important practical problems. It should be suitable for both practising economists and students, and includes an extensive study of US money demand.