Dynamic Econometrics (Advanced Texts in Econometrics)

Rating:
Summary: Excellent!
Review: Anyone interested in modeling economic time series should read this book! Hendry presents a very good analysis of estimation, inference, and modeling. What is most important, he gives various examples. This is surely a classic in LSE econometrics and it helps a lot in a Macroeconometric course.

Rating:
Summary: The best book book of the century
Review: Dynamic Econometrics is a excellent book of econometric modeling, this book is a mixture of econometrics and economic theory.The book covers time series (ARMA, VAR, Unit roots, cointegration) , econometric modelling of time series (encompasing, nested tests, DGP's theory) and Macroeconometrics (Macroeconomic Theory and Statistical methods) the book is an excellent bridge between Macroeconomic Theory and Econometrics.
PcGive, PcNaive and PcGets are excellent software for solving problems,in dynamic econometrics all examples maybe can be solved with this programs.