Introduction

The basis for this book is a collection of fifteen original articles prepared by a number of Donald Cochrane’s colleagues and associates. These articles develop the general specification analysis theme in various ways. However, there is a particular emphasis on specification issues arising in the context of autocorrelated errors in the regression model, and this emphasis links the book closely to the early contribution of Cochrane and Orcutt (1949) and Orcutt and Cochrane (1949). These papers, and part of an article by Sargan (1964) which has direct bearing on the computational aspects of the Cochrane-Orcutt work, are reproduced as Appendixes to this book. Special features of the volume are the inclusion of major survey chapters, and the balance between theoretical and applied econometrics in the various articles. Indeed, it is the editors’ hope that this book will contain much that is of practical help and interest to applied researchers, as well as to students and researchers whose interests lie more with the underlying statistical theory of econometrics.