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.

`Like so much of Hendry's work, this book provides much room for thought and it is highly entertaining. Given its length, the reader can be sure that almost every single topic is treated in detail. Examples are generous throuhout the book to present the topics that arise in relation to empirical issuses, so theory and evidence are nicely blended. ...a good compliment to most graduate econometric texts...students at this level will benefit greatly for discussions, concepts and tools relevant for modellong economic time series data....this is a most readable and impressive book. Due to its original insights and a penetrating style of writing it gives a useful tour de horizon of many areas in modelling dynamic econometrics and confirms David Hendry's status as one of the leading participants in the debate on econometric methodology during the last two decades.' International Review of Forecasting `Like so much of Hendry's work, this book provides much room for thought and it is highly entertaining. Given its length, the reader can be sure that almost every single topic is treated in detail. Examples are generous throughout the book to present the topics that arise in relation to empirical issues, so theory and evidence are nicely blended ... a good complement to most existing graduate econometric texts ... students at this level will benefit greatly from the discussions, concepts and tools relevant for modelling economic time series data ... this is a most readable and impressive book. Due to its original insights and a penetrating style of writing it gives a useful tour de horizon of many areas in modelling dynamic econometrics and confirms David Hendry's status as one of the leading participants in the debate on econometric methodology during the last two decades.' International Journal of Forecasting `This is a truly fascinating book ... The unique feature and value of the present book is that it puts the reader into the position of an investigator who seeks for strategies and tools in the difficult task of analysing economic time series data and gets experienced advice at the current state of the art of econometric model building. The wealth of information and material provided is stupendous ... it is an inimitably splendid demonstration of modern econometrics at work and an overwhelmingly rich source of inspiration and guidance - a must for the macro-economist, the applied econometrician, the teacher of econometrics, and anybody interested in the methodology of the economic and social sciences when they are taken as what they should be: Realwissenschaften.' Journal of Economics