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Editors' introduction; List of contributors; Part 1. Dynamic Structural
Modeling: 1. Efficient instrumental variables estimation of systems of
implicit heterogeneous nonlinear dynamic equations with nonspherical errors
Charles Bates and Halbert White; 2. Envelope consistent functional
separability Ernst R. Berndt; 3. Flexible functional forms for profit
functions and global curvature conditions W. Erwin Diewert and Lawrence
Ostensoe; 4. Likelihood inference in the nonlinear regression model with
explosive linear dynamics Ian Domowitz and Lars Muus; 5. Exact inference in
models with autoregressive conditional heteroscedasticity John Geweke; 6.
Control of a linear regression process with unknown parameters Nicholas M.
Kiefer and Yaw Nyarko; 7. Some tests of nonparametric regression models
Adonis John Yatchew; Part II. Linear Time Series Modeling: 8. A
central-limit result for instrumental variables estimators of linear time
series models Lars Peter Hansen; 9. Exact and approximate distribution of
the t ratio test statistic in an AR(1) model Alberto Holly and Georg
Michael Rockinger; 10. The use of ARIMA models in unobserved-components
estimation: an application to Spanish monetary control Agustin Maravall;
Part III. Chaotic Attractor Modeling: 11. The aggregation-theoretic
monetary aggregates are chaotic and have strange attractors: an econometric
application of mathematical chaos William A. Barnett and Ping Chen; 12.
Theorems on distinguishing deterministic from random systems W. A. Brock
and W. D. Dechert; Part IV. Applications: 13. Investment and sales: some
empirical evidence Andrew B. Abel and Olivier J. Blanchard; 14. Me and my
shadow: estimating the size of the U.S. hidden economy from time series
data Dennis J. Aigner, Friedrich Schneider, and Damayanti Ghosh; 15.
Estimating structural models of unemployment and job duration Dale T.
Mortensen and George R. Neumann; 16. Comparison of dynamic factor demand
models Peter E. Rossi.
