The Methodology and Practice of Econometrics
A Festschrift in Honour of David F. Hendry
Herausgeber: Castle, Jennifer; Shephard, Neil
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The Methodology and Practice of Econometrics
A Festschrift in Honour of David F. Hendry
Herausgeber: Castle, Jennifer; Shephard, Neil
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Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
Produktdetails
- Produktdetails
- Verlag: Oxford University Press, USA
- Seitenzahl: 464
- Erscheinungstermin: 10. November 2015
- Englisch
- Abmessung: 236mm x 157mm x 25mm
- Gewicht: 703g
- ISBN-13: 9780198743781
- ISBN-10: 0198743785
- Artikelnr.: 47868270
- Verlag: Oxford University Press, USA
- Seitenzahl: 464
- Erscheinungstermin: 10. November 2015
- Englisch
- Abmessung: 236mm x 157mm x 25mm
- Gewicht: 703g
- ISBN-13: 9780198743781
- ISBN-10: 0198743785
- Artikelnr.: 47868270
Jennifer Castle is a tutorial fellow in Economics at Magdalen College, Oxford University, and a Research Fellow at the Institute for New Economic Thinking at the Oxford Martin School. Her research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics. Dr Castle holds an M.Phil and PhD in Economics from Nuffield College, Oxford University. Neil Shephard is Professor of Economics and of Statistics at Harvard University. He holds a B.A. in Economics and Statistics from the University of York and a M.Sc. in Statistics, and Ph.D. from the London School of Economics. He was a lecturer at the LSE (from 1988 to 1993) and a Gatsby research fellow, then an official fellow and then a statutory professor at Nuffield College, Oxford University (in all from 1991 to 2013). During his time at Oxford University he cofounded the Masters in Financial Economics and founded the Oxford-Man Institute, which he directed from 2007-2011. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.
* 1: Søren Johansen and Bent Nielsen: An analysis of the indicator
saturation estimator as a robust regression estimator
* 2: Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical
Identification of the Vector Autoregression: The Causes and Effects
of U.S. M2
* 3: Halbert White and Pauline Kennedy: Retrospective Estimation of
Causal Effects Through Time
* 4: Jurgen A. Doornik: Autometrics
* 5: Robert F. Engle: High Dimenson Dynamic Correlations
* 6: Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling
Dependence Structures: Explorations with Copulas
* 7: James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor
Models Subject to Structural Instability
* 8: Michael P. Clements: Internal consistency of survey respondents
forecasts: Evidence based on the Survey of Professional Forecasters
* 9: Anindya Banerjee and Massimiliano Marcellino: Factor-augmented
Error Correction Models
* 10: Clive W. J. Granger: In Praise Of Pragmatic In Econometrics
* 11: Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In
Dynamic Models
* 12: Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald
Tests of the Fractional Integration Parameter: An Overview of New
Results
* 13: James Davidson: When is a Time Series I(0)?
* 14: David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model
Identification and Non-unique Structure
* 15: Andreas Beyer and Katarina Juselius: Does it matter how to
measure aggregates? The case of monetary transmission mechanisms in
the Euro area
* 16: Gunnar Bårdsen and Ragnar Nymoen: U.S. natural rate dynamics
reconsidered
* 17: Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining:
Modeling Argentine Broad Money Demand
saturation estimator as a robust regression estimator
* 2: Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical
Identification of the Vector Autoregression: The Causes and Effects
of U.S. M2
* 3: Halbert White and Pauline Kennedy: Retrospective Estimation of
Causal Effects Through Time
* 4: Jurgen A. Doornik: Autometrics
* 5: Robert F. Engle: High Dimenson Dynamic Correlations
* 6: Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling
Dependence Structures: Explorations with Copulas
* 7: James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor
Models Subject to Structural Instability
* 8: Michael P. Clements: Internal consistency of survey respondents
forecasts: Evidence based on the Survey of Professional Forecasters
* 9: Anindya Banerjee and Massimiliano Marcellino: Factor-augmented
Error Correction Models
* 10: Clive W. J. Granger: In Praise Of Pragmatic In Econometrics
* 11: Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In
Dynamic Models
* 12: Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald
Tests of the Fractional Integration Parameter: An Overview of New
Results
* 13: James Davidson: When is a Time Series I(0)?
* 14: David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model
Identification and Non-unique Structure
* 15: Andreas Beyer and Katarina Juselius: Does it matter how to
measure aggregates? The case of monetary transmission mechanisms in
the Euro area
* 16: Gunnar Bårdsen and Ragnar Nymoen: U.S. natural rate dynamics
reconsidered
* 17: Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining:
Modeling Argentine Broad Money Demand
* 1: Søren Johansen and Bent Nielsen: An analysis of the indicator
saturation estimator as a robust regression estimator
* 2: Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical
Identification of the Vector Autoregression: The Causes and Effects
of U.S. M2
* 3: Halbert White and Pauline Kennedy: Retrospective Estimation of
Causal Effects Through Time
* 4: Jurgen A. Doornik: Autometrics
* 5: Robert F. Engle: High Dimenson Dynamic Correlations
* 6: Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling
Dependence Structures: Explorations with Copulas
* 7: James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor
Models Subject to Structural Instability
* 8: Michael P. Clements: Internal consistency of survey respondents
forecasts: Evidence based on the Survey of Professional Forecasters
* 9: Anindya Banerjee and Massimiliano Marcellino: Factor-augmented
Error Correction Models
* 10: Clive W. J. Granger: In Praise Of Pragmatic In Econometrics
* 11: Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In
Dynamic Models
* 12: Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald
Tests of the Fractional Integration Parameter: An Overview of New
Results
* 13: James Davidson: When is a Time Series I(0)?
* 14: David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model
Identification and Non-unique Structure
* 15: Andreas Beyer and Katarina Juselius: Does it matter how to
measure aggregates? The case of monetary transmission mechanisms in
the Euro area
* 16: Gunnar Bårdsen and Ragnar Nymoen: U.S. natural rate dynamics
reconsidered
* 17: Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining:
Modeling Argentine Broad Money Demand
saturation estimator as a robust regression estimator
* 2: Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical
Identification of the Vector Autoregression: The Causes and Effects
of U.S. M2
* 3: Halbert White and Pauline Kennedy: Retrospective Estimation of
Causal Effects Through Time
* 4: Jurgen A. Doornik: Autometrics
* 5: Robert F. Engle: High Dimenson Dynamic Correlations
* 6: Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling
Dependence Structures: Explorations with Copulas
* 7: James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor
Models Subject to Structural Instability
* 8: Michael P. Clements: Internal consistency of survey respondents
forecasts: Evidence based on the Survey of Professional Forecasters
* 9: Anindya Banerjee and Massimiliano Marcellino: Factor-augmented
Error Correction Models
* 10: Clive W. J. Granger: In Praise Of Pragmatic In Econometrics
* 11: Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In
Dynamic Models
* 12: Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald
Tests of the Fractional Integration Parameter: An Overview of New
Results
* 13: James Davidson: When is a Time Series I(0)?
* 14: David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model
Identification and Non-unique Structure
* 15: Andreas Beyer and Katarina Juselius: Does it matter how to
measure aggregates? The case of monetary transmission mechanisms in
the Euro area
* 16: Gunnar Bårdsen and Ragnar Nymoen: U.S. natural rate dynamics
reconsidered
* 17: Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining:
Modeling Argentine Broad Money Demand