Untertitel:
A Festschrift in Honour of David F. Hendry
Autor:
Jennifer (Tutorial Fellow in Economics, Ma Castle
Herausgeber:
Oxford Academic
Erscheinungsdatum:
30.04.2009
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.
Autorentext
Jennifer L. Castle is a British Academy Post-doctoral Research Fellow at Nuffield College, Oxford. Neil Shephard is Professor of Economics at Oxford University and Research Director of the University's Oxford-Man Institute. He is fellow of the British Academy, Econometric Society and Nuffield College, Oxford.
Klappentext
Subtitled: "A Festschrift in Honour of David F. Hendry."
Inhalt
1. An analysis of the indicator saturation estimator as a robust regression estimator; 2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2; 3. Retrospective Estimation of Causal Effects Through Time; 4. Autometrics; 5. High Dimenson Dynamic Correlations; 6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas; 7. Forecasting in Dynamic Factor Models Subject to Structural Instability; 8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters; 9. Factor-augmented Error Correction Models; 10. In Praise Of Pragmatic In Econometrics; 11. On Efficient Simulations In Dynamic Models; 12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results; 13. When is a Time Series I(0)?; 14. Model Identification and Non-unique Structure; 15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area; 16. U.S. natural rate dynamics reconsidered; 17. Constructive Data Mining: Modeling Argentine Broad Money Demand
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