9780198743781

The Methodology and Practice of Econometrics A Festschrift in Honour of David F. Hendry

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  • ISBN13:

    9780198743781

  • ISBN10:

    0198743785

  • Edition: Reprint
  • Format: Paperback
  • Copyright: 2015-11-10
  • Publisher: Oxford University Press

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Author Biography


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.

Table of Contents


1. An analysis of the indicator saturation estimator as a robust regression estimator, Soren Johansen and Bent Nielsen
2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2, Kevin D. Hoover, lva Demiralp, and Stephen J. Perez
3. Retrospective Estimation of Causal Effects Through Time, Halbert White and Pauline Kennedy
4. Autometrics, Jurgen A. Doornik
5. High Dimenson Dynamic Correlations, Robert F. Engle
6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas, Pravin K. Trivedi and David M. Zimmer
7. Forecasting in Dynamic Factor Models Subject to Structural Instability, James H. Stock and Mark W. Watson
8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters, Michael P. Clements
9. Factor-augmented Error Correction Models, Anindya Banerjee and Massimiliano Marcellino
10. In Praise Of Pragmatic In Econometrics, Clive W. J. Granger
11. On Efficient Simulations In Dynamic Models, Karim M. Abadir and Paolo Paruolo
12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results, Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral
13. When is a Time Series I(0)?, James Davidson
14. Model Identification and Non-unique Structure, David F. Hendry, Maozu Lu, and Grayham E. Mizon
15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area, Andreas Beyer and Katarina Juselius
16. U.S. natural rate dynamics reconsidered, Gunnar Bardsen and Ragnar Nymoen
17. Constructive Data Mining: Modeling Argentine Broad Money Demand, Neil R. Ericsson and Steven B. Kamin

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