Advances in Econometrics: Fifth World Congress

by Edited by Truman F. Bewley

• ISBN13: 9780521467261
• ISBN10: 0521467268
• Format: Paperback
• Copyright: 1994-06-24
• Publisher: Cambridge University Press

Summary

The Econometric Society holds a World Congress every five years. The programme of these congresses has traditionally included a series of invited symposia, where speakers survey important recent advances in economic theory and econometrics. These two volumes, with their focus on econometrics, and their companion volume on economic theory, contain papers delivered at the Fifth World Congress held in 1985. Designed to make material accessible to a general audience of economists, these papers should be helpful to anyone with training in economics who wishes to follow new ideas and tendencies in the subject. Advances in Econometrics: Fifth World Congress, Volumes I & II, edited by Professor Truman F. Bewley of Yale University, include a wide variety of topics, comprising empirical and policy oriented subjects as well as theoretical and methodological ones.

Table of Contents

1. Specification testing in dynamic models Halbert White

2. Specification tests: an overview Alberto Holly

3. Kernel estimators of regression functions Herman J. Bierens

4. Identification and consistency in semi-non parametric regression A. Ronald Gallant

5. On econometic models with rational expectations Laurence Broze and Ariane Szafarz

6. Calculating asset prices in three example economies Lars Peter Hansen

7. The Kalman Filter: applications to forecasting and rational expectations models Robert F. Engle and Mark W. Watson

8. Applications of the Kalman filter in econometrics Andrew C. Harvey.