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

by Castle, Jennifer; Shephard, Neil

• ISBN13: 9780199237197
• ISBN10: 0199237190
• Format: Hardcover
• Copyright: 2009-06-15
• Publisher: Oxford University Press

Summary

David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometrici

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, Søren Johansen and Bent Nielsen2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2, Kevin D. Hoover, lva Demiralp, and Stephen J. Perez3. Retrospective Estimation of Causal Effects Through Time, Halbert White and Pauline Kennedy4. Autometrics, Jurgen A. Doornik5. High Dimenson Dynamic Correlations, Robert F. Engle6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas, Pravin K. Trivedi and David M. Zimmer7. Forecasting in Dynamic Factor Models Subject to Structural Instability, James H. Stock and Mark W. Watson8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters, Michael P. Clements9. Factor-augmented Error Correction Models, Anindya Banerjee and Massimiliano Marcellino10. In Praise Of Pragmatic In Econometrics, Clive W. J. Granger11. On Efficient Simulations In Dynamic Models, Karim M. Abadir and Paolo Paruolo12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results, Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral13. When is a Time Series I(0)?, James Davidson14. Model Identification and Non-unique Structure, David F. Hendry, Maozu Lu, and Grayham E. Mizon15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area, Andreas Beyer and Katarina Juselius16. U.S. natural rate dynamics reconsidered, Gunnar Bårdsen and Ragnar Nymoen17. Constructive Data Mining: Modeling Argentine Broad Money Demand, Neil R. Ericsson and Steven B. Kamin