Palgrave Handbook of Econometrics Volume 2: Applied Econometrics

by Mills, Terence C.; Patterson, Kerry

• ISBN13: 9781403918000
• ISBN10: 1403918007
• Edition: Reprint
• Format: Paperback
• Copyright: 2011-08-15
• Publisher: Palgrave Macmillan

Summary

This volume is the most up to date, definitive, reference source for Applied Econometrics. It brings together the finest minds working in econometrics from across the globe. A comprehensive range of topics are covered including: methodology and philosophy, financial econometrics, economic policy, growth and Development, and computing.

Author Biography

TERENCE C. MILLS Professor of Applied Statistics and Econometrics at Loughborough University, UK.

KERRY PATTERSON Professor of Econometrics at University of Reading, UK.

Table of Contents

PART I: THE METHODOLOGY AND PHILOSOPHY OF APPLIED ECONOMETRICS
The Methodology of Empirical Econometric Modelling: Applied Econometrics Through the Looking-Glass; D.F.Hendry
How Much Structure in Empirical Models?; F.Canova
Introductory Remarks on Metastatistics for the Practically Minded Non-Bayesian Regression Runner; J.DiNardo
PART II: FORECASTING
Forecast Combination and Encompassing; M.P.Clements &D.I.Harvey
Recent Developments in Density Forecasting; S.G.Hall &J.Mitchell
PART III: TIME SERIES APPLICATIONS
Investigating Economic Trends and Cycles; D.S.G.Pollock
Economic Cycles: Assymetries, Persistence, and Synchronization; J.Cardinale &L.W.Taylor
The PPP Puzzle: What the Data Tell When Allowed to Speak Freely; K.Juselius
Structural Time Series Models for Business Cycle Analysis; T.Proietti
Fractional Integration and Cointegration: An Overview and an Empirical Application; L.A.Gil-Alana& J.Hualde
PART IV: CROSS-SECTION AND PANEL DATA APPLICATIONS
Discrete Choice Modelling; W.Greene
Panel Data Methods and Applications to Health Economics; A.M.Jones
Panel Methods to Test for Unit Roots and Cointegration; A.Banerjee& M.Wagner
PART V: MICROECONOMETRICS
Microeconometrics: Current Methods and Some Recent Developments; A.C.Cameron
Computational Considerations in Empirical Microeconometrics: Selected Examples; D.T.Jacho-Chávez& P.K.Trivedi
PART VI: APPLICATIONS OF ECONOMETRICS TO ECONOMIC POLICY
The Econometrics of Monetary Policy: An Overview; C.A.Favero
Macroeconometric Modelling for Policy; G.Bårdsen& R.Nymoen
Monetary Policy, Beliefs, Unemployment and Inflation: Evidence from the UK; S.G.B.Henry
PART VII: APPLICATIONS TO FINANCIAL ECONOMETRICS
Estimation of Continuous-Time Stochastic Volatility Models; G.Dotsis, R.N.Markellos &T.C.Mills
Testing the Martingale Hypothesis; J.C.Escanciano& I.N.Lobato
Autoregressive Conditional Duration Models; R.Tsay
The Econometrics of Exchange Rates; E.G.Pavlidis, I.Paya& D.A.Peel
PART VIII: GROWTH/DEVELOPMENT ECONOMETRICS
The Econometrics of Convergence; S.N.Durlauf, P.A.Johnson& J.R.W.Temple
The Methods of Growth Econometrics; S.N.Durlauf, P.A.Johnson& J.R.W.Temple
The Econometrics of Finance and Growth; T.Beck
PART IX: SPATIAL ECONOMETRICS
Spatial Hedonic Models; L.Anselin& N.Lozano-Gracia
Spatial Analysis of Economic Convergence; S.J.Rey& J.Le Gallo
PART X: APPLIED ECONOMETRICS AND COMPUTING
Testing Econometric Software; B.D.McCullough
Trends in Applied Econometrics Software Development 1985-2008; M.Ooms