Advances in Econometrics: Volume 1: Fifth World Congress

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Cambridge University Press, Jun 24, 1994 - Business & Economics - 322 pages
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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.
 

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Contents

Specification testing in dynamic models
1
Specification tests an overview
59
Kernel estimators of regression functions
99
Identification and consistency in seminonparametric regression
145
On econometric models with rational expectations
171
The Kalman filter applications to forecasting and rationalexpectations models
245
Applications of the Kalman filter in econometrics
285
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About the author (1994)

TRUMAN F. BEWLEY is Alfred Cowles Professor of Economics at Yale University.