Advances in Econometrics: Volume 1: Sixth World Congress
Christopher A. Sims
Cambridge University Press, Mar 7, 1996 - Business & Economics - 332 pages
This is the first of a two volume set of articles reflecting the current state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development, and labour economics. All the contributions were commissioned to be presented at the plenary sessions of the Sixth World Congress of the Econometric Society in Barcelona.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Testing for the stationarity and the stability of equilibrium
Time series with strong dependence
Recursive linear models of dynamic economies
The selection problem
Quantile regression censoring and the structure of wages
The economics of seasonal cycles
On the economics and econometrics of seasonality
Other editions - View all
aggregate analysis assumptions asymptotic distribution asymptotic variance autocorrelation autocovariances autoregressive Barsky and Miron behavior bootstrap bound business cycle censoring coefficients cointegration component compute conditional consumption convergence correlation covariance matrix decomposition density dependence deterministic seasonal discussed dynamic econometric Econometrica economic time series empirical equation equilibrium estimates example filter function Gaussian Ghysels Granger Hall's model Hansen and Sargent Hylleberg identifying impulse response inference innovations interest Journal limit distribution linear Manski mean minimum-distance non-linear non-parametric non-seasonal non-stationary null hypothesis observed optimal order statistic output parameters polynomial problem production quantile regression random rational expectations regression models restrictions Robinson roots test sample seasonal adjustment seasonal cycles seasonal dummy seasonal fluctuations seasonal frequencies seasonal patterns seasonal unit roots semi-parametric series models Sims specification spectral spectral density standard errors stationary stationary processes statistical stochastic process strongly autocorrelated stylized facts Theorem theory trend univariate variables variance vector zero