Advances in Econometrics: Volume 1: Fifth World Congress
Truman F. Bewley
Cambridge University Press, Jun 24, 1994 - Business & Economics - 322 pages
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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aggregate analysis applied asset prices assume asymptotic distribution asymptotic normality autoregressive Bierens calculate chapter coefficient components computed consider consistency constraint consumer consumption services convergence covariance matrix defined denoted density derivatives dividends dynamic Econometrica economic Engle ensure equation equilibrium prices esti estimator example exogenous finite follows forecast Given Assumptions Gourieroux implies imposed information matrix test innovations Kalman filter kernel regression lagged Lagrange multiplier large numbers law of large Lemma likelihood function linear stationary solutions martingale martingale difference sequence measurement error method misspecification multivariate noncentral chi-square distribution nonlinear nonlinear regression nonparametric null hypothesis observations obtained optimal parameters problem procedure Proof of Theorem Proposition Rational Expectations rational-expectations models reduced form regression function restriction sample satisfied Section semi-nonparametric specification tests stochastic stochastic process structural model test statistic theory time-varying tion trend unobserved variables variance vector window width zero