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

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Jennifer Castle, Neil Shephard
OUP Oxford, Apr 30, 2009 - Business & Economics - 464 pages
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 econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
 

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Contents

1 An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
1
The Causes and Effects of US M2
37
3 Retrospective Estimation of Causal Effects Through Time
59
4 Autometrics
88
5 High Dimension Dynamic Correlations
122
Explorations with Copulas
149
7 Forecasting in Dynamic Factor Models Subject to Structural Instability
173
Evidence Based on the Survey of Professional Forecasters
206
11 On Efficient Simulations in Dynamic Models
268
An Overview of New Results
300
13 When is a TimeSeries I0?
322
14 Model Identification and Nonunique Structure
343
15 Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area
365
16 US Natural Rate Dynamics Reconsidered
386
Modelling Argentine Broad Money Demand
412
Index
441

9 Factoraugmented Error Correction Models
227
10 In Praise of Pragmatics in Econometrics
255

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About the author (2009)

Jennifer Castle is a tutorial fellow in Economics at Magdalen College, Oxford University, and a Research Fellow at the Institute for New Economic Thinking at the Oxford Martin School. Her research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics. Dr Castle holds an M.Phil and PhD in Economics from Nuffield College, Oxford University. Neil Shephard is Professor of Economics and of Statistics at Harvard University. He holds a B.A. in Economics and Statistics from the University of York and a M.Sc. in Statistics, and Ph.D. from the London School of Economics. He was a lecturer at the LSE (from 1988 to 1993) and a Gatsby research fellow, then an official fellow and then a statutory professor at Nuffield College, Oxford University (in all from 1991 to 2013). During his time at Oxford University he cofounded the Masters in Financial Economics and founded the Oxford-Man Institute, which he directed from 2007-2011. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.

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