The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
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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The Causes and Effects of US M2
3 Retrospective Estimation of Causal Effects Through Time
5 High Dimension Dynamic Correlations
Explorations with Copulas
7 Forecasting in Dynamic Factor Models Subject to Structural Instability
Evidence Based on the Survey of Professional Forecasters
11 On Efficient Simulations in Dynamic Models
An Overview of New Results
13 When is a TimeSeries I0?
14 Model Identification and Nonunique Structure
15 Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area
16 US Natural Rate Dynamics Reconsidered
Modelling Argentine Broad Money Demand
9 Factoraugmented Error Correction Models
10 In Praise of Pragmatics in Econometrics
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aggregate algorithm alternative analysis assumption asymptotic Autometrics autoregressive backtesting bivariate Brownian motion causal coefficients cointegrating vectors cointegration components conditional consider copula correlation covariance covariance matrix David Hendry deﬁned distribution Doornik dynamic Econometrica Economic effects empirical equation equilibrium correction error correction estimated example exchange rate factor model FAVAR FECM ﬁnd full-sample function GARCH Gaussian Gumbel Hendry and Krolzig histograms hypothesis inflation interest rate Journal of Econometrics linear LIQDEP M-estimators MacGyver matrix method model selection money demand Monte Carlo natural rate null p-value path bands PcGets Phillips curve point forecasts pragmatic presearch reduction regression regressors restrictions sample simulation specification standard stationary Statistics stochastic subsample Table tail dependence Theorem theory time-series trend unit root values variables variance vector autoregression VRTs wage Wald tests WECM zero