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The methodology and practice of econometrics a festschrift in honour of David F. Hendry

David F Hendry; Jennifer Castle 1979-; Neil Shephard

Oxford Oxford University Press New York 2009

Localização: FEA - Fac. Econ. Adm. Contab. e Atuária    (330.015195 M592 )(Acessar)

  • Título:
    The methodology and practice of econometrics a festschrift in honour of David F. Hendry
  • Autor: David F Hendry; Jennifer Castle 1979-; Neil Shephard
  • Assuntos: Econometrics; Econometric models; Econometrie; Methodologie; Econometrische modellen; Ökonometrie; ECONOMETRIA; ECONOMETRIA (MODELOS); ECONOMETRIA (METODOLOGIA); Kongress; Oxford (2007)
  • Notas: Includes bibliographical references and index
  • Descrição: 1. Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator / Søren Johansen and Bent Nielsen -- 2. Empirical Identification of the Vector Autoregression : The Causes and Effects of US M2 / Kevin D. Hoover, Selva Demiralp and Stephen J. Perez -- 3. Retrospective Estimation of Causal Effects Through Time / Halbert White and Pauline Kennedy -- 4. Autometrics / Jurgen A. Doornik -- 5. High Dimension Dynamic Correlations / Robert F. Engle -- 6. Pitfalls in Modelling Dependence Structures : Explorations with Copulas / Pravin K. Trivedi and David M. Zimmer -- 7. Forecasting in Dynamic Factor Models Subject to Structural Instability / James H. Stock and Mark W. Watson -- 8. Internal Consistency of Survey Respondents' Forecasts : Evidence Based on the Survey of Professional Forecasters / Michael P. Clements -- 9. Factor-augmented Error Correction Models / Anindya Banerjee and Massimiliano Marcellino -- 10. In Praise of Pragmatics in Econometrics / Clive W.J. Granger -- 11. On Efficient Simulations in Dynamic Models / Karim M. Abadir and Paolo Paruolo -- 12. Simple Wald Tests of the Fractional Integration Parameter : An Overview of New Results / Juan J. Dolado, Jesus Gonzalo and Laura Mayoral -- 13. When is a Time-Series I(O)? / James Davidson -- 14. Model Identification and Nonunique Structure / David F. Hendry, Maozu Lu and Grayham E. Mizon -- 15. Does it Matter How to Measure Aggregates? : The Case of Monetary Transmission Mechanisms in the Euro Area / Andreas Beyer and Katarina Juselius -- 16. US Natural Rate Dynamics Reconsidered / Gunnar Bårdsen and Ragnar Nymoen -- 17. Constructive Data Mining : Modelling Argentine Broad Money Demand / Neil R. Ericsson and Steven B. Kamin
  • Editor: Oxford Oxford University Press New York
  • Data de criação/publicação: 2009
  • Formato: xii, 451 p. ill. 24 cm.
  • Idioma: Inglês
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  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

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