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【资料名称】：Palgrave Handbook of Econometrics: Volume 2: Applied Econometrics
【资料作者】：Terence C. Mills and Kerry Patterson
【出版社】： Palgrave Macmillan
【简介及目录】：
Product Details
- Hardcover: 1128 pages
- Publisher: Palgrave Macmillan (July 21, 2009)
- Language: English
- ISBN-10: 140391799X
Product Description
Following the seminal Palgrave Handbook of Econometrics: Volume I,thissecond volume brings together the finest academics workingineconometrics today and explores applied econometrics,containingcontributions on subjects including growth/developmenteconometrics andapplied econometrics and computing.
Book Description
The Palgrave Handbook of Econometricsiscomprised of landmark essays by some of the world's leadingacademicsproviding authoritative and definitive guidance in key areasofeconometrics
Volume I covers developments intheoreticaleconometrics, including essays on the methodology andhistory ofeconometrics, developments in time-series andcross-sectioneconometrics, modelling with integrated variables,Bayesianeconometrics, simulation methods and a selection of specialtopics.
About the Author
TERENCE C. MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK.
KERRY PATTERSON is Professor of Econometrics at University of Reading, UK.
Table of Contents
Notes on Contributors viii
Editors’ Introduction xi
Part I The Methodology and Philosophy of Applied Econometrics
1 The Methodology of Empirical Econometric Modeling: Applied
Econometrics Through the Looking Glass 3
David F. Hendry, Nuffield College, Oxford University
2 How Much Structure in Empirical Models? 68
Fabio Canova, Universitat Pompeu Fabra
3 Introductory Remarks on Metastatistics for the Practically Minded
Non-Bayesian Regression Runner 98
John DiNardo, University of Michigan
Part II Forecasting
4 Forecast Combination and Encompassing 169
Michael P. Clements, Warwick University, and David I. Harvey,
School of Economics, University of Nottingham
5 Recent Developments in Density Forecasting 199
Stephen G. Hall, University of Leicester, and James Mitchell,
National Institute of Economic and Social Research
Part III Time Series Applications
6 Investigating Economic Trends and Cycles 243
D.S.G. Pollock, University of Leicester
7 Economic Cycles: Asymmetries, Persistence, and Synchronization 308
Joe Cardinale, Air Products and Chemicals, Inc., and Larry W. Taylor,
College of Business and Economics, Lehigh University
8 The Long Swings Puzzle: What the Data Tell When Allowed to
Speak Freely 349
Katarina Juselius, University of Copenhagen
9 Structural Time Series Models for Business Cycle Analysis 385
Tommaso Proietti, University of Rome ‘Tor Vergata’
10 Fractional Integration and Cointegration: An Overview and an
Empirical Application 434
Luis A. Gil-Alana and Javier Hualde, Universidad de Navarra
Part IV Cross-section and Panel Data Applications
11 Discrete Choice Modeling 473
William Greene, Stern School of Business, New York University
12 Panel Data Methods and Applications to Health Economics 557
Andrew M. Jones, University of York
13 Panel Methods to Test for Unit Roots and Cointegration 632
Anindya Banerjee, University of Birmingham, and Martin Wagner,
Institute forAdvanced Studies, Vienna
Part V Microeconometrics
14 Microeconometrics: Current Methods and Some Recent Developments 729
A. Colin Cameron, University of California, Davis
15 Computational Considerations in Empirical Microeconometrics:
Selected Examples 775
David T. Jacho-Chávez and Pravin K. Trivedi, Indiana University
Part VI Applications of Econometrics to Economic Policy
16 The Econometrics of Monetary Policy: An Overview 821
Carlo Favero, IGIER-Bocconi University
17 Macroeconometric Modeling for Policy 851
Gunnar Bårdsen, Norwegian University of Science and Technology,
and Ragnar Nymoen, University of Oslo
18 Monetary Policy, Beliefs, Unemployment and Inflation: Evidence
from the UK 917
S.G.B. Henry, National Institute of Economic and Social Research
Part VII Applications to Financial Econometrics
19 Estimation of Continuous-Time Stochastic Volatility Models 951
George Dotsis, Essex Business School, University of Essex,
Raphael N. Markellos, Athens University of Economics and Business,
and Terence C. Mills, Loughborough University
20 Testing the Martingale Hypothesis 972
J. Carlos Escanciano, Indiana University, and Ignacio N. Lobato,
Instituto Tecnológico Autónomo de Mexico
21 Autoregressive Conditional Duration Models 1004
Ruey S. Tsay, Booth Business School, University of Chicago
22 The Econometrics of Exchange Rates 1025
Efthymios G. Pavlidis, Ivan Paya, and David A. Peel,
Lancaster University Management School
Part VIII Growth Development Econometrics
23 The Econometrics of Convergence 1087
Steven N. Durlauf, University of Wisconsin-Madison,
Paul A. Johnson, Vassar College, New York State, and
Jonathan R.W. Temple, Bristol University
24 The Methods of Growth Econometrics 1119
Steven N. Durlauf, University of Wisconsin-Madison,
Paul A. Johnson, Vassar College, New York State, and
Jonathan R.W. Temple, Bristol University
25 The Econometrics of Finance and Growth 1180
Thorsten Beck, European Banking Center, Tilburg University, and CEPR
Part IX Spatial Econometrics
26 Spatial Hedonic Models 1213
Luc Anselin, School of Geographical Sciences and Urban Planning,
and Nancy Lozano-Gracia, GeoDa Center for Geospatial
Analysis and Computation, Arizona State University
27 Spatial Analysis of Economic Convergence 1251
Sergio J. Rey, Arizona State University, and Julie Le Gallo,
Université de Franche-Comté
Part X Applied Econometrics and Computing
28 Testing Econometric Software 1293
B.D. McCullough, Drexel University
29 Trends in Applied Econometrics Software Development 1985–2008:
An Analysis of Journal of Applied Econometrics Research Articles,
Software Reviews, Data and Code 1321
Marius Ooms, VU University Amsterdam
Author Index 1349
Subject Index 1374
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