发帖
雷达卡
A Festschrift in Honour of
David F. Hendry
Edited by
Jennifer L. Castle
and
Neil Shephard
Contents
Preface v
List of Contributors xi
1. An Analysis of the Indicator Saturation Estimator as a Robust
Regression Estimator 1
Søren Johansen and Bent Nielsen
2. Empirical Identification of the Vector Autoregression: The Causes
and Effects of US M2 37
Kevin D. Hoover, Selva Demiralp, and Stephen J. Perez
3. Retrospective Estimation of Causal Effects Through Time 59
Halbert White and Pauline Kennedy
4. Autometrics 88
Jurgen A. Doornik
5. High Dimension Dynamic Correlations 122
Robert F. Engle
6. Pitfalls in Modelling Dependence Structures: Explorations
with Copulas 149
Pravin K. Trivedi and David M. Zimmer
7. Forecasting in Dynamic Factor Models Subject to Structural
Instability 173
James H. Stock and Mark W. Watson
8. Internal Consistency of Survey Respondents’ Forecasts: Evidence
Based on the Survey of Professional Forecasters 206
Michael P. Clements
9. Factor-augmented Error Correction Models 227
Anindya Banerjee and Massimiliano Marcellino
10. In Praise of Pragmatics in Econometrics 255
Clive W. J. Granger
ix
11. On Efficient Simulations in Dynamic Models 268
Karim M. Abadir and Paolo Paruolo
12. Simple Wald Tests of the Fractional Integration Parameter:
An Overview of New Results 300
Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral
13. When is a Time-Series I(0)? 322
James Davidson
14. Model Identification and Nonunique Structure 343
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 365
Andreas Beyer and Katarina Juselius
16. US Natural Rate Dynamics Reconsidered 386
Gunnar Bårdsen and Ragnar Nymoen
17. Constructive Data Mining: Modelling Argentine Broad
Money Demand 412
Neil R. Ericsson and Steven B. Kamin
Index 441
x
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