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【2009 新书】The Methodology and Practice of Econometrics [推广有奖]

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closer 发表于 2009-10-9 07:09:29 |显示全部楼层 |坛友微信交流群
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The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
By Jennifer Castle, Neil Shephard

Description:
David F. Hendry is a seminal figure in modern econometrics. He haspioneered the LSE approach to econometrics, and his influence is wideranging. This book is a collection of papers dedicated to him and hiswork. Many internationally renowned econometricians who havecollaborated with Hendry or have been influenced by his research havecontributed to this volume, which provides a reflection on the recentadvances in econometrics and considers the future progress for themethodology of econometrics. Central themes of the book include dynamicmodelling and the properties of time series data, model selection andmodel evaluation, forecasting, policy analysis, exogeneity andcausality, and encompassing. The book strikes a balance betweeneconometric theory and empirical work, and demonstrates the influencethat Hendry's research has had on the direction of modern econometrics.
Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bardsen,Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, JurgenDoornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger,David Hendry, Kevin Hoover, Soren Johansen, Katarina Juselius, StevenKamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, LauraMayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, PravinTrivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.

    * Publisher:   Oxford University Press, USA
    * Number Of Pages:   480
    * Publication Date:   2009-06-15
    * ISBN-10 / ASIN:   0199237190
    * ISBN-13 / EAN:   9780199237197

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
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
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关键词:econometrics Econometric Methodology methodolog Practice econometrics The 新书 Practice Methodology

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sam_ben 在职认证  发表于 2009-10-9 07:50:40 |显示全部楼层 |坛友微信交流群
great book! Thanks
head down, hands on

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closer 发表于 2009-10-19 03:29:37 |显示全部楼层 |坛友微信交流群
thanks for support

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hebinjlu 发表于 2009-10-19 11:35:09 |显示全部楼层 |坛友微信交流群
好书,谢谢!

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zhanganiu 发表于 2009-10-26 20:55:06 |显示全部楼层 |坛友微信交流群
Thank you very much.

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deadknight10 发表于 2009-10-27 09:44:10 |显示全部楼层 |坛友微信交流群
谢谢楼主。

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michaeljija 发表于 2009-10-27 15:16:56 |显示全部楼层 |坛友微信交流群
It's good for me. Thanks~

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abaobao 发表于 2009-11-3 19:03:59 |显示全部楼层 |坛友微信交流群
非常感谢楼主分享

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asshole 发表于 2009-11-4 19:39:15 |显示全部楼层 |坛友微信交流群
好书,谢谢楼主!

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jeth 在职认证  发表于 2009-11-5 12:37:19 |显示全部楼层 |坛友微信交流群
非常感谢~~

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