Overview
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.
Full Product Details
Author: Jennifer Castle (Tutorial Fellow in Economics, Magdalen College, Oxford University, and Research Fellow at the Institute for New Economic Thinking at the Oxford Martin School) ,
Neil Shephard (Professor of Economics and of Statistics, Harvard University)
Publisher: Oxford University Press
Imprint: Oxford University Press
Dimensions:
Width: 15.70cm
, Height: 2.60cm
, Length: 23.60cm
Weight: 0.692kg
ISBN: 9780198743781
ISBN 10: 0198743785
Pages: 464
Publication Date: 01 October 2015
Audience:
College/higher education
,
Postgraduate, Research & Scholarly
,
Postgraduate, Research & Scholarly
Format: Paperback
Publisher's Status: Active
Availability: To order
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.
Author Information
Jennifer Castle is a tutorial fellow in Economics at Magdalen College, Oxford University, and a Research Fellow at the Institute for New Economic Thinking at the Oxford Martin School. Her research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics. Dr Castle holds an M.Phil and PhD in Economics from Nuffield College, Oxford University. Neil Shephard is Professor of Economics and of Statistics at Harvard University. He holds a B.A. in Economics and Statistics from the University of York and a M.Sc. in Statistics, and Ph.D. from the London School of Economics. He was a lecturer at the LSE (from 1988 to 1993) and a Gatsby research fellow, then an official fellow and then a statutory professor at Nuffield College, Oxford University (in all from 1991 to 2013). During his time at Oxford University he cofounded the Masters in Financial Economics and founded the Oxford-Man Institute, which he directed from 2007-2011. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.
