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: 16.20cm , Height: 3.00cm , Length: 24.00cm
Weight:   0.808kg
ISBN:  

9780199237197

ISBN 10:   0199237190
Pages:   464
Publication Date:   30 April 2009
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
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.

Table of Contents

1: Søren Johansen and Bent Nielsen: An analysis of the indicator saturation estimator as a robust regression estimator 2: Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2 3: Halbert White and Pauline Kennedy: Retrospective Estimation of Causal Effects Through Time 4: Jurgen A. Doornik: Autometrics 5: Robert F. Engle: High Dimenson Dynamic Correlations 6: Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling Dependence Structures: Explorations with Copulas 7: James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor Models Subject to Structural Instability 8: Michael P. Clements: Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters 9: Anindya Banerjee and Massimiliano Marcellino: Factor-augmented Error Correction Models 10: Clive W. J. Granger: In Praise Of Pragmatic In Econometrics 11: Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In Dynamic Models 12: Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results 13: James Davidson: When is a Time Series I(0)? 14: David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model Identification and Non-unique Structure 15: Andreas Beyer and Katarina Juselius: Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area 16: Gunnar Bårdsen and Ragnar Nymoen: U.S. natural rate dynamics reconsidered 17: Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining: Modeling Argentine Broad Money Demand

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Author Information

Jennifer L. Castle is a British Academy Post-doctoral Research Fellow at Nuffield College, Oxford. Neil Shephard is Professor of Economics at Oxford University and Research Director of the University's Oxford-Man Institute. He is fellow of the British Academy, Econometric Society and Nuffield College, Oxford.

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