The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

by Jennifer Castle, Neil Shephard

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.

Product Details

ISBN-13:	9780198743781
Publisher:	Oxford University Press
Publication date:	11/10/2015
Edition description:	Reprint
Pages:	464
Product dimensions:	6.10(w) x 9.10(h) x 1.00(d)

About the Author

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.

Table of Contents

1. An analysis of the indicator saturation estimator as a robust regression estimator, Soren Johansen and Bent Nielsen2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2, Kevin D. Hoover, lva Demiralp, and Stephen J. Perez3. Retrospective Estimation of Causal Effects Through Time, Halbert White and Pauline Kennedy4. Autometrics, Jurgen A. Doornik5. High Dimenson Dynamic Correlations, Robert F. Engle6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas, Pravin K. Trivedi and David M. Zimmer7. Forecasting in Dynamic Factor Models Subject to Structural Instability, James H. Stock and Mark W. Watson8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters, Michael P. Clements9. Factor-augmented Error Correction Models, Anindya Banerjee and Massimiliano Marcellino10. In Praise Of Pragmatic In Econometrics, Clive W. J. Granger11. On Efficient Simulations In Dynamic Models, Karim M. Abadir and Paolo Paruolo12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results, Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral13. When is a Time Series I(0)?, James Davidson14. Model Identification and Non-unique Structure, David F. Hendry, Maozu Lu, and Grayham E. Mizon15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area, Andreas Beyer and Katarina Juselius16. U.S. natural rate dynamics reconsidered, Gunnar Bardsen and Ragnar Nymoen17. Constructive Data Mining: Modeling Argentine Broad Money Demand, Neil R. Ericsson and Steven B. Kamin