Surveys in Econometrics

1. Auflage 1994
ISBN: 978-0-631-19065-3
Verlag: Wiley-Blackwell

Buch, Englisch, 420 Seiten, Format (B × H): 175 mm x 250 mm, Gewicht: 738 g

Surveys in Econometrics

This book comprises ten carefully chosen, up-to-date and comprehensive surveys on econometrics taken from the prestigious Journal of Economic Surveys. The contributions are accessible to technically competent students and those wishing to develop an interest in current econometric issues.

Issues covered include
- Debates on econometric methodology
- Pre-testing
- Diagnostic checks
- Cointegration and unit roots
- Error correction mechanisms
- Nonparametric/semiparametric estimation

This collection bridges the gap between a textbook and specialist journal contributions and is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses.

Autoren/Hrsg.

Oxley, Les

George, Donald A. R.

Roberts, Colin J.

Sayer, Stuart

Inhaltsverzeichnis

Preface vi

1 Introduction 1

Les Oxley and Colin Roberts

2 Three Econometric Methodologies: A Critical Appraisal 9

Adrian Pagan

Three Econometric Methodologies: An Update 30

Adrian Pagan

4 Pre-Test Estimation and Testing in Econometrics: Recent Developments 42

Judith Giles and David Giles

5 Sherlock Holmes and the Search for Truth: A Diagnostic Tale 91

Michael McAleer

6 On Error Correction Models: Specification, Interpretation, Estimation 139

George Alogoskoufis and Ron Smith

7 Econometric Modelling using Cointegrated Time Series 171

Vito Antonio Muscatelli and Stan Hurn

8 On ARCH Models: Properties, Estimation and Testing 215

Anil Bera and Matthew Higgins

9 Nonlinear Time Series Models in Economics 273

Terence Mills

10 Testing the Rational Expectations Hypothesis in Macroeconometric Models with Unobserved Variables 299
Les Oxley and Michael McAleer

11 Nonparametric and Semiparametric Methods for Economic Research 350

Miguel Delgado and Peter Robinson

Author Index 397

Subject Index 408

Über Autor(innen)

Lex Oxley is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Australian National University, Monash University and the University of Wester Australia. He has published widely on applied econometrics and macroeconomic dynamics and is a joint founding editor of the Journal of Economic Surveys.

Donald A. R. George is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Copenhagen School of Economics, The European University Institute (Florence) and Queens University (Canada). He has published extensively on the economics of worker participation and on economic social theory and is joint founding of the Journal of Economic Surveys.

Colin J. Roberts is a Lecturer in Economics at the University of Edinburgh. He has taught theoretical and applied econometrics at all levels and has conducted major research into the application of econometric techniques to issues including innovation and patents. He is a joint founding editor of the Journal of Economic Surveys.

Stuart Sayer is a Lecturer in Economics at the University of Edinburgh. He has published widely in his current research areas which are macroeconomics and monetary theory and policy and the interface between economics and politics. He is a joint founding editor of the Journal of Economic Surveys.