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Models, Methods and Applications of Econometrics
Greer Phillips (Author), Peter C. B. Phillips (Author)
9781557861108, Wiley
Hardback, published 4 March 1993
420 pages
24.3 x 16.6 x 2.9 cm, 0.737 kg
The twenty especially commissioned esays in this volume cover a wide field of recent and topical research dealing with both theory and application of econometrics. The contributors comprise an international and distinguished group of economists, econometricians, modelers and statisticians. The volume will be of wide interest to all those concernedd with modelling, forecasting and other applications of econometrics. The volume is divided into five parts according to separate themes of research that include continuoustime modelling, finite sample theory, dynamic econometric modeling, and empirical applications in macroeconomics, industry and finance. The essays make methodological, empirical and theoretical advances in each of these fields, including many recent topics of intense research such as nonlinear modeling, parameter parsimony, business cycles, Euler equation methodology, rational expectations, vector autoregressions, cointegrated systems, unit roots and semiparametric models. The volume is dedicated to A. R. Bergstrom and contains a review of his research in these various fields and his essay, What is Econometrics?
List of Contributors vii Preface viii Acknowledgments ix Announcement The A. R. Bergstrom Prize in Econometrics Part I: The Contributions of A. R. Bergstrom to Econometrics 1. Rex Bergstrom's Career and Research 3 2. What is Econometrics? 9 3. The ET Interview: A. R. Bergstrom 12 4. The Publications of A. R. Bergstrom 32 Part II: Continuous-Time Models 5. Forecasting with Continuous-Time and Discrete-Time Series Models: An Empirical Comparison 37 6. Estimation, Smoothing, Interpolation, and Distribution for Structural Time-Series Models in Continuous Time 55 7. Continuous-Time Models in Econometrics: Closed and Open Systems, Stocks and Flows 71 8. Estimation of Nonlinear Continuous-Time Models from Discrete Data 91 Part III: Finite-Sample Theory 9. Some Further Exact Results for Structural Equation Estimators 117 10. Operational Algebra and Regression t-Tests 140 11. Multiple Comparisons Emphasizing Incremental Effects 153 12. Some Alternatives to the Edgeworth Approximation for Econometric Statistics 165 13. The Finite-Sample Properties of Cointegration Estimators with Applications to Testing 176 Part IV: Dynamic Econometric Modeling 14. Reference Cycles in the Time and Frequency Domains: Duality Aspects of the Business Cycle 201 15. Estimating Linear Quadratic Models with Integrated Processes 220 16. Reducing Parameter Numbers in Econometric Modeling 240 17. Semiparametric Efficiency Bounds for Linear Time-Series Models 253 18. Evaluating Dynamic Econometric Models by Encompassing the VAR 272 19. Empirical Implications of Arbitrage-free Asset Markets 301 20. Rational Expectations and Integrated Variables 317 Part V: Empirical Applications 21. The Stochastic Behavior of Mineral-Commodity Prices 339 22. Continuous-Time Econometric Modeling and the Issue of Capital Liberalization 354 Index 403
V. B. Hall and P. C. B. Phillips xi
Peter C. B. Phillips
A. R. Bergstrom
Interviewed by Peter C. B. Phillips
Marcus J. Chambers
A. C. Harvey and James H. Stock
Peter M. Robinson
Clifford R. Wymer
Grant H. Hillier and Christopher L. Skeels
Peter C. B. Phillips
J. Richmond
J. D. Sargan
Glenn Ellison and Stephen E. Satchell
Roger J. Bowden and Vance L. Martin
Allan W. Gregory, Adrian R. Pagan and Gregor W. Smith
E. J. Hannan
Lars P. Hansen
David F. Hendry and Grayham E. Mizon
S. Maheswaran and Christopher A. Sims
Michael R. Wickens
Terence D. Agbeyegbe
Giancarlo Gandolfo and Pier Carlo Padoan
23. Economies of Scale in the New Zealand Electricity Distribution Industry 370
David E. A. Giles and Nicolas S. Wyatt
24. Long-run Equilibrium Estimation and Inference: A Nonparametric Application 383
V. B. Hall and R. G. Trevor
Subject Areas: Economics [KC]
