Table of contents for The methodology and practice of econometrics : a festschrift in honour of David F. Hendry / edited by Jennifer L. Castle and Neil Shephard.


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Preface                                                                v
List of Contributors                                                   xi
1. An Analysis of the Indicator Saturation Estimator as a Robust
Regression Estimator                                               1
Soren Johansen and Bent Nielsen
2. Empirical Identification of the Vector Autoregression: The Causes
and Effects of US M2                                              37
Kevin D. Hoover, Selva Demiralp, and Stephen J. Perez
3. Retrospective Estimation of Causal Effects Through Time           59
Halbert White and Pauline Kennedy
4. Autometrics                                                       88
Jurgen A. Doornik
5. High Dimension Dynamic Correlations                              122
Robert F. Engle
6. Pitfalls in Modelling Dependence Structures: Explorations
with Copulas                                                     149
Pravin K. Trivedi and David M. Zimmer
7. Forecasting in Dynamic Factor Models Subject to Structural
Instability                                                      173
James H. Stock and Mark W. Watson
8. Internal Consistency of Survey Respondents' Forecasts: Evidence
Based on the Survey of Professional Forecasters                  206
Michael P. Clements
9. Factor-augmented Error Correction Models                        227
Anindya Banterjee and Massimiliano Marcellino
10. In Praise of Pragmatics in Econometrics                          255
Clive W J. Granger
11. On Efficient Simulations in Dynamic Models                268
Karim M. Abadir and Paolo Paruolo
12. Simple Wald Tests of the Fractional Integration Paramrneter:
An Overview of New Results                                 300
Juan ]. Dolado, Jesus Gonzalo, anti Laura Mayoral
13. When is a Time-Series 1(0)?                               322
James Davidson
14. Model Identification and Nonunique Structure              343
David F. Hendry, Maozu Lu, and Grayham E. Mizon
15. Does it Matter How to Measure Aggregates? The Case of
Monetary Transmission Mechanisms in the Euro Area          365
Andreas Beyer and Katarina Juselius
16. US Natural Rate Dynamics Reconsidered                     386
Gunnar Bdrdsen and Ragnar Nymoen
17. Constructive Data Mining: Modelling Argentine Broad
Money Demand                                               412
Neil R. Ericsson and Steven B. Kamnin
Index                                                          441



Library of Congress subject headings for this publication: Econometrics, Econometric models