The Methodology and Practice of Econometrics

Jennifer Castle is a tutorial fellow in Economics at Magdalen College, Oxford University, and a Research Fellow at the Institute for New Economic Thinking at the Oxford Martin School. Her research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics. Dr Castle holds an M.Phil and PhD in Economics from Nuffield College, Oxford University. Neil Shephard is Professor of Economics and of Statistics at Harvard University. He holds a B.A. in Economics and Statistics from the University of York and a M.Sc. in Statistics, and Ph.D. from the London School of Economics. He was a lecturer at the LSE (from 1988 to 1993) and a Gatsby research fellow, then an official fellow and then a statutory professor at Nuffield College, Oxford University (in all from 1991 to 2013). During his time at Oxford University he cofounded the Masters in Financial Economics and founded the Oxford-Man Institute, which he directed from 2007-2011. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.

1. An analysis of the indicator saturation estimator as a robust regression estimator ; 2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2 ; 3. Retrospective Estimation of Causal Effects Through Time ; 4. Autometrics ; 5. High Dimenson Dynamic Correlations ; 6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas ; 7. Forecasting in Dynamic Factor Models Subject to Structural Instability ; 8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters ; 9. Factor-augmented Error Correction Models ; 10. In Praise Of Pragmatic In Econometrics ; 11. On Efficient Simulations In Dynamic Models ; 12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results ; 13. When is a Time Series I(0)? ; 14. Model Identification and Non-unique Structure ; 15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area ; 16. U.S. natural rate dynamics reconsidered ; 17. Constructive Data Mining: Modeling Argentine Broad Money Demand