Palgrave Handbook of Econometrics (eBook)

TERENCE C. MILLS Professor of Applied Statistics and Econometrics at Loughborough University, UK.KERRY PATTERSON Professor of Econometrics at University of Reading, UK.

PART I: THE METHODOLOGY AND PHILOSOPHY OF APPLIED ECONOMETRICS The Methodology of Empirical Econometric Modelling: Applied Econometrics Through the Looking-Glass; D.F.Hendry How Much Structure in Empirical Models?; F.Canova Introductory Remarks on Metastatistics for the Practically Minded Non-Bayesian Regression Runner; J.DiNardo PART II: FORECASTING Forecast Combination and Encompassing; M.P.Clements & D.I.Harvey Recent Developments in Density Forecasting; S.G.Hall  &  J.Mitchell PART III: TIME SERIES APPLICATIONS Investigating Economic Trends and Cycles; D.S.G.Pollock Economic Cycles: Assymetries, Persistence, and Synchronization; J.Cardinale & L.W.Taylor The PPP Puzzle: What the Data Tell When Allowed to Speak Freely; K.Juselius Structural Time Series Models for Business Cycle Analysis; T.Proietti Fractional Integration and Cointegration: An Overview and an Empirical Application; L.A.Gil-Alana  &  J.Hualde PART IV: CROSS-SECTION AND PANEL DATA APPLICATIONS Discrete Choice Modelling; W.Greene Panel Data Methods and Applications to Health Economics; A.M.Jones Panel Methods to Test for Unit Roots and Cointegration; A.Banerjee  &  M.Wagner PART V: MICROECONOMETRICS  Microeconometrics: Current Methods and Some Recent Developments; A.C.Cameron Computational Considerations in Empirical Microeconometrics: Selected Examples; D.T.Jacho-Chávez & P.K.Trivedi PART VI: APPLICATIONS OF ECONOMETRICS TO ECONOMIC POLICY The Econometrics of Monetary Policy: An Overview; C.A.Favero Macroeconometric Modelling for Policy; G.Bårdsen  & R.Nymoen Monetary Policy, Beliefs, Unemployment and Inflation: Evidence from the UK; S.G.B.Henry PART VII: APPLICATIONS TO FINANCIAL ECONOMETRICS Estimation of Continuous-Time Stochastic Volatility Models; G.Dotsis, R.N.Markellos &  T.C.Mills Testing the Martingale Hypothesis; J.C.Escanciano  &  I.N.Lobato Autoregressive Conditional Duration Models; R.Tsay The Econometrics of Exchange Rates; E.G.Pavlidis, I.Paya  & D.A.Peel PART VIII: GROWTH/DEVELOPMENT ECONOMETRICS The Econometrics of Convergence; S.N.Durlauf, P.A.Johnson &  J.R.W.Temple The Methods of Growth Econometrics; S.N.Durlauf, P.A.Johnson & J.R.W.Temple The Econometrics of Finance and Growth; T.Beck PART IX: SPATIAL ECONOMETRICS Spatial Hedonic Models; L.Anselin & N.Lozano-Gracia Spatial Analysis of Economic Convergence; S.J.Rey  &  J.Le Gallo PART X: APPLIED ECONOMETRICS AND COMPUTING Testing Econometric Software; B.D.McCullough Trends in Applied Econometrics Software Development 1985-2008; M.Ooms