The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry by Jennifer CastleThe Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry by Jennifer Castle

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

EditorJennifer Castle, Neil Shephard

Paperback | November 1, 2015

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David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendryor have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time seriesdata, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bardsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Soren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy,Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
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...
Title:The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. HendryFormat:PaperbackDimensions:464 pages, 9.21 × 6.14 × 1 inPublished:November 1, 2015Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198743785

ISBN - 13:9780198743781

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Table of Contents

1. Soren Johansen and Bent Nielsen: An analysis of the indicator saturation estimator as a robust regression estimator2. Kevin D. Hoover, lva Demiralp, and Stephen J. Perez: Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M23. Halbert White and Pauline Kennedy: Retrospective Estimation of Causal Effects Through Time4. Jurgen A. Doornik: Autometrics5. Robert F. Engle: High Dimenson Dynamic Correlations6. Pravin K. Trivedi and David M. Zimmer: Pitfalls in Modeling Dependence Structures: Explorations with Copulas7. James H. Stock and Mark W. Watson: Forecasting in Dynamic Factor Models Subject to Structural Instability8. Michael P. Clements: Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters9. Anindya Banerjee and Massimiliano Marcellino: Factor-augmented Error Correction Models10. Clive W. J. Granger: In Praise Of Pragmatic In Econometrics11. Karim M. Abadir and Paolo Paruolo: On Efficient Simulations In Dynamic Models12. Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral: Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results13. James Davidson: When is a Time Series I(0)?14. David F. Hendry, Maozu Lu, and Grayham E. Mizon: Model Identification and Non-unique Structure15. Andreas Beyer and Katarina Juselius: Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area16. Gunnar Bardsen and Ragnar Nymoen: U.S. natural rate dynamics reconsidered17. Neil R. Ericsson and Steven B. Kamin: Constructive Data Mining: Modeling Argentine Broad Money Demand