Dynamic Econometrics
This is one of the best and most up to date textbooks on time series econometrics in which the author presents his view of econometric testing strategies in a very detailed way. As an advanced textbook in econometrics the classical and well-known topics such as autocorrelation and heteroscedasticity are only briefly discussed. Instead, the author spends much space to the dynamics and modelling in econometrics. The book is divided into three major parts and extensive appendices for special issues. The first part deals with concepts, models, and processes in econometrics. Under this heading, the author subsumes econometric concepts, econometric tools and techniques, dynamics and interdependence, exogeneity and causality, dynamic systems as well as the theory of reduction. In the chapter on dynamic systems, open as well as closed linear systems are discussed, and a typology of open linear dynamic systems including vector autoregressions as well as error correction models is given. The second part is concerned with statistical tools for econometric analysis and deals with the likelihood concept, simultaneous equations systems, measurement problems in econometrics and testing and evaluation of econometric models. Part three relates to empirical modelling. The author starts with a chapter in which in detail the concept of encompassing is introduced. Modelling issues such as data mining, theory dependence versus sample dependence, dummy variables and seasonal adjustment are presented. The final chapter gives some applications of the tools developed in the book. The appendices contain the necessary information on linear algebra and probability and distributions, general statistical theory, asymptotics, and numerical optimization methods. The last appendix surveys macro-econometric models and some special features thereof.
- Dynamic Econometrics for Empirical Macroeconomic Modelling
- Empirical modeling in dynamic econometrics
- scientific article; zbMATH DE number 3870460
- Estimation of dynamic econometric models with errors in variables
- Dynamic macroeconomics
- scientific article; zbMATH DE number 1735137
- Econometrics
- scientific article; zbMATH DE number 52650
- Econometrics
- Econometrics
- Info-gap forecasting and the advantage of sub-optimal models
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Variable selection in regression models using nonstandard optimisation of information criteria
- Cobra: a package for co-breaking analysis
- Empirical modeling in dynamic econometrics
- Responses in output to monetary shocks and the interest rate: A rational expectations model with working capital
- Loss development forecasting models: an econometrician's view
- Structural relations, cointegration and identification: Some simple results and their application
- Encompassing in stationary linear dynamic models
- Codependent cycles
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- Diagnostic tools for random effects in the repeated measures growth curve model
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
- Testing for serial independence of panel errors
- Complete subset regressions with large-dimensional sets of predictors
- The ability to correct the bias in the stable AD(1,1) model with a feedback effect
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- Mean lag in general error correction models
- Weak exogeneity in \(I(2)\) VAR systems
- Achievements and challenges in econometric methodology
- Typologies of linear dynamic systems and models
- Impulse saturation break tests
- Vector rational error correction
- Two stage least squares estimation in structural cointegration models
- The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists
- Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
- A survey of exogeneity in vector error correction models
- Forecasting with a parsimonious subset VAR model
- Fiscal episodes and market power
- School system evaluation by value added analysis under endogeneity
- Stochastic ceteris paribus simulations
- Model selection in under-specified equations facing breaks
- Granger causality, exogeneity, cointegration, and economic policy analysis
- Impact factors
- Bootstrap inference in systems of single equation error correction models
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- Econometric modelling with time series. Specification, estimation and testing
- Nonresponse in dynamic panel data models
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Sir Clive W. J. Granger model selection
- The structure of US food demand
- On the statistical identification of DSGE models
- Oil prices and exchange rates: Norwegian evidence
- scientific article; zbMATH DE number 993795 (Why is no real title available?)
- Least squares estimation and tests of breaks in mean and variance under misspecification
- Present Position and Potential Developments: Some Personal Views: Time- Series Econometrics
- scientific article; zbMATH DE number 5380224 (Why is no real title available?)
- An alternative Wald type test for two linear restrictions with applications to non-linear models
- The long-run determinants of fertility: one century of demographic change 1900--1999
- scientific article; zbMATH DE number 52649 (Why is no real title available?)
- scientific article; zbMATH DE number 1210536 (Why is no real title available?)
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 3)
- Modelling methodology and forecast failure
- Residual‐based diagnostics for conditional heteroscedasticity models
- Maximum likelihood estimates for the Hildreth–Houck random coefficients model
- Inference on segmented cointegration
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- An introduction to hypergeometric functions for economists
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Modelling market shares by segments using volatility
- Fitting polynomial trend to time series by the method of Buys-Ballot estimators
- Uncertainties surrounding natural rate estimates in the G7
- On causal and non-causal cointegrated vector autoregressive time series
- Misspecification testing: non-invariance of expectations models of inflation
- An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
- Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
- The ontological status of shocks and trends in macroeconomics
- Dynamic Econometrics for Empirical Macroeconomic Modelling
- Useful conclusions from surprising results
- Data mining: data analysis on a grand scale?
- Dynamic adjustment cost models with forward‐looking behaviour
- A nonparametric distribution-free test for serial independence of errors
- The impact of integrated measurement errors on modeling long-run macroeconomic time series
- Computer automation of general-to-specific model selection procedures
- Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective
- Automatic selection of indicators in a fully saturated regression
- The unit-root revolution revisited: where do non-standard sampling distributions and related conundrums stem from?
- Improving empirical models and forecasts with saturation-based machine learning
- A low-dimension portmanteau test for non-linearity
- Model selection using information criteria and genetic algorithms
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- On the appropriateness of inappropriate VaR models
- Modeling nonlinearities with mixtures-of-experts of time series models
- Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
- Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
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