Table of Contents
Chapter 1: A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series, James H. Stock and Mark W. WatsonChapter 2: A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator, Norman R. Swanson, Eric Ghysels, and Myles CallanChapter 3: Evaluating Density Forecasts: The Survey of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, and Kenneth F. WallisChapter 4: Ranking Competing Multi-step Forecasts, Paul Newbold, David I. Harvey, and Stephen J. LeybourneChapter 5: The Pervasiveness of Granger Causality in Econometrics, David F. Hendry and Grayham E. MizonChapter 6: A Class for Tests for Integration and Cointegration, James H. StockChapter 7: Order Selection in Testing for the Cointegration Rank of a VAR Process, Helmut Lütkepohl and Pentti SaikkonenChapter 8: Granger's Representation Theorem and Multicointegration, Tom Engsted and Søren JohansenChapter 9: Dimensionality Effect in Cointegration Analysis, Jesús Gonzalo and Jean-Yves PitarakisChapter 10: Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System, Luigi ErminiChapter 11: A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models, Michio Hatanaka and Kazuo YamadaChapter 12: Investigating Inflation Transmission by Stages of Processing, Tae-Hwy Lee and Stuart ScottChapter 13: Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices, Katarina JuseliusChapter 14: M-testing using Finite and Infinite Dimensional Parameter Estimators, Halbert White and Yongmiao HongChapter 15: Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes, Jeffrey M. WooldridgeChapter 16: Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series, Vidar Kjellvik and Dag TjøstheimChapter 17: Partial Pooling: a Possible Answer to 'To Pool or not to Pool', Farshid VahidChapter 18: A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals, Andrew A. WeissChapter 19: Statistical Properties of the Asymmetric Power ARCH Process, Timo Teräsvirta and Changli HeChapter 20: A Long-run and Short-run Component Model of Stock Return Volatility, Robert F. Engle and Gary G. J. Lee
